Tezer Yelkenci

Volatility Linkages Among Gold Futures in Emerging Markets

ABSTRACT We aim to detect the cross-border volatility linkages among gold futures in emerging markets, which still remain an untapped area. China, India, Japan, Taiwan, Turkey, and U.S. futures markets are included in the sample. The volatility linkage analyses confirm the existence of volatility transmission among the majority of the sample countries’ gold futures. This article carries vital inferences and implications for policy makers and investors. The policy making is particularly important for China, which is a relatively isolated market. From investors’ perspective, the results indicate that the risk diversification and cross-market hedging opportunities in the emerging gold futures markets are quite limited.

A theoretical approach to financial distress prediction modeling

Purpose - The purpose of this paper is to examine a theoretical base for the financial distress prediction modeling over eight countries for a sample of 2,500 publicly listed non-financial firms for the period from 2000 to 2014. Design/methodology/approach - The prediction model derived through the theory has the potential to produce prediction results that are generalizable over distinct industry and country samples. For this reason, the prediction model is on the earnings components, and it uses two different estimation methods and four sub-samples to examine the validity of the results. Findings - The findings suggest that the theoretical model provides high-level prediction accuracy through its earnings components. The use of a large sample from different industries in distinct countries increases the validity of the prediction results, and contributes to the generalizability of the prediction model in distinct sectors. Originality/value - The results of the study fulfill the gap and extend the literature through a distress model, which has the theoretical origin enabling the generalization of the prediction results over different samples and estimation methods.

PRICE LINKAGES AMONG EMERGING GOLD FUTURES MARKETS

The gold futures in emerging markets have gained more importance in parallel to the increase in the size of gold trading in these markets. This research aims to detect the long-run price linkages and causality effects in these markets. China, Brazil, Russia, India, Korea, Taiwan, Turkey and Indonesia have been selected to represent emerging markets. US and Japan are also included as benchmark markets. The results denote the existence of long-term price dependencies and limited risk diversification benefits in the sample countries. The results further signify that China and Russia are the most isolated countries among the emerging markets sample.