Estimating the cost of equity for the regulated energy and infrastructure sectors in India

In this paper, we analyze the effects of derivatives of the Vietnam Ho Chi Minh (VN) Stock Index and VN30 futures contract for the underlying stock markets. We use the data taken from daily transactions in the market so that the research results will be more objective and more accurate. Specifically, we apply the Exponential Generalized Autoregressive Conditional Heteroscedastic (EGARCH) model to analyze the data. The results illustrate that the occurrence of leverage effects in the profitability of VN30 and VN stock indexes and the liquidity of futures contract transactions have increased over time. The main contribution of this paper is that it is possible to predict the growth trend of derivative securities to make appropriate recommendations for investors. However, the evidence still has some limitations since it only assesses the impact of futures contracts during the specific time, which is the period of instruments that have just appeared.

The Impact of Futures Contracts On Risk and Returns of the VN30 Index in Vietnam

Abstract Sparked by the ongoing advocacy for Africa’s derivatives initiatives, this work seeks to uncover the linkage between derivatives use and the business lending efficiency of banks in selected African economies. We studied a panel of 147 banks from 14 African countries between 2011 and 2017, using two competing non-parametric and parametric approaches for efficiency analysis. Respectively, Simar and Wilson’s (2007) two-stage double-bootstrap techniques (non-parametric) and an ML-based Bayesian SFA model (parametric) reflect the desired dynamic (instead of static) efficiency representations for panel analyses. Despite conflicting bank efficiency interpretations, both investigations corroborate the existence of widespread inefficiency of markets in Africa, which is likely strengthened by harmful fragmentation in the continent’s financial/capital markets, market illiquidity, a lack of transparency, and informational inefficiency, among others.

Derivatives use and the business lending efficiency of African banks

Liquidity is an important factor for smooth trading for all assets including equities traded in the stock markets. Stock exchanges enable buyers and sellers to come together for transaction and in ...

Shalu Kalra

Papers

The Impact of Derivative Trading on the Liquidity of Stocks