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International Journal of Financial Markets and Derivatives

2009 - 2023

From Inderscience Enterprises Ltd
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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 Downloads
Dimitra Loukia Kolia and Simeon Papadopoulos
The relative efficiency of investment grade credit and equity markets pp. 43-58 Downloads
William J. Procasky
Finite difference solutions of the CEV PDE pp. 59-75 Downloads
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 Downloads
Simon Dreesmann, Tim Alexander Herberger and Michel Charifzadeh
Dynamic correlations of bond and equity futures and macroeconomic determinants: international evidence pp. 114-135 Downloads
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 Downloads
Alireza Rokhsari, Neda Doodman and Akbar Esfahanipour
Do shocks to Islamic stock index prices have transitory effects? pp. 336-358 Downloads
Muneer Shaik
Pricing of bond options in India pp. 359-383 Downloads
Sunrita Chaudhuri and Alok Pandey
Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio pp. 384-409 Downloads
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 Downloads
Saji George and P. Srinivasa Suresh
A directional movement trading strategy using jump-diffusion price dynamics pp. 223-243 Downloads
Satrajit Mandal and Sujoy Bhattacharya
The price of microstructure risk on emerging stock markets: towards an integration of African financial markets pp. 244-274 Downloads
Prince Hikouatcha, Hans Patrick Menik Bidias and David Kamdem
Analysing time varying co-movements among the US and BRICS stock markets pp. 275-289 Downloads
P. Lakshmi, S. Visalakshmi and Jeevananthan Manickavasagam
Performance measures and investment decisions: evidence from international stock markets pp. 290-313 Downloads
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 Downloads
Sascha Wilkens
Is overreaction/underreaction chosen by managers? Evidence from Greece pp. 116-147 Downloads
William Forbes, George Giannopoulos and Len Skerratt
An event study on the impacts of Covid-19 on the global stock markets pp. 148-168 Downloads
Dharen Kumar Pandey and Vineeta Kumari
Impact of COVID on the stock market: a study of BRIC countries pp. 169-184 Downloads
Varuna Kharbanda and Rachna Jain
Using conditional asymmetry to predict commodity futures prices pp. 185-203 Downloads
Fabio S. Dias

Volume 8, issue 1, 2021

Informed trading or liquidity trading: a theoretical formulation pp. 1-22 Downloads
Rebecca Abraham
Liquidity in high resolution in limit order markets pp. 23-49 Downloads
Sudhanshu Pani
Transition and measurement noise correlation in affine and Gaussian models: the case of oil prices pp. 50-64 Downloads
Carla Gomes Costa De Souza and Fernando Antonio Lucena Aiube
Co-skewness, co-kurtosis and their implications on asset pricing of cryptocurrencies pp. 65-78 Downloads
Nagy Bálint Zsolt and Benedek Botond
Volatility transmissions between commodity futures contracts in short, medium and long term pp. 79-99 Downloads
Mathias Schneid Tessmann, Regis Ely and Mário Duarte Canever

Volume 7, issue 4, 2020

Stress test techniques using drawdown metrics: a Brazilian case study pp. 315-336 Downloads
Arthur Geronazzo and João Luiz Chela
A theory of 'auction as a search' in speculative markets pp. 337-374 Downloads
Sudhanshu Pani
The valuation of options on index futures with stochastic dividend yields pp. 375-396 Downloads
Enrique A. Zambrano and Rednaxela Sequera
Country risk and increasing returns to credibility gains: analysis for an emerging economy pp. 397-413 Downloads
Kiara De Deus Demura and Ricardo Ramalhete Moreira
Equilibrium in options' incomplete markets pp. 414-423 Downloads
Christos Kountzakis

Volume 7, issue 3, 2020

The role of investor sentiment in the valuation of bitcoin and bitcoin derivatives pp. 203-223 Downloads
Rebecca Abraham
Bitcoin's innovative aspects, return volatility and uncertainty shocks pp. 224-245 Downloads
Bruno Ferreira Frascaroli
A study of IPO listing returns in National Stock Exchange pp. 246-264 Downloads
Rajkumar Sharma, Amit Chaudhary and Navneet Gera
The valuation of currency call options in selected target zones: a theoretical formulation pp. 265-290 Downloads
Rebecca Abraham
Price discovery and volatility spillovers in commodity market: a review of empirical literature pp. 291-314 Downloads
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 Downloads
Antonio Focacci
A performance evaluation of smart beta exchange traded funds pp. 124-162 Downloads
Gerasimos G. Rompotis
Measuring portfolio risk of non-energy commodity using time-varying vine copula pp. 163-190 Downloads
Zeineb Attafi, Ahmed Ghorbel and Younes Boujelbene
Destabilising the financial system via banking channel pp. 191-202 Downloads
Athanasios Tsagkanos, George Golfis and Konstantina Pendaraki

Volume 7, issue 1, 2019

Volatility estimation for cryptocurrencies using Markov-switching GARCH models pp. 1-14 Downloads
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 Downloads
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 Downloads
João Luiz Chela and Rodolfo Rosina
Concentration measures in emerging banking pp. 54-67 Downloads
Mohamed Bilel Triki and Samir Maktouf
Predictable risks and returns: further evidence from the UK stock market pp. 68-100 Downloads
Catherine Georgiou, Chris Grose and Fragiskos Archontakis

Volume 6, issue 3, 2018

Do simple traders' rules perform better than the GARCH model? Evidence from currency options in India pp. 183-209 Downloads
Aparna Bhat
Improvements in forecasting of bank stock excess returns using the investor sentiment endurance index: a comparison with CAPM and Fama-French models pp. 210-224 Downloads
Ling T. He and K. Michael Casey
MCDM modelling of purchase determinants for portfolio products recommended by financial advisors pp. 225-239 Downloads
Yi-Hui Chiang
The Asian financial crisis: market inefficiency and speculative bubbles pp. 240-267 Downloads
Rattaphon Wuthisatian and Namporn Thanetsunthorn

Volume 6, issue 2, 2017

CDS spreads in the aftermath of central clearing pp. 75-101 Downloads
Orçun Kaya
A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics pp. 102-119 Downloads
Arti Singh and Selvamuthu Dharmaraja
The impact of market participants' interaction on futures prices: comparing three US wheat futures markets pp. 120-148 Downloads
David Bosch
Information processing in freight and freight forward markets: an event study on OPEC announcements pp. 149-181 Downloads
Philipp Lauenstein and André Küster Simic

Volume 6, issue 1, 2017

The impact of monetary policy expectations on interbank interest rates in Malaysia pp. 1-11 Downloads
Takayasu Ito
Intraday price discovery in Indian stock index futures market: new evidence from neural network approach pp. 12-29 Downloads
Saurabh Kumar and Sarveshwar Kumar Inani
Correlation asymmetry and implication on hedging pp. 30-56 Downloads
Abdelwahed Trabelsi and Asma Ennabli
Bond pricing under the generalised Black-Karasinski models pp. 57-73 Downloads
Nawdha Thakoor, Désiré Yannick Tangman and Muddun Bhuruth
Page updated 2023-06-06