The paper studies the efficiency of the Indian equity and futures markets by applying statistical techniques to returns and volatility during trading and nontrading hours. Returns have been decomposed into trading and non-trading period returns by taking close to open, open to close and close to...

This paper employs an asymmetric component generalized autoregressive conditional heteroskedasticity (AC-GARCH) model to test the relation between securities transaction tax (STT) and market volatility. Proponents of an STT argue that such a tax will reduce market volatility by discouraging the...

In this paper, we adopted a continuous-time non-homogeneous mover-stayer model for the measurement of the credit risk associated with bank loans. This model is an extension of a Markov chain model. Furthermore, we extracted the time varying risk premium to convert the mover-stayer model to a...

Although bonds are less volatile than equities and the median bond fund holds about 200 bonds, bond investors still need to hold more than one bond fund to realize the optimal benefit of diversification. The simulation results show that three to five bond funds reduce standard deviation of...

This paper aims at testing the influence of Subprime Crisis on Chinese stock market returns. By means of newly proposed time series spatial analysis methodology, we investigate the dominance behavior of daily returns on both Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange...

The recent financial crisis renewed concerns about a possible destabilizing impact of derivatives trading. Despite a very active research, the question whether or not derivatives tend to destabilize financial markets has not yet been answered to satisfaction. This contribution aims to revise the...

The recent financial crisis renewed concerns about a possible destabilizing impact of derivatives trading. Despite a very active research, the question whether or not derivatives tend to destabilize financial markets has not yet been answered to satisfaction. This contribution aims to revise the...

The paper studies the efficiency of the Indian equity and futures markets by applying statistical techniques to returns and volatility during trading and nontrading hours. Returns have been decomposed into trading and non-trading period returns by taking close to open, open to close and close to...

In this paper, we adopted a continuous-time non-homogeneous mover-stayer model for the measurement of the credit risk associated with bank loans. This model is an extension of a Markov chain model. Furthermore, we extracted the time varying risk premium to convert the mover-stayer model to a...

This paper employs an asymmetric component generalized autoregressive conditional heteroskedasticity (AC-GARCH) model to test the relation between securities transaction tax (STT) and market volatility. Proponents of an STT argue that such a tax will reduce market volatility by discouraging the...