We explore the effect of funding constraints on the trading costs of VIX futures. With an increase in funding constraints during a crisis (non-crisis) period, we observe a corresponding increase (decrease) in the proportional effective spread, quoted spread, order cost, asymmetric information,...

Our study examines the impact of multiple uncertainty measurements on Bitcoin returns and volatilities by using TVP-VAR-DY connectedness frame work. We find that the total spillover effects are strong during the Crypriot financial crisis (2012-2013) and COVID-19 (2020). Further, Both averaged...

This paper examines the impact of cultural distance in general and the Confucius Institute Network in particular on cross-border flows of tourists, goods and investment in and out of China. We estimate a panel gravity model of inbound and outbound flows between 2004 and 2012. We find that the...

This paper investigates the effects of the spot-futures spread on the return and risk structure in currency markets. Using a bivariate dynamic conditional correlation GARCH framework, we find evidence of asymmetric effects of positive and negative spreads on the return and the risk structure of...

This study examines whether the expiration-day effects of stock options traded in Australian Stock Exchange on return, volatility, trading volume, and temporary price changes of individual stocks vary with the availability and the settlement method of individual stock futures contracts. Using...

This article introduces mark-to-market risk into the conventional futures hedging framework. It is shown that a hedger concerned with maximum daily loss will considerably reduce his futures position when the risk is taken into account. In case of a moderate hedge horizon, the hedger will hedge...

In this paper we propose a theoretical model of evaluating the economic costs and benefits of physician assisted suicide (euthanasia). The contemplation of euthanasia is modeled akin to the valuation of a real option. Our modeling of the decision shows that euthanasia is optimal when certain...

This paper examines the effect of three types of capital control policies on FDI: (i) the existence of multiple exchange rates; (ii) restrictions on capital account, and (iii) restrictions on the repatriation of export proceeds. We find that the impact of capital controls on FDI varies by region...

Dynamic minimum variance hedge ratios (MVHRs) have been commonly estimated using Bivariate GARCH model that overlooks basis effect on the time-varying variance-covariance of spot and futures returns. This paper proposes an alternative specification of the BGARCH model in which the basis effect...

People often make important decisions based on information elicited from experts with uncertain preferences. We provide a theoretical rationale for the use of information markets in decision making tasks. Specifically, we show that markets for claims on decision-relevant variables can be...