Spot–Futures Price Adjustments in the Nikkei 225: Linear or Smooth Transition? Financial Centre Leadership or Home Bias?

Forecasting the Volatility of Nikkei 225 Futures ∗

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset. Empirical results for Nikkei 225 fut...

Prediction of the Movement of Nikkei 225 Index Based on Japanese Yen-usd Currency Price

vertical price transmission and non-linear price adjustments in the beef market of east azarbaijan province

this study considers the price transmission mechanism between farm and retail levels of beef market in east azerbaijan with weekly prices over 1377:1 to 1390:52 periods. to this end, using advantages of multivariate models, hansen- seo (2002)'s two- regime threshold vector error correction model (tvecm) was estimated by the maximum likelihood approach for evaluate the price transmission me...

Political Communication and Financial Performance in Banks: Opportunity or Threat

 Political relationships can have both a positive and a negative impact on bank performance, which requires an empirical analysis to identify its impact. In this regard, the purpose of this study is to investigate the relationship between political communication and financial performance of banks accepted in Tehran Stock Exchange and OTC. In this study, in order to test the research hypothesis,...

Financial centre bias: another puzzling anomaly in the IPO market?

This paper shows that firms from financial centres are more likely to go public than their provincial counterparts. The financial centre bias is analysed for 32 countries, including the European Union, the USA and Japan. It is particularly strong in countries with underdeveloped stock markets and closed corporate governance regimes, but it is still present in countries with the most developed s...