Template-Type: ReDIF-Article 1.0 Author-Name: Rebecca Abraham Author-X-Name-First: Rebecca Author-X-Name-Last: Abraham Title: The role of investor sentiment in the valuation of bitcoin and bitcoin derivatives Abstract: Bitcoin is the currency of the blockchain, which promises cost reductions for businesses. This paper develops models to value bitcoin, bitcoin futures, and bitcoin options. It provides the theoretical basis for bitcoin pricing. Optimal bitcoin prices are derived at the intersection of an aberrancy utility function, a hyperbolic cosine utility function, and a Bessel utility function with price distributions. Rational investors value bitcoin on the basis of blockchain applications, while irrational investors' value bitcoin based on personal recommendations. Journal: Int. J. of Financial Markets and Derivatives Pages: 203-223 Issue: 3 Volume: 7 Year: 2020 Keywords: asymmetric Laplace; investor sentiment; Kullback-Leibler; bitcoin; bitcoin futures; Levy; Khintchine; bitcoin options. File-URL: http://www.inderscience.com/link.php?id=109173 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:7:y:2020:i:3:p:203-223 Template-Type: ReDIF-Article 1.0 Author-Name: Bruno Ferreira Frascaroli Author-X-Name-First: Bruno Ferreira Author-X-Name-Last: Frascaroli Title: Bitcoin's innovative aspects, return volatility and uncertainty shocks Abstract: This paper investigates how Bitcoin's (BTC) return volatility is affected by the main global financial market indicators, its own innovative aspects and uncertainty. First, the strategy consists in estimate structural break tests to find significative regime switching in BTC returns. Next, conditional volatility parameters are estimated from multivariate perspective using the DCC-MGARCH model. At this stage, the Standard % Poor 500 index, China's SSEC stock index and the price of gold were used to estimate the quasi-covariances and quasi-correlations matrices of global drivers of BTC returns. In the last stage, impulse response functions are also estimated, in order to understand how BTC returns are affected by risk and uncertainty shocks. There are many factors and uncertainty surrounding the BTC market microstructure and indicators of a speculative bubble from the end of 2017 to mid-2018. The findings seem to point to barriers for investors and development of blockchain benefits. Journal: Int. J. of Financial Markets and Derivatives Pages: 224-245 Issue: 3 Volume: 7 Year: 2020 Keywords: Bitcoin; cryptocurrency; innovation; blockchain; global drivers; return volatility; uncertainty; structural break; MGARCH; VAR. File-URL: http://www.inderscience.com/link.php?id=109177 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:7:y:2020:i:3:p:224-245 Template-Type: ReDIF-Article 1.0 Author-Name: Rajkumar Sharma Author-X-Name-First: Rajkumar Author-X-Name-Last: Sharma Author-Name: Amit Chaudhary Author-X-Name-First: Amit Author-X-Name-Last: Chaudhary Author-Name: Navneet Gera Author-X-Name-First: Navneet Author-X-Name-Last: Gera Title: A study of IPO listing returns in National Stock Exchange Abstract: The goal of this study is to analyse the IPO listing returns in National Stock Exchange (NSE) and provide insights for retail investors study has considered a sample of 463 IPOs listed in NSE from January 2000 to August 2018. Mean listing return has been found to be 20.10% which is abnormally high as compared to mean market return which is 0.24. Out of 463 IPOs 66.74% IPOs gave positive listing returns which means these IPOs were underpriced. But we cannot generalise that all IPOs are underpriced because 33.26% IPOs were overpriced and gave negative listing returns. This study provides a base for retail investor to formulate investment strategy. This study shows that by subscribing for all IPOs (over a period of 18 years) and selling them on listing day, a retail investor could have earned about 99% more returns as compared to market return and savings bank account return. Journal: Int. J. of Financial Markets and Derivatives Pages: 246-264 Issue: 3 Volume: 7 Year: 2020 Keywords: initial public offering; IPO; listing return; under pricing; market return; National Stock Exchange; NSE; retail investor. File-URL: http://www.inderscience.com/link.php?id=109183 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:7:y:2020:i:3:p:246-264 Template-Type: ReDIF-Article 1.0 Author-Name: Rebecca Abraham Author-X-Name-First: Rebecca Author-X-Name-Last: Abraham Title: The valuation of currency call options in selected target zones: a theoretical formulation Abstract: The market for currency call options is growing rapidly with the number of options contracts traded daily in April 2016 at $254 billion, as reported in the Triennial Bank Survey of Foreign Exchange and OTC Derivatives (Bank for International Settlements, 2018). A European currency call option gives the owner the right to purchase foreign currency at a specified exercise price within a specified time period, suggesting that it offers gains for appreciating currencies. Speculators invest in currency call options to earn abnormal returns upon currency appreciation. The call option's chief purpose in trade is to hedge against adverse appreciations in foreign currency. An importer making future payment in foreign currency does not wish to increase payment due to appreciating values of foreign currency. The purchase of currency calls will permit the exchange of foreign currency at the exercise price, which if lower than the market exchange rate, yields a small gain to the option holder. If the exercise price is higher than the market exchange rate, the option would simply expire, with purchase of foreign currency at market rates. Journal: Int. J. of Financial Markets and Derivatives Pages: 265-290 Issue: 3 Volume: 7 Year: 2020 Keywords: currency call options; target zone; Green's theorem; utility theory; Bessel function; Legendre. File-URL: http://www.inderscience.com/link.php?id=109195 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:7:y:2020:i:3:p:265-290 Template-Type: ReDIF-Article 1.0 Author-Name: Neha Seth Author-X-Name-First: Neha Author-X-Name-Last: Seth Author-Name: Arpit Sidhu Author-X-Name-First: Arpit Author-X-Name-Last: Sidhu Title: Price discovery and volatility spillovers in commodity market: a review of empirical literature Abstract: The purpose of this paper is to organise the present status of researches conducted on commodity market relationship, price discovery and volatility spillovers by reviewing the available literature. Other objectives of the present study are to classify the past studies under various categories, to provide an inclusive bibliography on the said topic and to evaluate the results of the studies taken into consideration by various researchers. Different sources were probed to review the past studies and out of thousands of paper, 130 research papers were considered, forming the sample for the present study. It was found that the research work on this topic has surged from 2010 to 2017, thus gaining consistently higher attention since then. The present study will aid academicians, practitioners future researchers, policy makers and other relevant stakeholders in studying the existing research work, as well as in setting the directions for future research work related to same subject area and use of such data in any field that can be contribute in a resourceful manner. Journal: Int. J. of Financial Markets and Derivatives Pages: 291-314 Issue: 3 Volume: 7 Year: 2020 Keywords: commodity market; derivative; price discovery; volatility spillover; literature review. File-URL: http://www.inderscience.com/link.php?id=109197 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:7:y:2020:i:3:p:291-314 Template-Type: ReDIF-Article 1.0 Author-Name: Arthur Geronazzo Author-X-Name-First: Arthur Author-X-Name-Last: Geronazzo Author-Name: João Luiz Chela Author-X-Name-First: João Luiz Author-X-Name-Last: Chela Title: Stress test techniques using drawdown metrics: a Brazilian case study Abstract: The main objective of investors is to obtain the highest possible return, by running the lowest risk. This paper attempts to present a series of risk metrics based on <i>maximum drawdown</i> historical distributions. <i>Maximum drawdown</i> provides the information of the largest drop in the asset value that an investor can have in a given time interval. The metrics use historical simulation with different time intervals, holding period and confidence intervals. <i>Backtest</i> of these metrics is done to verify their adherence, so it shows that the <i>maximum drawdown at risk using GEV</i> metric is the metric that presents the highest approval rates in the different scenarios. The main contribution of this paper is the presentation of diferent risk metrics based on <i>maximum drawdown</i>, analyse of the best metric for each situation and applications of the metrics to risk management and to stress scenarios. Journal: Int. J. of Financial Markets and Derivatives Pages: 315-336 Issue: 4 Volume: 7 Year: 2020 Keywords: maximum drawdown; risk metrics; stress test; extreme value theory; maximum drawdown at risk; MDaR; conditional expected drawdown. File-URL: http://www.inderscience.com/link.php?id=111886 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:7:y:2020:i:4:p:315-336 Template-Type: ReDIF-Article 1.0 Author-Name: Sudhanshu Pani Author-X-Name-First: Sudhanshu Author-X-Name-Last: Pani Title: A theory of 'auction as a search' in speculative markets Abstract: The tatonnement process in high frequency order driven markets is modelled as a search by buyers for sellers and vice-versa. We propose a total order book model, comprising limit orders and latent orders, in the absence of a market maker. A zero intelligence approach of agents is employed using a diffusion-drift-reaction model, to explain the trading through continuous auctions (price and volume). The search (Levy or Brownian) for transaction price is the primary diffusion mechanism with other behavioural dynamics in the model inspired from foraging, chemotaxis and robotic search. Analytic and asymptotic analysis is provided for several scenarios and examples. Numerical simulation of the model extends our understanding of the relative performance between Brownian, superdiffusive and ballistic search in the model. Journal: Int. J. of Financial Markets and Derivatives Pages: 337-374 Issue: 4 Volume: 7 Year: 2020 Keywords: market microstructure; Levy search; limit order markets; continuous auctions; high resolution; zero intelligence. File-URL: http://www.inderscience.com/link.php?id=111887 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:7:y:2020:i:4:p:337-374 Template-Type: ReDIF-Article 1.0 Author-Name: Enrique A. Zambrano Author-X-Name-First: Enrique A. Author-X-Name-Last: Zambrano Author-Name: Rednaxela Sequera Author-X-Name-First: Rednaxela Author-X-Name-Last: Sequera Title: The valuation of options on index futures with stochastic dividend yields Abstract: This paper develops a valuation model for European options on index futures considering the stochastic nature of dividend yields. In addition, this research examines two subjects: first, whether the assumption of stochastic dividend yields is relevant; and second, the model's performance regarding the futures volatility curve. The model is calibrated using maximum likelihood estimation. The results suggest that the assumption of stochastic dividend yields has a significant influence in the valuation of options on index futures, even after considering commission costs. In addition, the model performs well in explaining the observed futures volatility curve. In this sense, the findings suggest that investment strategies based on mathematical models must consider the stochastic nature of dividend yields. Journal: Int. J. of Financial Markets and Derivatives Pages: 375-396 Issue: 4 Volume: 7 Year: 2020 Keywords: index futures; futures options; option pricing; valuation model; stochastic dividend yields. File-URL: http://www.inderscience.com/link.php?id=111889 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:7:y:2020:i:4:p:375-396 Template-Type: ReDIF-Article 1.0 Author-Name: Kiara De Deus Demura Author-X-Name-First: Kiara De Deus Author-X-Name-Last: Demura Author-Name: Ricardo Ramalhete Moreira Author-X-Name-First: Ricardo Ramalhete Author-X-Name-Last: Moreira Title: Country risk and increasing returns to credibility gains: analysis for an emerging economy Abstract: This article aimed to test how the monetary and fiscal policies' credibility impacts country risk by analysing the case of a relevant emerging economy. We performed estimates through OLS and GMM which showed that fiscal credibility can negatively affect country risk, rather than monetary credibility. This evidence corroborated the role of fiscal consolidation in order to shape a low and consistent level of country risk. At last, based on MS-regressions, we identified nonlinear credibility effects, which can be called <i>increasing returns to fiscal credibility gains</i>, thereby representing an innovation regarding previous studies. Journal: Int. J. of Financial Markets and Derivatives Pages: 397-413 Issue: 4 Volume: 7 Year: 2020 Keywords: country risk; credibility gains; fiscal policy; monetary policy; increasing returns; Brazil. File-URL: http://www.inderscience.com/link.php?id=111890 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:7:y:2020:i:4:p:397-413 Template-Type: ReDIF-Article 1.0 Author-Name: Christos Kountzakis Author-X-Name-First: Christos Author-X-Name-Last: Kountzakis Title: Equilibrium in options' incomplete markets Abstract: This paper is devoted to the use of the incomplete by options' markets in the existence of equilibrium in the case where a financial market remains incomplete, even after including any European call and put options' pay-off, written on the pay-off of the initial markets' portfolios. Journal: Int. J. of Financial Markets and Derivatives Pages: 414-423 Issue: 4 Volume: 7 Year: 2020 Keywords: incomplete markets; finite-dimensional sub-lattices. File-URL: http://www.inderscience.com/link.php?id=111891 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:7:y:2020:i:4:p:414-423