Causality between Arbitrage and Liquidity in Platinum Futures

Autor: Kentaro Iwatsubo, Clinton Watkins

Publikováno v: Journal of Risk and Financial Management; Volume 15; Issue 12; Pages: 593

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the deviatio

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2c9060740e7971ccd97a3b1602f0a157

Does firm-level productivity predict stock returns?

Autor: Takashi Hiroki, Kentaro Iwatsubo, Clinton Watkins

Publikováno v: Pacific-Basin Finance Journal. 72:101710

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::18b9e05e2f96c05da24f84e5b2b6d1c8
https://hdl.handle.net/20.500.14094/90009610

Size, Internationalization and University Rankings: Evaluating and predicting Times Higher Education (THE) data for Japan

Autor: Clinton Watkins, Tamotsu Nakamura, Michael McAleer

Publikováno v: E-Prints Complutense. Archivo Institucional de la UCM
instname
Sustainability, Vol 11, Iss 5, p 1366 (2019)
E-Prints Complutense: Archivo Institucional de la UCM
Universidad Complutense de Madrid
Sustainability
Volume 11
Issue 5
Sustainability (Switzerland), 11(5):1366. Multidisciplinary Digital Publishing Institute (MDPI)

International and domestic rankings of academics, academic departments, faculties, schools and colleges, institutions of higher learning, states, regions, and countries are of academic and practical interest and importance to students, parents, acade

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::177440430df475bebbe5d6b830e5f5db
https://eprints.ucm.es/id/eprint/54807/1/1915.pdf

Who influences the fundamental value of commodity futures in Japan?

Autor: Kentaro Iwatsubo, Clinton Watkins

Publikováno v: International Review of Financial Analysis. 67:101404

We present evidence on the asymmetric information content of six investor groups' transactions in the gold, platinum, gasoline and rubber futures markets on the Tokyo Commodity Exchange. Microstructure theory suggests that traders with superior infor

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::665fb07d5bf2359ff384a133006ae283
https://hdl.handle.net/20.500.14094/90006728

How has volatility in metals markets changed?

Autor: Michael McAleer, Clinton Watkins

Publikováno v: Mathematics and Computers in Simulation. 78:237-249

Within the industrial metals industry, there has been a great deal of interest surrounding trends in metals market volatility over time. This paper uses a rolling AR(1)-GARCH(1,1) model to estimate and forecast the volatility processes for daily retu

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::e4f9b791d359a518cd9a7b9abf546ee1
https://doi.org/10.1016/j.matcom.2008.01.015