International Journal of Financial Markets and Derivatives

2009 - 2024

From Inderscience Enterprises Ltd
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Volume 10, issue 1, 2024

Price discovery and volatility connectedness in Indian gold market: a study of ETFs, spot and futures pp. 1-20

Chanchal Saini and Ishwar Sharma

Asian option pricing under negative asset price in commodity market pp. 21-34

Patrick Ge and Jerry Zhou

The impact of CDX spreads on individual credit default swap contracts pp. 35-46

Zagdbazar Davaadorj

Modelling options on football players using individual rankings and club market value: evidence from Italy pp. 47-69

Marco Cucculelli, Paritosh Navinchandra Jha, Francesca Mariani and Simone Orazi

Equilibrium interest rate models for the Indian Government security market pp. 70-86

Sunrita Chaudhuri and Alok Pandey

Volume 9, issue 3, 2023

The short-selling restriction and the post-crisis financial futures market in China pp. 137-154

Haoran Zhang

Is cryptocurrency still a safe haven for assets in light of the COVID-19 waves? Evidence from wavelet coherence analysis pp. 155-169

Riadh Benammar, Adel Boubaker and Anas Elmelki

Designing rainfall index based futures contracts: analysis of basis risk pp. 170-187

N. Dileep and G. Kotreshwar

Knowledge mapping of studies on implied volatility in equity derivatives markets: a bibliometric approach pp. 188-207

Vijay Kumar Sharma and Satinder Bhatia

An empirical testing of Black-Scholes option pricing model: a study of option moneyness (at-the-money) pp. 208-229

Rinky and Shakti Singh

Volume 9, issue 1/2, 2023

The effect of bank diversification on the capital, risk, profitability and efficiency of the eurozone and the US banks in the aftermath of the global financial crisis pp. 1-42

Dimitra Loukia Kolia and Simeon Papadopoulos

The relative efficiency of investment grade credit and equity markets pp. 43-58

William J. Procasky

Finite difference solutions of the CEV PDE pp. 59-75

Nawdha Thakoor

The Commitment of Traders report as a trading signal? Short-term price reversals and market efficiency in the US-futures market pp. 76-113

Simon Dreesmann, Tim Alexander Herberger and Michel Charifzadeh

Dynamic correlations of bond and equity futures and macroeconomic determinants: international evidence pp. 114-135

Nikiforos Laopodis, Theophano Patra and Vassilis Thomas

Volume 8, issue 4, 2022

Investigation of financial markets performance due to coronavirus outbreak: EGARCH and bivariate regression approach pp. 315-335

Alireza Rokhsari, Neda Doodman and Akbar Esfahanipour

Do shocks to Islamic stock index prices have transitory effects? pp. 336-358

Muneer Shaik

Pricing of bond options in India pp. 359-383

Sunrita Chaudhuri and Alok Pandey

Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio pp. 384-409

G.S. David Sam Jayakumar, W. Samuel and A. Sulthan

Volume 8, issue 3, 2022

Does behavioural risk explain the value premium? A study of Indian equity market pp. 205-222

Saji George and P. Srinivasa Suresh

A directional movement trading strategy using jump-diffusion price dynamics pp. 223-243

Satrajit Mandal and Sujoy Bhattacharya

The price of microstructure risk on emerging stock markets: towards an integration of African financial markets pp. 244-274

Prince Hikouatcha, Hans Patrick Menik Bidias and David Kamdem

Analysing time varying co-movements among the US and BRICS stock markets pp. 275-289

P. Lakshmi, S. Visalakshmi and Jeevananthan Manickavasagam

Performance measures and investment decisions: evidence from international stock markets pp. 290-313

Laurel Pasricha and Neelam Dhanda

Volume 8, issue 2, 2021

Computational challenges for value-at-risk and expected shortfall: Chebyshev interpolation to the rescue? pp. 101-115

Sascha Wilkens

Is overreaction/underreaction chosen by managers? Evidence from Greece pp. 116-147

William Forbes, George Giannopoulos and Len Skerratt

An event study on the impacts of Covid-19 on the global stock markets pp. 148-168

Dharen Pandey and Vineeta Kumari

Impact of COVID on the stock market: a study of BRIC countries pp. 169-184

Varuna Kharbanda and Rachna Jain

Using conditional asymmetry to predict commodity futures prices pp. 185-203

Fabio S. Dias

Volume 8, issue 1, 2021

Informed trading or liquidity trading: a theoretical formulation pp. 1-22

Rebecca Abraham

Liquidity in high resolution in limit order markets pp. 23-49

Sudhanshu Pani

Transition and measurement noise correlation in affine and Gaussian models: the case of oil prices pp. 50-64

Carla Gomes Costa De Souza and Fernando Antonio Aiube

Co-skewness, co-kurtosis and their implications on asset pricing of cryptocurrencies pp. 65-78

Nagy Bálint Zsolt and Benedek Botond

Volatility transmissions between commodity futures contracts in short, medium and long term pp. 79-99

Mathias Tessmann, Regis Ely and Mario Duarte Canever

Volume 7, issue 4, 2020

Stress test techniques using drawdown metrics: a Brazilian case study pp. 315-336

Arthur Geronazzo and João Luiz Chela

A theory of 'auction as a search' in speculative markets pp. 337-374

Sudhanshu Pani

The valuation of options on index futures with stochastic dividend yields pp. 375-396

Enrique Zambrano and Rednaxela Sequera

Country risk and increasing returns to credibility gains: analysis for an emerging economy pp. 397-413

Kiara De Deus Demura and Ricardo Ramalhete Moreira

Equilibrium in options' incomplete markets pp. 414-423

Christos Kountzakis

Volume 7, issue 3, 2020

The role of investor sentiment in the valuation of bitcoin and bitcoin derivatives pp. 203-223

Rebecca Abraham

Bitcoin's innovative aspects, return volatility and uncertainty shocks pp. 224-245

Bruno Ferreira Frascaroli

A study of IPO listing returns in National Stock Exchange pp. 246-264

Rajkumar Sharma, Amit Chaudhary and Navneet Gera

The valuation of currency call options in selected target zones: a theoretical formulation pp. 265-290

Rebecca Abraham

Price discovery and volatility spillovers in commodity market: a review of empirical literature pp. 291-314

Neha Seth and Arpit Sidhu

Volume 7, issue 2, 2019

Institutional investors' stocks portfolio strategies and commodity prices: a cross-correlation analysis in a financialisation context pp. 101-123

Antonio Focacci

A performance evaluation of smart beta exchange traded funds pp. 124-162

Gerasimos G. Rompotis

Measuring portfolio risk of non-energy commodity using time-varying vine copula pp. 163-190

Zeineb Attafi, Ahmed Ghorbel and Younes Boujelbene

Destabilising the financial system via banking channel pp. 191-202

Athanasios Tsagkanos, George Golfis and Konstantina Pendaraki

Volume 7, issue 1, 2019

Volatility estimation for cryptocurrencies using Markov-switching GARCH models pp. 1-14

Paulo Vitor Jordão Da Gama Silva, Marcelo Cabus Klotzle, Antonio Carlos Figueiredo Pinto and Leonardo Lima Gomes

Post global financial crisis modelling: credit risk for firms that are too big to fail pp. 15-39

Ephraim Clark, Sovan Mitra and Octave Jokung

Options pricing models of interest rate index: a comparative of pricing methodologies applied to the Brazilian market pp. 40-53

João Luiz Chela and Rodolfo Rosina

Concentration measures in emerging banking pp. 54-67

Mohamed Bilel Triki and Samir Maktouf

Predictable risks and returns: further evidence from the UK stock market pp. 68-100

Catherine Georgiou, Chris Grose and Fragiskos Archontakis