Stock index futures: implications for international capital taxation

Article Abstract:

The influence of stock index futures on corporate capital structure and investor portfolio choice in the international market is investigated. Specifically, it is shown that tax and currency appreciation rates influence firms and investors to specialize in certain securities and diversify their risks through futures positions. Since investors can minimize their risks, governments should not levy taxes on corporate revenue but should tax interest and capital gains.

Capital investments, Stock index futures

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Is the correlation in international equity returns constant: 1960-1990?

Article Abstract:

The relationship of monthly national surplus returns of seven leading industrialized countries to each other is discussed. The time period under study covers the years 1960-1990. Using a GARCH model, it is shown that the correlation has become stronger over the years especially during periods of uncertainty. Furthermore, economic determinants such as interest rates and yields were revealed to possess information that point to future trends.

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Optimal currency hedge ratios and interest rate risk

Article Abstract:

A framework for the interpretation of the optimal currency hedge ratios on foreign investments that takes into account interest rate risk is presented. The model assumes that investors maximize their expected utility and focus on the currency hedging decision and that a single forward currency contract is used. Two discount bonds, a foreign and a domestic one, are considered. The five components of the optimal hedging policy are described.

Methods, Hedging (Finance), Financial management

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