Forthcoming articles

 


International Journal of Bonds and Derivatives

 

These articles have been peer-reviewed and accepted for publication in IJBD, 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 Articles will not be published until the final proofs are validated by their authors.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 Bonds and Derivatives (7 papers in press)

 

Regular Issues

 

  • Zero interest rates and cross-section of stock returns   Order a copy of this article
    by Moustafa Abu El Fadl 
    Abstract: The paper presents a theoretical market system based on the tenants of Islamic finance where the underlying assumption is Zero interest rate. The paper used β<1 as a criterion for Zero interest rate assumption for the theoretical market system. The paper finds using multivariate analysis on portfolios sorted on β<1, that cross section of stock retruns can be explained using a parsimnious model that incorporates both behavioral finance and fundamental finance factors
    Keywords: Islamic finance; Zero interest; Behavioral finance; Fundamental finance; Beta.

  • Corporate Bond Trading in Indonesia: An Empirical Study of the Role of Volume and Volatility   Order a copy of this article
    by S. Utami Puspaputri, Sigit S. Wibowo 
    Abstract: We examine the relationship between trading activity and price volatility in Indonesia corporate bond market using 2010-2014 data. We also investigate the role of liquidity and credit quality in this relationship. We find that volume and trading frequency have a positive and significant correlation to bond volatility, which is consistent with the information-based model. The results also suggest that liquidity plays an important role in their relationship, in which illiquidity causing stronger relationship between trading volume and price volatility. Credit quality, however, do not have similar effects on volatility where AAA-rated bonds tend to have higher volatility.
    Keywords: bond volatility; bond liquidity; corporate bond; emerging market.

  • Do Monetary Policy Expectations Influence the Transmission Mechanism in the Danish Interbank Market under a Negative Interest Rate Policy?   Order a copy of this article
    by Takayasu Ito 
    Abstract: In Denmark monetary policy expectations have some impact on the interbank interest rates in the maturities of one, three, and six months. The Danish central bank is successful, to some extent, in influencing the interbank interest rates in the maturities from one to six months through communication with financial markets. But the maturities from nine to 12 months are beyond their control. This fact indicates that market segmentation is observed in the short term money market in Denmark. The ordinary transmission mechanism of interbank interest rates does not function because of the increased fluctuations in money market rates under a negative interest rate policy. It is therefore suggested that a negative interest rate policy presents complications that could limit policy effectiveness.
    Keywords: Interbank Interest Rate; Denmark; Monetary Policy Expectations; Negative Interest Rate Policy.

  • A REVERSE INDEX FUTURES SPLIT EFFECT ON LIQUIDITY AND MARKET DYNAMICS   Order a copy of this article
    by NIKOLAS HOURVOULIADES, ATHANASIOS FASSAS 
    Abstract: This paper examines the relationship between daily price variability and trading activity dynamics six months before and after the redesign of FTSE/ATHEX Large Cap futures contract in June 2016. Although contract and tick size is a critical factor for the viability of a futures market, there has been limited empirical research on this topic. The particular change of contract specifications provides this study with a unique opportunity to investigate the impact of contract size on futures market characteristics. Our empirical findings suggest that although the change in the size of the futures contract have resulted in lower trading costs, it did not spur investors interest in the Greek derivatives market. The results of this study have significant practical relevance in terms of futures market design decisions.
    Keywords: Futures market microstructure; FTSE/ATHEX Large Cap Index; Reverse Split; Bid-Ask Spread; Trading Volume; Volatility.

  • MEASURING VOLATILITY IN THE INDIAN COMMODITY FUTURES   Order a copy of this article
    by Kirithiga S, Naresh G, Thiyagarajan S 
    Abstract: Like the financial futures, the use of commodity futures is also considered to be more generic as it benefits larger stakeholders and the economy as well. The increasing participation in the commodities market by the investors is alarming for their risk bearing capacity where the benefit of leverage in the futures trading is attracting more number of participants. Thereby, the increase in commodity futures trading has put forth the discussion of uncertainties about their future price movements. Thus, for better mitigation of its price risk, knowing about the fluctuation of asset prices in the commodity futures market is necessary.
    Keywords: Commodity; Futures; ARCH; GARCH; Volatility; Market Participants.

  • Monetary Policy Expectations and the Malaysian Deposit Market: Analysis of Islamic Rates of Return and Conventional Interest Rates   Order a copy of this article
    by Takayasu Ito 
    Abstract: This paper focuses on the impact of monetary policy expectations on deposit rates in Malaysia. Comparative analyses on Islamic rates of return and conventional interest rates are conducted. Bank Negara Malaysia has been successful to some extent in the communication with the financial markets because monetary policy expectations give some impacts on the Islamic rates of return or conventional interest rates up to the maturity of 12 month. Islamic rates of return and conventional interest rates form the short-term deposit market driven by monetary policy expectations in Malaysia. Islamic finance is not different from conventional finance in terms of deposit rates formation. Bank Negara Malaysia plays an important role in the formation of Islamic rates of return and conventional interest rates in the deposit market up to 12 month.
    Keywords: Islamic Finance; Malaysian Deposit Market; Monetary Policy Expectations.

  • A Nonlinear Diffusion Model for Electricity Prices and Derivatives   Order a copy of this article
    by Zhigang Tong 
    Abstract: In this paper, we first develop a one-factor diffusion model for electricity prices, which is based on a power transformation of CIR process. We show that the new model is tractable and we are able to derive the analytical solutions for future and future option prices. To enhance the model's ability to capture the prices spikes, we extend it to a time-changed model where the price is modeled by a nonlinear CIR process time changed by L\'{e}vy subordinators. We employ the eigenfunction expansion methods to obtain the closed-form solutions for the derivatives. Our empirical study indicates the new models have the potential to capture the main features of electricity data better than the competing models.
    Keywords: electricity prices; CIR; OU; CEV; time change; L\'{e}vy subordinators; eigenfunction expansion; derivatives pricing; nonlinear model.