This article investigates returns and volatility linkages among stock markets, including emerging Asian (e.g., India, China, Bangladesh, Malaysia, Philippine, and South Korea) stock markets and developed (e.g., United States, United Kingdom, Japan, and Singapore) stock markets. During the sample...

Understanding the pattern of stock market volatility is important to investors as well as for investment policy. Volatility is directly associated with risks and returns, higher the volatility the more financial market is unstable. The volatility of the Zimbabwean stock market is modeled using...

COVID-19 epidemic has been impacted the growth of economic and development of industries. The steel and tube companies also suffered and down surges the financial stability and its growth uncertain. The study use the event of COVID-19 to exhibits the spillover and investors decision. The study...

The interaction among futures and spot markets has been one of the most important issues of the financial markets since the launch of stock index futures by Kansas City Board of Trade in 1982. The main characteristics of derivatives such as having lower transaction costs, higher leverage, higher...

The objective of this paper is to study the arbitrage free pricing of variance and volatility swaps for Barndorff-Nielsen and Shephard type Lévy process driven financial markets. One of the major challenges in arbitrage free pricing of swap is to obtain an accurate pricing expression which can...

The rapid rise of Bitcoin and its increasing global adoption has raised concerns about its impact on traditional markets, particularly in periods of economic turmoil and uncertainty such as the COVID-19 pandemic. This study examines the extent of the volatility contagion from the Bitcoin market...

Our paper provides a complete characterization of leverage and default in binomial economies with financial assets serving as collateral. First, our Binomial No-Default Theorem states that any equilibrium is equivalent (in real allocations and prices) to another equilibrium in which there is no...

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second moments of asset returns. This paper suggests a reason...

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second moments of asset returns. This paper suggests a reason...

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second moments of asset returns. This paper suggests a reason...