the risk free rate of return plays a main role in financial economic theory and financial markets. due to prohibition of interest in islamic countries there is no specific financial instrument with risk free rate of return as a criterion for measuring the risk free rate of market. we apply the kalman filter to estimate this variable for financial markets in iran. the technique is based on a sta...

The way in which financial markets are framed depends on who is doing the framing, although there are reflexive interdependencies between these framings. The underlying argument of the paper is that the way in which financial markets are framed in theory should reflect the different framings in the economy, and that this may benefit from input from other disciplines. Mainstream economics frames...

Should we regulate complex securities, subject them to an FDA-style approval process, or limit who can invest in them? To answer these questions, one first needs to establish why complexity matters, and what defines a complex security. Complexity is an important concept in financial markets with boundedly rational agents, but that finding a workable definition of complexity is difficult. For ex...

Two parallel analyses are carried out in order to assess the degree of integration of financial markets within Europe, within East Asia, between these two regions, and with the external financial community. The investigation is based on cointegration and Granger causality techniques, to detect the presence of short-run and long-run cross-country relationships in equity and bond markets. The emp...

Using a spillover index approach, we investigate volatility spillovers across China’s stock, bond, commodity futures, and foreign exchange (FX) markets and their evolution during the period 2005–2015. We find that these four financial markets are weakly integrated. The stock market is the largest net sender of volatility spillovers to other markets, followed by the bond market, and the FX and c...

Do observed inefficiencies in betting markets generalize to real financial markets? Evidence from an online exchange with characteristics of both types of markets suggests they do not. This study replicates some known anomalies in sports wagering markets on the online exchange, such as overreaction to news. The observed inefficiencies do not generalize to other wagering markets, such as financi...

this paper tries to survey the independence of central bank of iran and its relationship to inflation by using the data of 56 developing countries during 1990s. the results signifies that there are no significant relationship between inflation and the independence of central banks in these countries. in other words, according to the existing evidences, not all the developing countries with high...