Efficiency of Currency Derivatives in Price Discovery Process: Evidences from India

Sharma, Prashant; Chotia, Varun

doi:10.4236/tel.2019.95106

Cited by 3 publications

(2 citation statements)

References 38 publications

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“…In the case of other types of commodities such as energy (Shrestha 2014), metals, and agricultural commodities (Chinn and Coibion 2014;Dimpfl et al 2017), the researchers have presented empirical evidence supporting the existence of PD. The researchers have made efforts to empirically test the price discovery in the currency market (Chen and Gau 2010;Osler et al 2011;Rosenberg and Traub 2009;Kumar 2018;Sharma and Chotia 2019;Fassas et al 2020;Akyildirim et al 2020). Chen and Gau (2010) used the USD and Euro and Yen, Kumar (2018) considered the USD and INR, ZAR, and BRL, and Sharma and Chotia (2019) used the INR and USD, EURO, GBP, and JPY.…”

Section: Co-citation Network and Clustering Of Articles (Rq5)mentioning

confidence: 99%

Research on Price Discovery in Financial Securities: Trends and Directions for Future Research

Sharma,

Agrawal,

Arora

et al. 2023

JRFM

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The futures contracts were introduced to act as hedging instruments and ensure the price discovery (referred to as PD hereafter) mechanism for the underlying securities. If the price movement of a futures contract leads the price movement of the underlying securities in the spot market, this confirms the existence of price discovery in the market. This study undertakes an in-depth analysis of past research in order to find research trends and directions for the future in the field of price discovery. The bibliometric analysis technique is used to analyse the existing literature. The study considers the 1431 documents collected from the Scopus database for the period of 1982–2021 to conduct the descriptive and network analysis of search results. The study identifies three key clusters, i.e., the foundation of the price discovery process (Cluster 1), the econometric tools and techniques to assess the price discovery process (Cluster 2), and price discovery under different market conditions and constraints (Cluster 3). After an in-depth content analysis of these clusters, the study provides suggestions for future research in the field of price discovery. The study is the first of its type to conduct an in-depth analysis of the literature of price discovery since inception, and provides directions for future research in the field.

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Section: Co-citation Network and Clustering Of Articles (Rq5)mentioning

confidence: 99%

Research on Price Discovery in Financial Securities: Trends and Directions for Future Research

Sharma,

Agrawal,

Arora

et al. 2023

JRFM

Self Cite

View full text Add to dashboard Cite

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“…This study examines the price discovery mechanism of the emerging economies with a special reference to the securities market of BRICS (Brazil, Russia, India, China and South Africa). The price discovery is the process of determining the prices of the spot market based on the prices of the futures market (Garbade and Silber, 1983;Kawaller et al, 1987;Chan, 1992;Hasbrouck, 2003;Bekiros and Diks, 2008;Sharma and Chotia, 2019).…”

Section: Introductionmentioning

confidence: 99%

Evidences on Price Discovery in Brics

Sharma

Arora

Gupta

2020

IJEFI

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The present study tries to assess the price discovery process in BRICS economies. The price discovery is tested by assessing the long run and short run causality between the future and spot market indices of BRICS economies. The study employs daily closing prices of spot and future indices of BRICS economies. After testing the stationarity and order of integration of spot and future market series, the study employs Johansen co-integration test to assess the long run co-integrating relationship between the two markets. The long run causality is tested using error correction mechanism and Wald test is used to assess the short run causality. The results of the study suggest that the price discovery process is taking place in case of Russia and China in long run. The short run causality exists between future and spot market in case of Brazil and Russia.

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Price discovery and volatility spillovers in the interest rate derivatives market

Chen,

Shang

et al. 2024

Humanit Soc Sci Commun

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The interest rate derivatives market is an important force in promoting the development of the bond market and is an effective tool to manage interest rate risk. The research on price discovery and volatility spillover of the market can help provide valuable reference information for investors. Based on treasury bond futures and interest rate swaps, the paper aims to discuss the price discovery function and spillover structure of the interest rate derivatives market. The paper establishes the information share model and spillover index model for empirical analysis. The results show that: First, the calculation results of the information share model show that the price discovery of treasury bond futures and interest rate swap markets is stronger than that of the spot market. Second, based on structural break analysis, treasury bond futures and interest rate swaps do not have breakpoints, while the treasury bond spot has three breakpoints. The paper divides the entire sample into four stages based on structural breakpoints and finds that the price discovery ability of the interest rate derivative market dynamically changed. Third, as a net spillover in the market, treasury bond futures have developed relatively stable. Both treasury bond futures and interest rate swaps have spillover effects on the spot market, indicating that China’s interest rate derivatives market can impact the treasury bond spot market.

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Efficiency of Currency Derivatives in Price Discovery Process: Evidences from India

Cited by 3 publications

References 38 publications

Research on Price Discovery in Financial Securities: Trends and Directions for Future Research

Research on Price Discovery in Financial Securities: Trends and Directions for Future Research

Evidences on Price Discovery in Brics

Price discovery and volatility spillovers in the interest rate derivatives market

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