We examined the lead-lag relationship between the Samp;P/ASX200 Share Price Index as the underlying security of the Samp;P/ASX 200 Index Options traded on the ASX.We investigated the information content of the index and option markets in the price discovery process. Based on conditional...

This paper investigates tail risk in emerging stock markets by comparing the investable and noninvestable segments in terms of the expected shortfall of standardized returns and tail dependence on the world market. Employing the skewed Student-t GJR-GARCH model and the symmetrized Joe-Clayton...

The objective of this paper was to find the underlying motives for using foreign exchange derivatives by non-financial companies listed on the New Zealand stock exchange and to identify which existing theories of derivatives are the most appropriate for the New Zealand corporate sector. We used...