Effect of the Use of Derivative Instruments on Stock Returns:Evidence from Banks in Emerging and Recently Developed Countries

Mohamed Rochdi Keffala, Christian de Peretti () and Chia-Ying Chan ()
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Mohamed Rochdi Keffala: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon, UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Christian de Peretti: ECL - École Centrale de Lyon - Université de Lyon, LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Chia-Ying Chan: Yuan-Ze University

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Abstract: The purpose of the paper is to examine the impact of derivatives usage on bankperformance. Four derivatives are used: forward, futures, options, and swaps. The bankperformance is measured by daily stock returns during the period 2003-2009. The sampleis composed of 74 banks from both emerging and "recently developed" countries. Thefindings reject usual hypothesis by showing a negative effect of derivatives onperformance in such countries. The main conclusion rejects the thesis stipulating thatderivatives are beneficial for banks, as for developed countries.

Keywords: Derivatives; banks; stock returns; emerging countries; Panel econometrics (search for similar items in EconPapers)
Date: 2015
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Published in The Empirical Economics Letters, 2015, 14 (11), ⟨10.13140/2.1.1548.9929⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04875609

DOI: 10.13140/2.1.1548.9929

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