International Journal of Financial Markets and Derivatives

2009 - 2023

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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

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 Kumar 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 Lucena 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 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

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 A. 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

Volume 6, issue 3, 2018

Do simple traders' rules perform better than the GARCH model? Evidence from currency options in India pp. 183-209

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

Ling T. He and K. Michael Casey

MCDM modelling of purchase determinants for portfolio products recommended by financial advisors pp. 225-239

Yi-Hui Chiang

The Asian financial crisis: market inefficiency and speculative bubbles pp. 240-267

Rattaphon Wuthisatian and Namporn Thanetsunthorn

Volume 6, issue 2, 2017

CDS spreads in the aftermath of central clearing pp. 75-101

Orçun Kaya

A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics pp. 102-119

Arti Singh and Selvamuthu Dharmaraja

The impact of market participants' interaction on futures prices: comparing three US wheat futures markets pp. 120-148

David Bosch

Information processing in freight and freight forward markets: an event study on OPEC announcements pp. 149-181

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

Takayasu Ito

Intraday price discovery in Indian stock index futures market: new evidence from neural network approach pp. 12-29

Saurabh Kumar and Sarveshwar Kumar Inani

Correlation asymmetry and implication on hedging pp. 30-56

Abdelwahed Trabelsi and Asma Ennabli

Bond pricing under the generalised Black-Karasinski models pp. 57-73

Nawdha Thakoor, Désiré Yannick Tangman and Muddun Bhuruth