Using intra-day data, this paper investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is fou...

In order for organizations to survive on increasingly competitive and global markets, adequate management of intellectual capital is essential. Although increasingly more information is found in electronic formats, turning this information into valuable knowledge is still the responsibility of people by applying it in professional situations to generate value. In this paper, we describe an appr...

a r t i c l e i n f o JEL classification: C13 C32 G14 Keywords: Futures price Spot price Chinese commodity market Frequency domain approach Garbade–Silber Model This paper presents the causal relationships between futures and spot prices of six metal and agriculture commodities in Chinese commodity market, using GC test, frequency domain approach proposed by Brietung and Candelon (2006) and Gar...

to achieve the optimal model for capital asset pricing has always been a central issue in studies of the financial field. in this study we consider fama and french three-factor model augmented by the pastor and stambaugh (2003) liquidity risk factor. unlike most previous studies in this model, stock level beta is allowed to vary with firm-level size and book-to-market value. to verify the above...

Entropy is a concept commonly used in various disciplines. In thermodynamics, it is used to measure the randomness of particles (atoms, molecules, etc.). In information theory, it is used to measure the amount of information in a program unit (variable, expression, function call, etc.) In this paper, entropy is used to measure the diversity of a marketplace. The formulas used in thermodynamics ...

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This study examines the relationship between above-market price (or overpricing), along with various housing attributes, and time on the market (TOM). The study covers nearly 4,000 transactions of marketed domestic units of different living tenures, flat sizes, price ranges, and other physical characteristics in the Hong Kong residential property market. The results show that factors such as th...