Journal of Economics and Finance

Open Interest, Volume, and Volatility: Evidence From Taiwan Futures Markets

This paper examines the relationships amongst volatility, total trading volume (TVOL) and total open interest (TOI) for three Taiwan stock index futures markets as well as the role of the latter two variables in the dynamics of GARCH modeling and forecasting. From both ex-post and ex-ante perspectives, we study this issue by using the VAR model and augmented GARCH-type models, respectively. For the GARCH-type models, we employ both symmetric and asymmetric models augmented with lagged logs in...

Unemployment and Compensating Wages: An Analysis of Shift Work

Compensating wages have been documented for a number of job attributes including working non-standard hours. Using data that aggregates across occupations, our analysis confirms a wage premium for working night shifts. However, the compensating wage is greater in areas where unemployment is low, suggesting that employers are less pressured to compensate for night shifts when employment opportunities are relatively scarce. If this result holds for other undesirable work characteristics, such a...

An Analysis of Australian Exchange Traded Options and Warrants

This study focuses on the price discovery process in Australian option and warrant markets. Characterizing these two markets in terms of their cost structures and institutional features, we formally test competing price discovery hypotheses. The general findings indicate that the warrants market is the dominant market suggesting that their lower trading cost outweigh their less attractive institutional features. Additionally, we find that idiosyncratic differences among firms may result in a ...

Distribution of Income and Expenditures Across Nations

This paper outlines a premise that state social and economic planning in recent decades were the outgrowth of Marxist doctrine, even though Marxism as an economic system failed to materialize. The paper addresses the rise of the New Left with its doctrine of radical economics and its influence for state planning. For this purpose, the paper compares 126 countries grouped by income distribution and income inequality. The findings indicate that richer economies perform better than economies of ...

Covariance Estimation: Do New Methods Outperform Old Ones?

This paper compares three new methods of estimating the asset returns covariance and evaluates their performances with the conventional covariance estimation methods. We find that taking a simple average of the historical sample covariance matrix and the covariance matrix estimated from the single-index model provides the best overall performance among all competing methods. In addition, we find that commonly used assessment criteria provide systematically different rankings, which explains t...

Do Wall Street Economists Believe in Okun's Law and the Taylor Rule?

We use data from the Wall Street Journal's semi-annual survey of professional economists to test whether individual economists' six-month-ahead predictions of real GDP growth, unemployment, short-term interest rates and inflation reflect Okun's Law and the Taylor Rule. We conclude the economists believe real growth is less responsive to unemployment-rate changes than the textbook version of Okun's Law; we also find the economists believe the Federal Reserve sets short-term interest rates by p...

Openness and the Speed of Adjustment in the Money Market

In an effort to fight inflation or recession, central banks manipulate the money supply. The speed with which a change in money supply could affect price level and the level of production differs from one country to another, depending on rigidities. The main purpose of this paper is to show that the adjustment speed among the mentioned macro variables is higher in countries that are more open. Using the bounds-testing approach, a relatively new approach to cointegration and error-correction m...