Derivative Markets in Emerging Economies: A Survey

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

doi:10.2139/ssrn.2655554

Cited by 9 publications

(9 citation statements)

References 149 publications

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“…However, neither of these study methods address the issues of studying volatility in all the three markets together. Atilgan et al (2016) exhibit in a survey on derivatives that studies are mostly performed on price discovery, market structure and market efficiency. Moreover, studies are mainly performed on Taiwan, Korean and Chinese markets.…”

Section: Introductionmentioning

confidence: 99%

Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective

Rastogi

Athaley

2019

JRFM

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The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options, in order to provide input for hedging purposes and the formulation of policies for derivatives. The generalized method of moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of the volatility in the three markets is also tested for structural breaks. The main finding of the paper is that the volatility in the options market is not associated with volatility in spot and futures market. However, volatility in spot and futures markets are associated with each other. As a consequence, investors can use options for hedging purposes and policy makers do not need to be concerned about the imminent impact of options markets on spot markets. To the best of the authors’ knowledge, there is no other study which discusses the integration of volatility in the three markets. Moreover, the finding of this paper that the options market behaves differently compared to the futures market has also not been discussed in earlier studies.

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Section: Introductionmentioning

confidence: 99%

Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective

Rastogi

Athaley

2019

JRFM

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“…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 ().…”

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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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“…Since corporate risk management theory deals with firm-level risk and does not address a single type of risk (Guay, 1999), research on derivative use should focus more on aggregate firm risk, especially in emerging markets. In addition, emerging market studies typically focus on equity-index derivatives, thus more research is needed to explore the IR and currency derivative markets (Atilgan et al, 2016).…”

Section: Literature Reviewmentioning

confidence: 99%

State ownership and the risk‐reducing effect of corporate derivative use: Evidence from China

Guo

Pan

Tian

2021

Business Fin & Account

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Using hand-collected derivative use data on publicly listed firms in China, we document that derivative use has a significant risk-reducing effect, but this effect is 40% weaker in state-owned enterprises (SOEs) than in non-SOEs. We also find that soft-budget constraints and information transmission inefficiency are two mechanisms through which state ownership impedes this risk reduction. First, financial distress reduces the impact of the soft-budget constraints, mitigating the weaker risk-reducing effect of state control. Second, the risk-reducing effect of derivative use is weaker in local SOEs than in central SOEs, as the former are subject to more information frictions than the latter. Our paper provides new information and insight into risk management effectiveness from the perspective of ownership identity.

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Derivative Markets in Emerging Economies: A Survey

Cited by 9 publications

References 149 publications

Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective

Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective

The directional information content of options volumes

State ownership and the risk‐reducing effect of corporate derivative use: Evidence from China

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