Using quarterly data from 1998:Q1 to 2009:Q4 and monthly data from July 2005 to February
2010, this paper examines the impact of key monetary policy variables, including long-term …

We use a bivariate asymmetric GARCH model to examine patterns of across-market information
flows for gold, platinum, and silver futures contracts traded in both the US and Japanese …

Using a bivariate GARCH model, we examine patterns of information flows for three
commodity futures traded in both the developed US market and the emerging China market (copper, …

We examined the performance of 115 global equity-based hedge funds with reference to
their target geographical markets in the seven-year period 1994–2000. Several results are …

Using a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model,
we examine patterns of information flows for China–backed stocks that are cross–listed on …

The large deviation of the actual return of a leveraged exchange-traded fund (LETF) from
the leveraged multiple of the underlying index return has drawn considerable attention from …

This paper examines volume and volatility dynamics by accounting for market activity
measured by the time duration between two consecutive transactions. A time-consistent vector …

Using a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity
model, we examine the patterns of information flows for three financial futures contracts that are …

Using the longest history of a US equity market index, this paper simulates the return deviation
and multiple deviation for Leveraged Exchange-Traded Products (LETPs) with different …

In this article, we examine the relation between return volatility, average trade size, and the
frequency of transactions using transaction data. Consistent with Jones, Kaul, and Lipson (…