Purpose – The purpose of this paper is to examine whether there exist significant benefits from diversification into frontier markets for an Australian investor in comparison to a US investor. Design/methodology/approach – The study uses the computationally efficient ADCC GARCH model to...

Purpose – The purpose of this paper is to examine whether there exist significant benefits from diversification into frontier markets for an Australian investor in comparison to a US investor. Design/methodology/approach -The study uses the computationally efficient ADCC GARCH model to...

This study examines both long-run and short-run linkages between futures and spot prices for a wide range of agricultural commodities in China and the US. We use the Johansen cointegration test to examine the long-run equilibrium relationship in both multivariate and bivariate contexts. The VECM...