Economic return and volatility spillovers of derivatives markets on a number of assets have
been extensively examined in the general economics literature. However, there are only a …

The aim of this paper is to study the integration of volatility in the three markets, viz. spot,
futures and options, in order to provide input for hedging purposes and the formulation of …

In this study, price discovery and granger causality relationship in BIST 30 spot and futures
markets and also volatility spillover between these markets are examined using intraday 1 …

In terms of investors, it is essential to be aware of the flow of information across markets and
build up investment policies in line with this information. The volatility spillover relationships …

Cash-futures basis, a proxy for arbitrage opportunities, is examined, and the impact of
informed trading and the changing roles of speculators and arbitrageurs are analyzed in …

This thesis investigates three unexplored areas in maritime freight and commodity markets;
1) the relationship between commodity and freight markets; 2) the interaction of freight …

This paper investigates basis spreads on index futures listed on the Taiwan Futures
Exchange. We analyze the role of speculators and of informed trading in Taiwan's futures …

In this article, we propose a new framework for addressing multivariate time-varying
volatilities. By employing methods of differential geometry, our model respects the geometric …

Yatırımcılar açısından piyasalara gelen bilgi akışına hâkim olabilmek ve yatırım politikalarını
bu bilgiler doğrultusunda hazırlayabilmek son derece önemli bir olgudur. Vadeli işlem …

This study examines the dynamics of the interrelation between option and stock markets
using the Markov-switching vector error correction model. Specifically, we calculate the …