Template-Type: ReDIF-Article 1.0 Author-Name: S. Thiyagarajan Author-X-Name-First: S. Author-X-Name-Last: Thiyagarajan Author-Name: S. Mahalakshmi Author-X-Name-First: S. Author-X-Name-Last: Mahalakshmi Author-Name: S. Kirithiga Author-X-Name-First: S. Author-X-Name-Last: Kirithiga Author-Name: G. Naresh Author-X-Name-First: G. Author-X-Name-Last: Naresh Title: Price dissemination of international and domestic commodity markets Abstract: The major international commodity exchanges in which more trading of commodities takes place acts as price informative market apart from the producing countries market. The efficiency of national commodities market can be achieved when the market incorporates price information from these major commodity exchanges across the globe. Commodity futures market in general is said to inculcate all available information related to it from the spot market. Recently, the regulating authorities of the commodity exchanges in India have permitted 'eligible foreign entities' to participate in commodity derivatives markets for hedging their exposure. However, global entities speculate commodity prices through various commodity funds and have been considered as a popular financial investment rather than hedging (Mahalakshmi et al., 2012a). Thereby, commodity derivatives market imbibes international price information. Therefore, this paper deals with the objective of analysing the causal relationship that may exist among domestic spot, futures and overseas commodity prices. Journal: Int. J. of Bonds and Derivatives Pages: 179-195 Issue: 3 Volume: 4 Year: 2021 Keywords: international commodity price; futures price; commodity market; spot price; market integration; Granger causality. File-URL: http://www.inderscience.com/link.php?id=116959 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijbder:v:4:y:2021:i:3:p:179-195 Template-Type: ReDIF-Article 1.0 Author-Name: Imen Daoued Author-X-Name-First: Imen Author-X-Name-Last: Daoued Author-Name: Mohamed Imen Gallali Author-X-Name-First: Mohamed Imen Author-X-Name-Last: Gallali Title: The CDS-bond basis arbitrage in emerging markets: extreme sovereign risk Abstract: Financial markets, that are interconnected, have become more threatening to the economic world, especially when engaging in risky transactions. After the global financial crisis of the 2008-2009, massive investment funds with very short horizons flow to emerging market economy (EME). Since 2010, investors should face the illiquidity of the sovereign debt in this market. In order to understand the behavioural diversity of investors in emerging market (EM), this article focuses on the sovereign bonds and derivatives in emerging market during the European sovereign debt crisis and it aims to give an analysis of the influence of CDS-bond basis trade on the pricing of sovereign bonds. During the European sovereign debt crises (2010-2013), we will demonstrate that the liquidity situation of the emerging market sovereign bond is worsening. Our work is based on theoretical models of Brunnermeier and Pedersen (2009) that argue when the financial sector's funding liquidity and an asset's market liquidity risks join together, a liquidity spiral can develop. Journal: Int. J. of Bonds and Derivatives Pages: 196-220 Issue: 3 Volume: 4 Year: 2021 Keywords: emerging market; CDS-bond basis; European sovereign debt crises; funding liquidity; liquidity spiral; limits of arbitrage. File-URL: http://www.inderscience.com/link.php?id=116968 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijbder:v:4:y:2021:i:3:p:196-220 Template-Type: ReDIF-Article 1.0 Author-Name: Kalu O. Emenike Author-X-Name-First: Kalu O. Author-X-Name-Last: Emenike Title: Do Africa stock markets exhibit any evidence of risk-return trade-off? Abstract: The purpose of this paper is to establish the nature of risk-return trade-off in selected Africa stock markets. Specifically, the paper evaluates stock markets in Côte d'Ivoire (BRVM), Kenya, Mauritius, Morocco, Nigeria, South Africa and Tunisia, for risk-return relationship. The paper employs AR(<i>p</i>)-GARCH(1, 1)-in-mean model on the seven stock markets over the 4 January 2010 to 30 November 2018 study period. The results evince positive and significant risk-return trade-off in the South Africa, Tunisia and Morocco stock markets. The results also show existence of positive but insignificant risk premium coefficients for the other Africa stock markets, which imply that stock markets in Côte d'Ivoire, Kenya, Mauritius, and Nigeria may not have compensated investors for inherent systematic risk. The results further suggest that investments in many of the Africa stock markets over the sample period would have provided returns uncorrelated with risk. Journal: Int. J. of Bonds and Derivatives Pages: 221-235 Issue: 3 Volume: 4 Year: 2021 Keywords: risk-return trade-off; Africa stock markets; return volatility; GARCH-M model; capital assets pricing model; CAPM; portfolio investment and diversification; Côte d'Ivoire; BRVM; Kenya; Mauritius; Morocco; Nigeria; South Africa; Tunisia. File-URL: http://www.inderscience.com/link.php?id=116970 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijbder:v:4:y:2021:i:3:p:221-235 Template-Type: ReDIF-Article 1.0 Author-Name: Romeo Mawonike Author-X-Name-First: Romeo Author-X-Name-Last: Mawonike Author-Name: Dennis Ikpe Author-X-Name-First: Dennis Author-X-Name-Last: Ikpe Author-Name: Samuel Asante Gyamerah Author-X-Name-First: Samuel Asante Author-X-Name-Last: Gyamerah Title: Modelling the dynamics of long-term bonds with Kalman filter Abstract: We construct a time-consistent and arbitrage-free three-factor Vasicek model for long-term bonds. A new methodology based on a stochastic mean reversion rate which captures uncertainty in long-term bond yields is presented. To allow measurement errors to be accounted for in observed yields, the model is expressed in a state space form. Kalman filtering is then applied to filter uncertainty in the observed yields. An appropriate set of transition equations on state variables and measurement equations on observed yields are derived. Using historical market data from the US Treasury daily interest rates (March 2006 to June 2020), Germany Government bond yields (August 2000 to 15 January 2021) and Canada Government bond yields (16 January 2020 to 14 January 2021), parameters of one-, two- and three-factor models are estimated. The results indicate that the constructed Vasicek model can fit the US, Germany and Canada term structure of interest rates. Journal: Int. J. of Bonds and Derivatives Pages: 236-257 Issue: 3 Volume: 4 Year: 2021 Keywords: short rate; Vasicek model; Kalman filter; term structure; interest rate. File-URL: http://www.inderscience.com/link.php?id=116971 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijbder:v:4:y:2021:i:3:p:236-257 Template-Type: ReDIF-Article 1.0 Author-Name: Muneer Shaik Author-X-Name-First: Muneer Author-X-Name-Last: Shaik Author-Name: Abhiram Kartik Lanka Author-X-Name-First: Abhiram Kartik Author-X-Name-Last: Lanka Author-Name: Gurmeet Singh Author-X-Name-First: Gurmeet Author-X-Name-Last: Singh Title: Analysis of lead-lag relationship and volatility spillover: evidence from Indian agriculture commodity markets Abstract: This study examines the lead-lag relationship and volatility spillover in the Indian commodity derivatives market. The study has been conducted with ten commodities based on the availability of data and liquidity for the period of 2010 to 2020. Augmented dickey-fuller (ADF) test is used to check the stationarity of the price series. The study uses Johansen's cointegration test to check for the long-run relationship between the spot and the futures market. VECM and EGARCH(1,1) analysis is performed to examine the market efficiency, price discovery relationships, short-run relationships, and volatility spillover in Indian commodity markets. The study found efficiency in both the future and the spot market. Futures market leads spot markets for some commodities and absorbs the information shock faster and hence are more efficient and the same is verified by Granger causality. There is also evidence of bidirectional causality. The study found leverage effect, persistence effect, and volatility spillover effect for spot and futures markets. Journal: Int. J. of Bonds and Derivatives Pages: 258-279 Issue: 3 Volume: 4 Year: 2021 Keywords: lead-lag; volatility spillover; agriculture commodity futures; price discovery; VECM; EGARCH. File-URL: http://www.inderscience.com/link.php?id=116972 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijbder:v:4:y:2021:i:3:p:258-279