A Survey of Emerging Derivatives Markets

Lien, Donald; Mei, Zhang

doi:10.2753/ree1540-496x440203

Cited by 48 publications

(18 citation statements)

References 136 publications

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“…In Latin America, Chilean derivative markets are far behind those of Brazil and Argentina. On the one hand, Lien and Zhang () point out that derivative markets contribute to the development of a country's financial infrastructure, making connections between cash markets, hedgers and speculators. On the other hand, Bouwman () emphasises that companies may use these financial instruments as an important risk management tool, while Géczy et al.…”

Section: Related Literature and Hypothesis Developmentmentioning

confidence: 99%

Use of Derivatives and Analysts’ Forecasts: New Evidence from Non‐financial Brazilian Companies

Antônio

Lima

Santos

et al. 2018

Australian Accounting Review

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This study investigates whether market analysts’ forecasts are influenced by the presence of derivative financial instruments in listed firms. From a sample of firms comprising 1173 derivative users and 7797 non‐users for the 2006–14 period, the results indicate the existence of less error behaviour (bias) on earnings per share forecasts for derivative user firms compared to non‐user firms. This finding suggests that these instruments may be used to protect businesses and provide greater stability in the results of companies that use them. The presence of derivative financial instruments is increasing among listed firms, and management can use them for hedging or speculation (thus mitigating or increasing risk). The literature contains few studies on this issue, and the general understanding relies on the assumption that derivative financial instruments provide relevant information for decision making.

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Section: Related Literature and Hypothesis Developmentmentioning

confidence: 99%

Use of Derivatives and Analysts’ Forecasts: New Evidence from Non‐financial Brazilian Companies

Antônio

Lima

Santos

et al. 2018

Australian Accounting Review

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“…Lien and Zhang (2008) surveyed 28 emerging markets and investigated the plausibility of effective hedging of financial market exposure in emerging markets. Lien and Zhang (2008) analysed several types of derivatives in multiple emerging markets in order to assess the effectiveness of hedging in volatile markets. This study showed that if structured strategies are affected, significant risk reduction is possible in various emerging markets.…”

Section: Literature Reviewmentioning

confidence: 99%

The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa

Bonga‐Bonga

Umoetok

2016

Applied Economics

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This paper provides an assessment of the comparative effectiveness of four econometric methods in estimating the optimal hedge ratio in an emerging equity market, particularly the South African equity and futures markets. The paper bases the effectiveness of hedging on volatility reduction and minimisation of the coefficient of variation of hedged returns as well as risk-aversion based utility maximisation. The empirical analysis shows that the single equation method estimated by ordinary least squares is the most effective over daily hedging periods. However, the vector error-correction method and multivariate GARCH methods are most effective over weekly and monthly hedging periods.

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“…Previous studies investigating the volatility linkages in the futures markets have focused on the commodity futures (for further reading, see Booth and Ciner 1997;Fung, Leung, and Xu 2003;Lien and Zhang 2008;Mahalik, Acharya, and Babu 2009;Yang, Zhang, and Leatham 2003) as well as stock index futures (for further reading, see Ahmad and Rahim 2009;Guo et al 2013;Hamao, Masulis, and Ng 1990). As summarized by Kumar and Pandey (2011), the findings of the earlier studies on cross-border volatility linkages in commodity futures markets suggest stronger linkages in highly traded commodities.…”

Section: Literature Reviewmentioning

confidence: 98%

Volatility Linkages Among Gold Futures in Emerging Markets

Baklaci¹,

Süer²,

Yelkenci³

2015

Emerging Markets Finance and Trade

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We aim to detect the cross-border volatility linkages among gold futures in emerging markets, which still remain an untapped area. China, India, Japan, Taiwan, Turkey, and U.S. futures markets are included in the sample. The volatility linkage analyses confirm the existence of volatility transmission among the majority of the sample countries' gold futures. This article carries vital inferences and implications for policy makers and investors. The policy making is particularly important for China, which is a relatively isolated market. From investors' perspective, the results indicate that the risk diversification and cross-market hedging opportunities in the emerging gold futures markets are quite limited.

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A Survey of Emerging Derivatives Markets

Cited by 48 publications

References 136 publications

Use of Derivatives and Analysts’ Forecasts: New Evidence from Non‐financial Brazilian Companies

Use of Derivatives and Analysts’ Forecasts: New Evidence from Non‐financial Brazilian Companies

The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa

Volatility Linkages Among Gold Futures in Emerging Markets

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