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

Keffala, Mohamed Rochdi; Peretti, Christian de; Chan, Chia Ying

doi:10.2139/ssrn.2480419

Cited by 4 publications

(4 citation statements)

References 36 publications

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“…However, there was no causality relationship identified between the use of derivatives for hedging purposes and systematic risk. The findings obtained share similarities with the findings reached in the studies carried out by Keffala and Peretti (2013).…”

Section: Resultssupporting

confidence: 89%

“…As a result of the study, it was identified that using derivatives was useful in avoiding interest rate risks. Keffala and Peretti (2013) investigated the relationship between the use of derivatives by banks in developed countries and borrowing risk along with credit risk and currency risk. The results of the study proved that there is a negative relationship between forward contracts and borrowing risk, while there is a negative relationship between swap contracts and credit risk, and a positive relationship between option contracts and currency risk.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Variables used in the model Source:Keffala and Peretti (2013),Kornel (2014). The models created in regard to cointegration relationship was built as indicated below.…”

mentioning

confidence: 99%

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The relationship between derivative instruments and systematic risk: a study on banks trading on BIST

Topaloğlu

Korkmaz

2019

Banks and Bank Systems

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This study is aimed to analyze the relationship between the use of derivative financial instruments for speculative and hedging purposes and systematic risk. The effect of the use of derivatives by seven banks trading on Borsa Istanbul during the period of June 2007 – December 2017 on systematic risk was studied using panel cointegration, causality and regression analyses. Banking sector was examined within the scope of the study, since the level of use of derivatives is high in this sector. It was identified in the study that there is a long-run cointegration relationship between the use of derivatives and systematic risk. It was also identified that there is a significant and negative relationship between the use of derivatives for speculative purposes and systematic risk. Furthermore, it was determined that there is a one-way causality relationship from the use of derivatives for speculative purposes towards systematic risk. However, there was no relationship identified between the use of derivatives for hedging purposes and systematic risk. On the other hand, significant and negative relationship was identified between swap transactions that banks use for speculative purposes and systematic risk, while there was no significant relationship determined between forward and option contracts and systematic risk.

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Section: Resultssupporting

confidence: 89%

Section: Literature Reviewmentioning

confidence: 99%

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The relationship between derivative instruments and systematic risk: a study on banks trading on BIST

Topaloğlu

Korkmaz

2019

Banks and Bank Systems

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“…Keffala, 2002, p. 49) Keffala et al (2013). also investigated the impact of the use of derivatives on bank performance in developing and recently developed counties and identified the negative impact of derivatives on bank performance in such countries(Keffala et al, 2013, p. 2).…”

mentioning

confidence: 99%

The effect of measuring derivative financial instruments on the financial position and profitability - the case of banks in Croatia

Perčević

Ercegović

2023

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Purpose: The purpose of this paper is to determine whether the effects of measuring derivative financial instruments affect the financial position and profitability of banks operating in the Croatian banking sector. Methodology: The survey covered all banks in Croatia that recognized derivative financial instruments in their financial statements in the period from 2017 to 2020. Descriptive statistical methods and correlation analysis were used to determine the impact of measuring derivatives on the financial position and profitability of Croatian banks. Results: The results of the research showed that banks that recognized the effects of measuring derivative financial instruments in their financial statements make up more than 80% of total assets of the Croatian banking sector. The share of the effects of measuring derivatives in total assets of banks that have recognized these effects is less than 0.5%. The results of the research also showed a medium-strong positive correlation between derivative financial assets and total bank assets and a medium-strong negative correlation between derivative financial liabilities and total bank assets. Furthermore, the results showed a weak positive correlation between derivatives and return on assets (ROA) and a weak negative correlation between derivative financial liabilities and ROA. Conclusion: The effects of measuring derivatives are recognized mainly in the financial statements of large banks. The results of the research showed that the effects of measuring derivative financial instruments did not have a more serious effect on the financial position and profitability of Croatian banks in the period from 2017 to 2020.

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The Use of Derivatives and Bank Risk Taking in China

Song

2014

SSRN Journal

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

Cited by 4 publications

References 36 publications

The relationship between derivative instruments and systematic risk: a study on banks trading on BIST

The relationship between derivative instruments and systematic risk: a study on banks trading on BIST

The effect of measuring derivative financial instruments on the financial position and profitability - the case of banks in Croatia

The Use of Derivatives and Bank Risk Taking in China

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