发布求助
文献互助 智能选刊 最新文献

International Journal of Financial Markets and Derivatives最新文献

筛选
英文 中文
Using conditional asymmetry to predict commodity futures prices 利用条件不对称预测商品期货价格
International Journal of Financial Markets and Derivatives Pub Date : 2021-06-17 DOI: 10.1504/ijfmd.2021.10038842
Fabio S. Dias
{"title":"Using conditional asymmetry to predict commodity futures prices","authors":"Fabio S. Dias","doi":"10.1504/ijfmd.2021.10038842","DOIUrl":"https://doi.org/10.1504/ijfmd.2021.10038842","url":null,"abstract":"Despite decades of studies, there is still no consensus on what type of serial dependence, if any, might be present in risky asset returns. This manuscript provides an empirical study of the prices of energy commodities, gold and copper in the futures markets and demonstrates that, for these assets, the level of asymmetry of asset returns varies through time and can be forecast using past returns. A regime switching model is used to construct a managed futures trading strategy that provides returns that are statistically significant. It is also demonstrated how such model can be used to make probabilistic predictions of commodity prices in futures markets, which can be used to drive value-at-risk and potential future exposure metrics or guide dynamic hedging strategies of commodity price risk.","PeriodicalId":249154,"journal":{"name":"International Journal of Financial Markets and Derivatives","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130478876","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
An event study on the impacts of Covid-19 on the global stock markets 关于新冠肺炎对全球股市影响的事件研究
International Journal of Financial Markets and Derivatives Pub Date : 2021-06-17 DOI: 10.1504/ijfmd.2021.115871
V. Kumari, Dharen Kumar Pandey
{"title":"An event study on the impacts of Covid-19 on the global stock markets","authors":"V. Kumari, Dharen Kumar Pandey","doi":"10.1504/ijfmd.2021.115871","DOIUrl":"https://doi.org/10.1504/ijfmd.2021.115871","url":null,"abstract":"With a sample of 23 developed and 26 emerging market indices using the standard event methodology (Brown and Warner, 1980, 1985), with the market model estimation, the hypotheses that 'Covid-19 cases do not impact the stock market returns' and 'Covid-19 deaths do not impact the stock market returns' have been tested. The empirical results infer that the markets have reacted differently to different events. While the market reaction differs in the case of the first Covid-19 cases detected, the market reaction is similar in the case of the first Covid-19 deaths. The events have negatively and significantly impacted the global stock markets anticipating more severity in the future. The average change in the high-lows of the global indices has been minus 33%. However, this is an initial impact, and the long-term impact will be a topic for future research. The speed of recovery would depend upon how the outbreak is controlled and what are the future policy choices made by the governments.","PeriodicalId":249154,"journal":{"name":"International Journal of Financial Markets and Derivatives","volume":"50 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116827477","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: 17
Impact of COVID on the stock market: a study of BRIC countries 新冠肺炎疫情对股市的影响:基于金砖四国的研究
International Journal of Financial Markets and Derivatives Pub Date : 2021-06-17 DOI: 10.1504/ijfmd.2021.10038840
Varun Kharbanda, Rachna Jain
{"title":"Impact of COVID on the stock market: a study of BRIC countries","authors":"Varun Kharbanda, Rachna Jain","doi":"10.1504/ijfmd.2021.10038840","DOIUrl":"https://doi.org/10.1504/ijfmd.2021.10038840","url":null,"abstract":"The study examined the impact of COVID confirmed cases and deaths on BRIC countries' stock market return and volatility. The entire data was collected for the time duration from 1 June 2019 to 31 May 2020 for all the four BRIC nations. The results based on GARCH (1, 1) model revealed that stock markets were adversely affected due to COVID 19 crisis. Moreover, results suggest the negative correlation between stock market return and volatility index. The results are robust, as VAR-X model also suggests that volume of BRIC nations stock market have a negative significant impacted due to cases and deaths by COVID. The study highlights that investors are in a pessimistic mode due to COVID, which is evident from stock market results of BRIC nations. Overall, the results illustrate the changes in financial markets globally due to COVID.","PeriodicalId":249154,"journal":{"name":"International Journal of Financial Markets and Derivatives","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127494397","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: 4
The valuation of options on index futures with stochastic dividend yields 随机股息收益率指数期货期权的估值
International Journal of Financial Markets and Derivatives Pub Date : 2020-12-07 DOI: 10.1504/ijfmd.2020.10034054
Enrique A. Zambrano, Rednaxela Sequera
{"title":"The valuation of options on index futures with stochastic dividend yields","authors":"Enrique A. Zambrano, Rednaxela Sequera","doi":"10.1504/ijfmd.2020.10034054","DOIUrl":"https://doi.org/10.1504/ijfmd.2020.10034054","url":null,"abstract":"This paper develops a valuation model for European options on index futures considering the stochastic nature of dividend yields. In addition, this research examines two subjects: first, whether the assumption of stochastic dividend yields is relevant; and second, the model's performance regarding the futures volatility curve. The model is calibrated using maximum likelihood estimation. The results suggest that the assumption of stochastic dividend yields has a significant influence in the valuation of options on index futures, even after considering commission costs. In addition, the model performs well in explaining the observed futures volatility curve. In this sense, the findings suggest that investment strategies based on mathematical models must consider the stochastic nature of dividend yields.","PeriodicalId":249154,"journal":{"name":"International Journal of Financial Markets and Derivatives","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122001941","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
Equilibrium in options' incomplete markets 期权不完全市场中的均衡
International Journal of Financial Markets and Derivatives Pub Date : 2020-12-07 DOI: 10.1504/ijfmd.2020.10034056
Christos E. Kountzakis
{"title":"Equilibrium in options' incomplete markets","authors":"Christos E. Kountzakis","doi":"10.1504/ijfmd.2020.10034056","DOIUrl":"https://doi.org/10.1504/ijfmd.2020.10034056","url":null,"abstract":"This paper is devoted to the use of the incomplete by options' markets in the existence of equilibrium in the case where a financial market remains incomplete, even after including any European call and put options' pay-off, written on the pay-off of the initial markets' portfolios.","PeriodicalId":249154,"journal":{"name":"International Journal of Financial Markets and Derivatives","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131904977","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
Country risk and increasing returns to credibility gains: analysis for an emerging economy 国家风险与信用收益收益增加:对一个新兴经济体的分析
International Journal of Financial Markets and Derivatives Pub Date : 2020-12-07 DOI: 10.1504/ijfmd.2020.10034055
Kiara De Deus Demura, R. Moreira
{"title":"Country risk and increasing returns to credibility gains: analysis for an emerging economy","authors":"Kiara De Deus Demura, R. Moreira","doi":"10.1504/ijfmd.2020.10034055","DOIUrl":"https://doi.org/10.1504/ijfmd.2020.10034055","url":null,"abstract":"This article aimed to test how the monetary and fiscal policies' credibility impacts country risk by analysing the case of a relevant emerging economy. We performed estimates through OLS and GMM which showed that fiscal credibility can negatively affect country risk, rather than monetary credibility. This evidence corroborated the role of fiscal consolidation in order to shape a low and consistent level of country risk. At last, based on MS-regressions, we identified nonlinear credibility effects, which can be called increasing returns to fiscal credibility gains, thereby representing an innovation regarding previous studies.","PeriodicalId":249154,"journal":{"name":"International Journal of Financial Markets and Derivatives","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124567053","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
Stress test techniques using drawdown metrics: a Brazilian case study 使用缩减度量的压力测试技术:一个巴西案例研究
International Journal of Financial Markets and Derivatives Pub Date : 2020-12-07 DOI: 10.1504/ijfmd.2020.10034051
Arthur Geronazzo, N. A. Joã, O. Chela
{"title":"Stress test techniques using drawdown metrics: a Brazilian case study","authors":"Arthur Geronazzo, N. A. Joã, O. Chela","doi":"10.1504/ijfmd.2020.10034051","DOIUrl":"https://doi.org/10.1504/ijfmd.2020.10034051","url":null,"abstract":"The main objective of investors is to obtain the highest possible return, by running the lowest risk. This paper attempts to present a series of risk metrics based on maximum drawdown historical distributions. Maximum drawdown provides the information of the largest drop in the asset value that an investor can have in a given time interval. The metrics use historical simulation with different time intervals, holding period and confidence intervals. Backtest of these metrics is done to verify their adherence, so it shows that the maximum drawdown at risk using GEV metric is the metric that presents the highest approval rates in the different scenarios. The main contribution of this paper is the presentation of diferent risk metrics based on maximum drawdown, analyse of the best metric for each situation and applications of the metrics to risk management and to stress scenarios.","PeriodicalId":249154,"journal":{"name":"International Journal of Financial Markets and Derivatives","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116299029","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
A Study of IPO Listing Returns in National Stock Exchange 国家证券交易所IPO上市收益研究
International Journal of Financial Markets and Derivatives Pub Date : 2020-08-17 DOI: 10.1504/ijfmd.2020.10029241
Rajkumar Sharma, Amit Chaudhary, Navneet Gera
{"title":"A Study of IPO Listing Returns in National Stock Exchange","authors":"Rajkumar Sharma, Amit Chaudhary, Navneet Gera","doi":"10.1504/ijfmd.2020.10029241","DOIUrl":"https://doi.org/10.1504/ijfmd.2020.10029241","url":null,"abstract":"The goal of this study is to analyse the IPO listing returns in National Stock Exchange (NSE) and provide insights for retail investors study has considered a sample of 463 IPOs listed in NSE from January 2000 to August 2018. Mean listing return has been found to be 20.10% which is abnormally high as compared to mean market return which is 0.24. Out of 463 IPOs 66.74% IPOs gave positive listing returns which means these IPOs were underpriced. But we cannot generalise that all IPOs are underpriced because 33.26% IPOs were overpriced and gave negative listing returns. This study provides a base for retail investor to formulate investment strategy. This study shows that by subscribing for all IPOs (over a period of 18 years) and selling them on listing day, a retail investor could have earned about 99% more returns as compared to market return and savings bank account return.","PeriodicalId":249154,"journal":{"name":"International Journal of Financial Markets and Derivatives","volume":"92 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132000918","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
The role of investor sentiment in the valuation of bitcoin and bitcoin derivatives 投资者情绪在比特币和比特币衍生品估值中的作用
International Journal of Financial Markets and Derivatives Pub Date : 2020-08-17 DOI: 10.1504/ijfmd.2020.10031383
R. Abraham
{"title":"The role of investor sentiment in the valuation of bitcoin and bitcoin derivatives","authors":"R. Abraham","doi":"10.1504/ijfmd.2020.10031383","DOIUrl":"https://doi.org/10.1504/ijfmd.2020.10031383","url":null,"abstract":"Bitcoin is the currency of the blockchain, which promises cost reductions for businesses. This paper develops models to value bitcoin, bitcoin futures, and bitcoin options. It provides the theoretical basis for bitcoin pricing. Optimal bitcoin prices are derived at the intersection of an aberrancy utility function, a hyperbolic cosine utility function, and a Bessel utility function with price distributions. Rational investors value bitcoin on the basis of blockchain applications, while irrational investors' value bitcoin based on personal recommendations.","PeriodicalId":249154,"journal":{"name":"International Journal of Financial Markets and Derivatives","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129314539","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
Price discovery and volatility spillovers in commodity market: a review of empirical literature 商品市场的价格发现与波动溢出:实证文献综述
International Journal of Financial Markets and Derivatives Pub Date : 2020-08-17 DOI: 10.1504/ijfmd.2020.10031391
N. Seth, Arpit Sidhu
{"title":"Price discovery and volatility spillovers in commodity market: a review of empirical literature","authors":"N. Seth, Arpit Sidhu","doi":"10.1504/ijfmd.2020.10031391","DOIUrl":"https://doi.org/10.1504/ijfmd.2020.10031391","url":null,"abstract":"The purpose of this paper is to organise the present status of researches conducted on commodity market relationship, price discovery and volatility spillovers by reviewing the available literature. Other objectives of the present study are to classify the past studies under various categories, to provide an inclusive bibliography on the said topic and to evaluate the results of the studies taken into consideration by various researchers. Different sources were probed to review the past studies and out of thousands of paper, 130 research papers were considered, forming the sample for the present study. It was found that the research work on this topic has surged from 2010 to 2017, thus gaining consistently higher attention since then. The present study will aid academicians, practitioners future researchers, policy makers and other relevant stakeholders in studying the existing research work, as well as in setting the directions for future research work related to same subject area and use of such data in any field that can be contribute in a resourceful manner.","PeriodicalId":249154,"journal":{"name":"International Journal of Financial Markets and Derivatives","volume":"363 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123945918","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
下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信
小红书