Coping With The Risk Of Interest Rate Fluctuations: The Case Of Kuwait Banks

This study analyzed immunization behavior of a sample of eight Kuwait banks during the 1994 through 2000 period.  The financial market in Kuwait experienced relative stability of interest rates during the analysis period.  The sample banks seemed to adjust their portfolio of assets and liabilities by equating Macaulay duration of assets and Macaulay duration of liabilities.  We could not reject the null hypothesis that there is no difference between average Macaulay duration of assets and that of liabilities.  Our findings indicate that banks in Kuwait are able to match the durations of their assets and liabilities

UK Housing Market: Time Series Processes with Independent and Identically Distributed Residuals

The paper examines whether a univariate data generating process can be identified which explains the data by having residuals that are independent and identically distributed, as verified by the BDS test. The stationary first differenced natural log quarterly house price index is regressed, initially with a constant variance and then with a conditional variance. The only regression function that produces independent and identically distributed standardised residuals is a mean process based on a pure random walk format with Exponential GARCH in mean for the conditional variance. There is an indication of an asymmetric volatility feedback effect but higher frequency data is required to confirm this. There could be scope for forecasting the index but this is tempered by the reduction in the power of the BDS test if there is a non-linear conditional variance process

The role of fundamentalists and technicians in the foreign exchange market when the domestic currency is pegged to a basket

The exchange rate of the Kuwaiti dinar against the Japanese yen is modelled in terms of the activities of fundamentalists and technicians as well as the effect of the exchange rate arrangement. The results show that market forces, as represented by the activities of traders, play a role in the determination of the exchange rate although this role is secondary to the effect of the exchange rate arrangement as represented by changes in the exchange rate of the Kuwaiti dinar against the US dollar. Non-nested model selection tests reveal that models that are based on market forces only or the exchange rate arrangement only are misspecified. There is some evidence indicating that the activity of technicians is more important for this process than the activity of fundamentalists.

On the validity of the weak form Efficient Markets Hypothesis applied to the London Stock Exchange

SIGLEGBUnited Kingdo

Testing efficiency and unbiasedness in the oil market

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.6345(SU-MS-DP--94.13) / BLDSC - British Library Document Supply CentreGBUnited Kingdo