Impact of Single Stock Futures on the Volatility of Underlying Russian Stocks

This paper looks into the effect of Single Stock Futures (SSF) introduction on the trading volume and volatility of underlying stocks in two different Russian markets. The results indicate that there is very little evidence of trading volume shift from the spot market to the futures markets. Using a GARCH(1,1) model the underlying stock volatility for 5 different stocks are estimated and these results indicate that there is a reduction in volatility after the introduction of SSF in the majority of the stocks. Granger causality tests do not indicate that the futures trading causes significant changes in stock volatility

The Impact of Superannuation Fund Choice Legislation and the Global Financial Crisis on Australian Retail Fund Flows

We examine the extent to which cash flows into the Australian superannuation funds are affected by the past performance of the fund, the riskiness of the fund, the choice of superannuation fund legislation, and the global financial crisis. Both retail and wholesale investors base their investment decisions on the past performance of the funds. There is little evidence that the riskiness of the fund returns has any significance effect on the flow of funds. Legislation has resulted in more inflows into managed funds. There is more inflow into managed funds and equity funds since the period of the global financial crisis.Griffith Business School, Department of Accounting, Finance and EconomicsFull Tex

Underpricing of IPOs of U.S. Family Controlled Businesses

This paper evaluates the initial public offering to determine if there is any significant difference in the underpricing between Family Controlled Businesses (FCBs) and Non-Family Controlled Businesses (NFCBs), which in turn can shed light into the control and operational differences between the two groups. This study evaluates first day underpricing of IPOs in FCB versus NFCB during the 1996-2004 period and finds that FCBs experienced less underpricing on the first day of trading versus NFCBs. The FCBs paid higher underwriting fees for a less prestigious Investment Banker but experienced less underpricing

Time-varying Correlations and Optimal Allocation in Emerging Market Equities for the US Investors

Low correlations between asset returns increase the portfolio diversification benefits and for U.S. investors emerging market equities are one such class of assets. Several studies indicate that the correlations between asset returns are time-varying and using unconditional estimates of correlation in a portfolio optimization model can result in misallocation of assets. To overcome this problem we use multivariate GARCH models to estimate the time-varying correlations and use the same in portfolio optimization models. Ex-post return calculations show that unrestricted portfolios created with emerging stock indices and S&P 500 index outperform the S&P 500 index by itself. Since investors exhibit strong home bias in their portfolio choice, restricted optimization models are tested. Results indicate that if the total investment in emerging markets is restricted, a minimum investment of twenty percent in emerging markets is required to obtain significant diversification. With investments in each of the emerging market restricted to less than three percent, there was no significant diversification benefit