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Do Africa stock markets exhibit any evidence of risk-return trade-off 非洲股市是否表现出风险回报权衡的迹象
International Journal of Bonds and Derivatives Pub Date : 2021-08-04 DOI: 10.1504/ijbd.2021.116970
K. Emenike
{"title":"Do Africa stock markets exhibit any evidence of risk-return trade-off","authors":"K. Emenike","doi":"10.1504/ijbd.2021.116970","DOIUrl":"https://doi.org/10.1504/ijbd.2021.116970","url":null,"abstract":"The purpose of this paper is to establish the nature of risk-return trade-off in selected Africa stock markets. Specifically, the paper evaluates stock markets in Cote d'Ivoire (BRVM), Kenya, Mauritius, Morocco, Nigeria, South Africa and Tunisia, for risk-return relationship. The paper employs AR(p)-GARCH(1, 1)-in-mean model on the seven stock markets over the 4 January 2010 to 30 November 2018 study period. The results evince positive and significant risk-return trade-off in the South Africa, Tunisia and Morocco stock markets. The results also show existence of positive but insignificant risk premium coefficients for the other Africa stock markets, which imply that stock markets in Cote d'Ivoire, Kenya, Mauritius, and Nigeria may not have compensated investors for inherent systematic risk. The results further suggest that investments in many of the Africa stock markets over the sample period would have provided returns uncorrelated with risk.","PeriodicalId":202228,"journal":{"name":"International Journal of Bonds and Derivatives","volume":"45 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133680663","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Price dissemination of international and domestic commodity markets 国际和国内商品市场的价格传播
International Journal of Bonds and Derivatives Pub Date : 2021-08-04 DOI: 10.1504/ijbd.2021.10040141
S. Thiyagarajan, S. Mahalakshmi, S. Kirithiga, G. Naresh
{"title":"Price dissemination of international and domestic commodity markets","authors":"S. Thiyagarajan, S. Mahalakshmi, S. Kirithiga, G. Naresh","doi":"10.1504/ijbd.2021.10040141","DOIUrl":"https://doi.org/10.1504/ijbd.2021.10040141","url":null,"abstract":"The major international commodity exchanges in which more trading of commodities takes place acts as price informative market apart from the producing countries market. The efficiency of national commodities market can be achieved when the market incorporates price information from these major commodity exchanges across the globe. Commodity futures market in general is said to inculcate all available information related to it from the spot market. Recently, the regulating authorities of the commodity exchanges in India have permitted 'eligible foreign entities' to participate in commodity derivatives markets for hedging their exposure. However, global entities speculate commodity prices through various commodity funds and have been considered as a popular financial investment rather than hedging (Mahalakshmi et al., 2012a). Thereby, commodity derivatives market imbibes international price information. Therefore, this paper deals with the objective of analysing the causal relationship that may exist among domestic spot, futures and overseas commodity prices.","PeriodicalId":202228,"journal":{"name":"International Journal of Bonds and Derivatives","volume":"468 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123657281","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The CDS-bond basis arbitrage in emerging markets: extreme sovereign risk 新兴市场cds -债券基套利:极端主权风险
International Journal of Bonds and Derivatives Pub Date : 2021-08-04 DOI: 10.1504/ijbd.2021.10040145
Imen Daoued, M. Gallali
{"title":"The CDS-bond basis arbitrage in emerging markets: extreme sovereign risk","authors":"Imen Daoued, M. Gallali","doi":"10.1504/ijbd.2021.10040145","DOIUrl":"https://doi.org/10.1504/ijbd.2021.10040145","url":null,"abstract":"Financial markets, that are interconnected, have become more threatening to the economic world, especially when engaging in risky transactions. After the global financial crisis of the 2008-2009, m...","PeriodicalId":202228,"journal":{"name":"International Journal of Bonds and Derivatives","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121236995","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modelling the dynamics of long-term bonds with Kalman filter 用卡尔曼滤波对长期债券的动力学建模
International Journal of Bonds and Derivatives Pub Date : 2021-08-04 DOI: 10.1504/ijbd.2021.10040148
Romeo Mawonike, Dennis Ikpe, S. Gyamerah
{"title":"Modelling the dynamics of long-term bonds with Kalman filter","authors":"Romeo Mawonike, Dennis Ikpe, S. Gyamerah","doi":"10.1504/ijbd.2021.10040148","DOIUrl":"https://doi.org/10.1504/ijbd.2021.10040148","url":null,"abstract":"We construct a time-consistent and arbitrage-free three-factor Vasicek model for long-term bonds. A new methodology based on a stochastic mean reversion rate which captures uncertainty in long-term...","PeriodicalId":202228,"journal":{"name":"International Journal of Bonds and Derivatives","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122252698","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Analysis of lead-lag relationship and volatility spillover: evidence from Indian agriculture commodity markets 前滞后关系与波动溢出分析:来自印度农产品市场的证据
International Journal of Bonds and Derivatives Pub Date : 2021-08-04 DOI: 10.1504/ijbd.2021.116972
Muneer Shaik, Abhiram Kartik Lanka, Gurmeet Singh
{"title":"Analysis of lead-lag relationship and volatility spillover: evidence from Indian agriculture commodity markets","authors":"Muneer Shaik, Abhiram Kartik Lanka, Gurmeet Singh","doi":"10.1504/ijbd.2021.116972","DOIUrl":"https://doi.org/10.1504/ijbd.2021.116972","url":null,"abstract":"This study examines the lead-lag relationship and volatility spillover in the Indian commodity derivatives market. The study has been conducted with ten commodities based on the availability of data and liquidity for the period of 2010 to 2020. Augmented dickey-fuller (ADF) test is used to check the stationarity of the price series. The study uses Johansen's cointegration test to check for the long-run relationship between the spot and the futures market. VECM and EGARCH(1,1) analysis is performed to examine the market efficiency, price discovery relationships, short-run relationships, and volatility spillover in Indian commodity markets. The study found efficiency in both the future and the spot market. Futures market leads spot markets for some commodities and absorbs the information shock faster and hence are more efficient and the same is verified by Granger causality. There is also evidence of bidirectional causality. The study found leverage effect, persistence effect, and volatility spillover effect for spot and futures markets.","PeriodicalId":202228,"journal":{"name":"International Journal of Bonds and Derivatives","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128035860","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Empirical study on the factors affecting bond market returns-evidence from Indian markets 债券市场收益影响因素的实证研究——来自印度市场的证据
International Journal of Bonds and Derivatives Pub Date : 2020-08-24 DOI: 10.1504/ijbd.2020.10031542
S. Sharma, B. Chhabra, N. Saxena
{"title":"Empirical study on the factors affecting bond market returns-evidence from Indian markets","authors":"S. Sharma, B. Chhabra, N. Saxena","doi":"10.1504/ijbd.2020.10031542","DOIUrl":"https://doi.org/10.1504/ijbd.2020.10031542","url":null,"abstract":"Capital market broadly includes fixed income securities i.e., bond market and equity market. In India, the retail investors are visible mainly in equity markets, whereas the institutional investors are involved in both the markets. Largely interest rates in the economy along with inflation rates and risk in equity markets influences the bond market yields. This paper examines the impact of equity market returns, volatility in equity markets (VIX) and rupee-dollar exchange rate on bond yields. As volatility in the equity market increases the demand for fixed income securities increases, thereby reducing the returns on bonds. In this study it is assumed that the various economic factors affecting bond yield are constant and it is the equity market returns, its volatility and the exchange rate which affects the bond yields.","PeriodicalId":202228,"journal":{"name":"International Journal of Bonds and Derivatives","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122302838","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Features of skewness-adjusted binomial interest rate models 偏度调整二项利率模型的特征
International Journal of Bonds and Derivatives Pub Date : 1900-01-01 DOI: 10.1504/ijbd.2020.10031540
A. Sen, R. Johnson
{"title":"Features of skewness-adjusted binomial interest rate models","authors":"A. Sen, R. Johnson","doi":"10.1504/ijbd.2020.10031540","DOIUrl":"https://doi.org/10.1504/ijbd.2020.10031540","url":null,"abstract":"","PeriodicalId":202228,"journal":{"name":"International Journal of Bonds and Derivatives","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123694562","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Measuring the diversification of a loan portfolio 衡量贷款组合的多样化
International Journal of Bonds and Derivatives Pub Date : 1900-01-01 DOI: 10.1504/ijbd.2020.10031533
A. Tourin
{"title":"Measuring the diversification of a loan portfolio","authors":"A. Tourin","doi":"10.1504/ijbd.2020.10031533","DOIUrl":"https://doi.org/10.1504/ijbd.2020.10031533","url":null,"abstract":"","PeriodicalId":202228,"journal":{"name":"International Journal of Bonds and Derivatives","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133472455","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Short-term versus longer-term persistence in performance of equity mutual funds: evidence from the Greek market 股票共同基金表现的短期与长期持续性:来自希腊市场的证据
International Journal of Bonds and Derivatives Pub Date : 1900-01-01 DOI: 10.1504/ijbd.2020.10031530
Drosos Koutsokostas, Spyros Papathanasiou, N. Eriotis
{"title":"Short-term versus longer-term persistence in performance of equity mutual funds: evidence from the Greek market","authors":"Drosos Koutsokostas, Spyros Papathanasiou, N. Eriotis","doi":"10.1504/ijbd.2020.10031530","DOIUrl":"https://doi.org/10.1504/ijbd.2020.10031530","url":null,"abstract":"","PeriodicalId":202228,"journal":{"name":"International Journal of Bonds and Derivatives","volume":"90 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130696609","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Googling investor's sentiment, financial stress and dynamics of European market indexes: a Markov chain analysis 谷歌投资者情绪、金融压力和欧洲市场指数动态:马尔科夫链分析
International Journal of Bonds and Derivatives Pub Date : 1900-01-01 DOI: 10.1504/ijbd.2020.10031551
F. Souissi, Mouna Boujelbène Abbes, Yousra Trichilli
{"title":"Googling investor's sentiment, financial stress and dynamics of European market indexes: a Markov chain analysis","authors":"F. Souissi, Mouna Boujelbène Abbes, Yousra Trichilli","doi":"10.1504/ijbd.2020.10031551","DOIUrl":"https://doi.org/10.1504/ijbd.2020.10031551","url":null,"abstract":"","PeriodicalId":202228,"journal":{"name":"International Journal of Bonds and Derivatives","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115628375","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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