Derivative markets in emerging economies: A survey

Atılgan, Yiğit; Demirtaş, Özgür; Simsek, Koray D.

doi:10.1016/j.iref.2015.11.001

Cited by 22 publications

(11 citation statements)

References 145 publications

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“…Information about future prices is more likely to reflect future demand, thus influencing production and storage decisions and eventually reducing spot price volatility. Atilgan et al (2016) offer an updated survey on the literature on derivatives in emerging countries, dividing empirical studies into groups according to the function of the derivatives market. In addition to updating the function of the derivatives market on hedging and risk management as well as price discovery in the spot market, they explore issues regarding market structure and efficiency, as well as risk and price measurement.…”

Section: Introductionmentioning

confidence: 99%

The Importance of the Financial Derivatives Markets to Economic Development in the World’s Four Major Economies

Vo¹,

Huynh²,

Dao³

2019

JRFM

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Over the past three decades, China and India have attained economic power close to that of Japan and the U.S. During this period, the importance of the derivatives market within the financial market has been widely recognized. However, little supporting evidence is available on its economic effects. This paper investigates the dynamic relationship between the derivatives markets and economic development in these four large economies, which we consider together as the CIJU (China, India, Japan, and the U.S.) group. We use a Granger-causality test in the framework of a vector error correction model (VECM) to examine this causal and dynamic relation with data for the period 1998Q1 to 2017Q4. Derivative markets are found to positively contribute to economic development in the short run in the U.S., Japan, and India, but the effect disappears in the long run. In China, the derivatives market has a negative effect on economic development in the short run. However, in the long run, we observe a positive effect from the derivatives market on economic development based on two long-run estimation techniques, namely, dynamic ordinary least squares and fully modified ordinary least squares. Also, the development of derivative markets causes growth volatility in India, both in the short run and long run.

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Section: Introductionmentioning

confidence: 99%

The Importance of the Financial Derivatives Markets to Economic Development in the World’s Four Major Economies

Vo¹,

Huynh²,

Dao³

2019

JRFM

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“…In this study, based on the detailed classifications that consider the properties of each option transaction, we reexamine the directional information content of various options 2 Recently, market microstructure research in the context of emerging derivatives markets has received great attention. The derivatives markets in emerging economies are well documented and surveyed by Atilgan, Demirtas, and Simsek (2016). 3 Muravyev, Pearson, and Broussard (2013) and Muravyev (2016) are skeptical about the informative role of options trading.…”

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confidence: 99%

The directional information content of options volumes

Ryu

Yang

2018

Journal of Futures Markets

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This study examines the directional information content realized by trades in a highly liquid options market by constructing put–call volume ratios and decoupled options‐to‐spot volume ratios. By investigating whether the specific investor type predicts underlying returns and the method used to exploit a directional information advantage, we find that foreign investment firms can leverage their directional information by executing buy trades to open new positions. Their open‐buy trades significantly predict next‐day spot returns, whereas trades initiated by domestic firms do not. This relationship becomes stronger for out‐of‐the‐money, large, and short‐horizon options trades and during the short‐sale restriction period.

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“…In this study, we construct a cross-sectional momentum strategy following 5 The dominance of speculative trading seems to be a common phenomenon observed in Asia's emerging futures markets. Many recent studies report the dominance of speculative trading in the Asian futures markets, including the Korean and Taiwanese futures markets (Atilgan, Demirtas, & Simsek, 2016;Chou, Wang, & Wang, 2015;Han, Hwang, & Ryu, 2015;Lee, Lee, & Ryu, 2019;Ryu, 2011Ryu, , 2013Ryu, , 2015Webb, Ryu, Ryu, & Han, 2016), which are closely related to the Chinese futures markets in terms of geography, trading activities, and investor compositions. Asness et al (2013) methodology, which compares and ranks the returns of the instruments over the past 12 months.…”

Section: Time-series and Cross-sectional Momentumsmentioning

confidence: 99%

Time‐series momentum in China's commodity futures market

Ham

Cho

Kim

et al. 2019

Journal of Futures Markets

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This study examines the time‐series momentum in China's commodity futures market. We find that a time‐series momentum strategy outperforms classical passive long and cross‐sectional momentum strategies in terms of the Sharpe ratio, risk‐adjusted excess returns, and cumulative returns. The time‐series momentum strategy with a 1‐month look‐back period and a 1‐month holding period exhibits the best performance. We observe clear time‐series momentum patterns and find that the time‐series momentum strategy is effective in the Chinese commodity futures market. However, the momentum lasts for less time in China than in the United States because China's futures market seems to have a greater number of speculative investors.

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Derivative markets in emerging economies: A survey

Cited by 22 publications

References 145 publications

The Importance of the Financial Derivatives Markets to Economic Development in the World’s Four Major Economies

The Importance of the Financial Derivatives Markets to Economic Development in the World’s Four Major Economies

The directional information content of options volumes

Time‐series momentum in China's commodity futures market

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