This paper studies the relationship between credit default swap spreads (CDS) for the Energy sector and oil futures dynamics. Using data on light sweet crude oil futures from 2004 to 2013, which contains a crisis period, we examine the importance of volatility and jumps extracted from the futures in explaining CDS spread changes. The analysis is performed at an index level and by rating group; ...

The Federal Reserve implements monetary policy by making discrete adjustments to its target for the federal funds rate. Such adjustments are believed to have significant implications for other short-term interest rates, so considerable resources are expended on forecasting the timing and magnitude of the Fed’s next move. Many analysts, both inside and outside of the Federal Reserve System, look...

This research applies a market profile to establish an indicator to classify the correlation between the variation in price and value with the stock trends. The indicator and technical index are neural network architecture parameters that assist to extrapolate the market logic and knowledge rules that influence the TAIEX futures market structure via an integral assessment of physical quantities...

The article considers several working anarchies in the networked environment, and whether they offer a model for improving on the persistent imperfections of markets and states. I explore whether these efforts of peer mutualism in fact offer a sufficient range of capabilities to present a meaningful degree of freedom to those who rely on the capabilities it affords, and whether these practices ...

This paper examines the intertemporal pricing behavior between the largest futures markets within the Pacific region with those in the UK and US. Both mean return and volatility transmissions between these markets are analyzed to understand the channels by which the international pricing mechanism functions. Results obtained from using a mixture of intraday and overnight returns show a preponde...

Using daily data from 182 spatially separated U.S. cash markets for the years 2006-2011, I investigate price discovery for corn. With a large number of cash markets available, I take into account explicitly the issue of market selection, which has been neglected in previous work. I find that empirical results concerning price discovery based on corn cash and futures markets vary with selection ...

This research investigates the hedging effectiveness of stock index futures markets in Malaysia and Singapore by employing various hedge ratio estimation methods, which comprises of the conventional OLS model, VECM, EGARCH and bivariate GARCH. The empirical results indicate that the Kuala Lumpur Futures Index (KLFI) provides higher hedging effectiveness compared to the Straits Times Index (STI)...