In the absence of market frictions, the cost of carry model of stock index futures pricing predicts that returns on the underlying stock index and the associated stock index futures contract will be perfectly contemporaneously correlated. Evidence suggests, however, that this prediction is violated with clear evidence that the stock index futures market leads the stock market. We argue that tra...

Stock market volatility is the systematic risk faced by investors who hold a market portfolio (e.g., a stock market index fund). Schwert (1989b) has undertaken an extensive study of stock market volatility, using historical data back to the 19th century. Some of his major findings are illustrated in Figure 1, which plots quarterly stock market volatility for the post-World War II period.1 The f...

In this work, an investigation and analysis are carried out in order to observe the relationship between ethanol spot and futures prices in Brazil. We adopted the Engle and Granger co-integration approach. Also, we consider the information share method proposed by Hasbrouck in order to examine the market efficiency in price discovery and information transmission. Results show that although the ...

Stock market volatility is the systematic risk faced by investors who hold a market portfolio (e.g., a stock market index fund). Schwert (1989b) has undertaken an extensive study of stock market volatility, using historical data back to the 19th century. Some of his major findings are illustrated in Figure 1, which plots quarterly stock market volatility for the post-World War II period.1 The f...

A fundamental proposition in marketing strategy is that a market orientation is positively related to firm performance. However, the mechanisms of this relationship have yet to be explored in detail, especially in service industries where intangible assets are relatively more important. This paper addresses this issue by proposing a model that identifies important intermediate variables between...

in this paper the ability of economic and accounting performance measures in explaining values of companies have been evaluated. economic value added, refined economic value added and market value added are as economic performance measures and net income, operating income and operating cash flows is considered as accounting performance measures. in order to data analyzing and testing the search...

In this paper, we intend to identify the characteristics of occurrence of unsold new housing stocks and draw the implications for the housing business strategy that can effectively cope with the market risk under the Korean housing market. As a result of the analysis, most of the theoretical causality of occurrence of unsold new housing stocks under the three-dimensional Korean housing market w...