This paper examines the relationship between currency futures returns by employing a test for non-linear causality. The results indicate evidence of unidirectional non-linear causality relationship in four cases. However, after filtering the returns using a GARCH (1,1) model we find...

This paper extends the search for small firms and exchange efficiency effects on seasoned stocks to the new issues market on a sample of placings drawn from the UKs Official List, Unlisted Securities Market and Third Market. Tests of means and regressions are undertaken to examine the...

The paper examines the short run and long run price interdependences among the Asian Pacific equity markets, in the period surrounding the Asian financial crisis. The daily data composed of value weighted equity market indexes of Malaysia, Japan, Hong Kong and Australia, for the period from...

This study tests whether the behaviour of daily stock returns for the sample of three banks and the composite index in the Malaysian market are nonlinear dependence. Using three nonlinear testing procedures, the study suggests nonlinearity in the return series for all cases. The cause for the...

The study provides evidence of the nature of the volatility transmission for daily currency futures contracts traded at the International Monetary Market (IMM) and the Singapore Exchange (SIMEX). The samples of the German mark currency futures contracts and the Japanese yen currency futures...

A myriad of empirical studies conducted in developed markets indicate the existence of small-firm effect. This study is undertaken to investigate the presence of firm effect in emerging markets such as Malaysia Bourse (formerly known as Kuala Lumpur Stock Exchange). Applying the method used by...