Forthcoming and Online First Articles

International Journal of Financial Markets and Derivatives

International Journal of Financial Markets and Derivatives (IJFMD)

Forthcoming articles have been peer-reviewed and accepted for publication but are pending final changes, are not yet published and may not appear here in their final order of publication until they are assigned to issues. Therefore, the content conforms to our standards but the presentation (e.g. typesetting and proof-reading) is not necessarily up to the Inderscience standard. Additionally, titles, authors, abstracts and keywords may change before publication. Articles will not be published until the final proofs are validated by their authors.

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International Journal of Financial Markets and Derivatives (3 papers in press)

Regular Issues

  • Equilibrium interest rate models for the Indian Government security market   Order a copy of this article
    by Sunrita Chaudhuri, Alok Pandey 
    Abstract: Post the financial sector reforms of the 1990s, increasingly, interest rates in the debt segment are being determined by the market. Active participants in the debt market, therefore, need to use appropriate models to ensure fair pricing of interest rate related products and their derivatives. The two most widely used equilibrium models are Vasicek and Cox Ingersoll and Ross Model. This study estimates the parameters of the Vasicek and Cox and Ingersoll and Ross model using 91Days T-Bills data from the Indian market. Thereafter the term structure of interest rates is simulated for future periods. Finally the model parameters are used to price interest rate related instruments and derivative instruments.
    Keywords: Vasicek model; Cox Ingersoll and Ross model; calibration; maximum likelihood estimation; MLE; ordinary least squares; OLS; pricing of interest rate options.
    DOI: 10.1504/IJBD.2021.10045292
     
  • Price discovery and volatility connectedness in Indian gold market: a study of ETFs, spot and futures   Order a copy of this article
    by Chanchal Saini, Ishwar Sharma 
    Abstract: We examined the relationship among Indian gold exchange-traded funds (ETFs), spot, and futures markets through price discovery and volatility spillover. Eleven gold ETFs traded on NSE, spot price prevailed in Ahmedabad, and the nearest futures contract traded on the MCX have been chosen for the study. The period is taken from the inception of each gold ETF till 31 December 2023. We used a new measure, i.e., price leadership share (PLS), based on the Markov chain and found that the futures market leads in price discovery. The ETF market’s price discovery is improved compared to the spot market. Applying the TVP-VAR extended joint connectedness approach; we found that futures transmit volatility, while spot and ETFs are net receivers. These findings have important implications for government policy making and investors’ risk management strategies. The study contributes new evidence on the price discovery and volatility transmission dynamics in the Indian gold market.
    Keywords: price leadership share; TVP-VAR extended joint connectedness; Indian gold market; market efficiency; information flow.
    DOI: 10.1504/IJFMD.2024.10065001
     
  • The impact of CDX spreads on individual credit default swap contracts   Order a copy of this article
    by Zagdbazar Davaadorj 
    Abstract: The study empirically tests whether CAPM can effectively explain the spread of CDSs by evaluating systematic risk within this market, and examines the impact of the credit default swap index (CDX) on the pricing of individual CDS contracts across different sectors. The findings reveal the significant role of the CDX in signalling the overall health of the credit market and influencing individual CDS spreads, emphasising its importance for hedging purposes rather than for speculation. This study not only fills a critical gap by extending CAPM’s testing to the CDS market but also provides nuanced insights into the dynamics of credit risk management, which are crucial for investors and policymakers engaged in the financial markets. These findings underscore the need for a deeper understanding of market-wide indicators and their impact on pricing and risk assessment in the evolving landscape of financial derivatives.
    Keywords: credit default swap index; CDX; credit default swap; CDS; capital asset pricing model; CAPM.
    DOI: 10.1504/IJFMD.2024.10065198
     

 

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