International Journal of Financial Markets and Derivatives (5 papers in press)

Regular Issues

• AN EMPIRICAL ANALYSIS OF THE CAUSAL RELATIONSHIP BETWEEN THE INDIAN STOCK MARKET AND THE FOREIGN EXCHANGE MARKET  
  by Miss Khushboo, Kailash Pradhan 
  Abstract: This paper empirically explores the dynamic causal relationship between the Indian stock market and foreign exchange market from 2000 to 2024, using daily data of Nifty 50 and three core sectoral indices (Nifty Bank, Nifty FMCG, Nifty IT) alongside the RBI USD/INR reference rate. Adopting time series econometric methods including unit root tests, Johansen cointegration analysis, VECM, variance decomposition and impulse response analysis, the study verifies a significant long.run unidirectional causal relationship from exchange rates to stock prices, which supports the Goods Market Theory/Flow Oriented Approach. In the short run, a bidirectional causal relationship exists between the two markets, with Nifty 50 and Nifty Bank exhibiting far stronger linkages with exchange rates (explaining 0.19% of exchange rate variation by day 10) than Nifty FMCG (0.06%) and Nifty IT (0.02%). Notably, Nifty IT shows a unique positive response to exchange rate shocks due to its export.oriented characteristics, while other indices present negative responses. The study further concludes that exchange rate fluctuations exert a more substantial and persistent influence on stock indices than the reverse, and puts forward targeted policy implications
  Keywords: Financial market; exchange rate; Nifty indices; VECM.
  
  
• Is gold investment in India seasonal? A comprehensive analysis using the OLS-GARCH Model.  
  by Mahipal Y. Gadhavi, Niranjan Shastri, Rajdeep Kumar Raut 
  Abstract: We examined whether calendar anomalies are present across key gold investment avenues between 2016 and 2024. Applying the dummy variable Ordinary Least Squares (OLS) method combined with the Generalised Autoregressive Conditional Heteroscedasticity (GARCH (1,1)) model and validating our findings through the Kruskal-Wallis H test, we investigated for Day-of-the-Week (DOW) Effect, the Week-of-the-Month (WOM) Effect, the Month-of-the-Year (MOY) Effect, the January Effect, the Quarter-of-the-Year (QOY) Effect, the Turn-of-the-Month (TOM) Effect, and the Halloween Effect. While weekday sensitivity for some fund-based products was evident, nonparametric validation rejects seasonality across all the instruments, suggesting weak-form market efficiency in the Indian gold market. found that none of the calendar anomalies are present in the gold markets in India. The findings of our study on the gold market strongly support the stochastic nature of gold price movements; hence, a seasonality-based timing strategy cannot be used for reliable abnormal returns.
  Keywords: calendar anomalies; market efficiency; GARCH (1; 1); bullion market; Kruskal-Wallis H test; India.
  DOI: 10.1504/IJFMD.2026.10079727
   
  
• Exploring the information role of Indian equity ETFs: evidence from quantile time connectedness and wavelet correlation  
  by Chanchal Saini 
  Abstract: In recent years, equity exchange-traded funds (ETFs) have become increasingly popular in India, raising questions about their role in market efficiency and price discovery. This study analyses the information flow among Nifty 50 tracking ETFs, the Nifty 50 index, and Nifty 50 futures from April 2017 to April 2024. Using the Quantile Time Connectedness approach and Wavelet Quantile Correlation, we find that connectedness among these markets increases during times of stress and at extreme quantiles. Futures and the index are the main transmitters of information, while some ETFs are active contributors, and less liquid ETFs act as net receivers. Additionally, the futures market plays a key role in short-term price discovery, with actively traded ETFs closely following it, while weaker ETFs are better suited for passive strategies. These findings provide important insights for fund managers, traders, and regulators on portfolio management and trading strategies in an ETF-driven environment.
  Keywords: exchange-traded fund; information efficiency; TVP-VAR; futures market; wavelet correlation.
  DOI: 10.1504/IJFMD.2026.10079809
   
  
• The fading specialness of US Treasuries: the impact of rising debt and shifting demand composition  
  by Vivek Kumar, Ramesh Jangili, Ramesh Chandra Panda 
  Abstract: We provide evidence that the convenience yield of US Treasuries has been steadily declining over time. Using multiple measures, including TIPS-based, swap-based, and cross-country Treasury basis, we find a consistent reduction in the extra value investors place on Treasuries, with the decline being more pronounced at longer maturities. For instance, long-term convenience yields have fallen by roughly half over the sample period, with some measures showing an even sharper deterioration. Overall, this suggests that Treasuries have become less “special” relative to alternative assets, driven by supply, demand and macro-economic factors. On the supply side, rising US government debt and maturity elongation have reduced the scarcity of Treasuries. On the demand side, declining participation by foreign official investors and higher inflation have weakened their appeal as safe assets. The results endorse a dual strategy for asset managers: prioritise short-term Treasuries for stability and diversify into other safe assets.
  Keywords: convenience yields; safety premium; liquidity premium; exorbitant privilege; sovereign bonds.
  DOI: 10.1504/IJFMD.2026.10080076
   
  
• Decoding investor behaviour in emerging markets: a mediation-moderation perspective on Ethiopia’s securities exchange  
  by P. C. K. Rao, Irfan Ahmed Sheikh, Bilal Ahmad Pandow, Javeed Ahmad Bhat 
  Abstract: The study investigates the determinants of potential investors’ intentions to adopt the newly established Ethiopian Securities Exchange Market (ESEM) by extending the theory of planned behaviour with financial literacy and ESEM-specific knowledge. It examines how these factors shape attitudes, which mediate their effects on behavioural intention, while subjective norms and perceived behavioural control exert direct and conditional influences. Data were collected from 323 potential retail investors across Ethiopia’s major financial centres using a structured survey and purposive stratified sampling. Using PLS-SEM with bootstrapping, the results reveal that financial literacy and ESEM knowledge significantly enhance favourable attitudes, which in turn influence intention. Perceived behavioural control shows a strong direct effect, whereas subjective norms are more influential among individuals with higher literacy. The model explains a meaningful proportion of variance in behavioural outcomes, highlighting the importance of investor education, accessible information, and policies that strengthen perceived control to promote ESEM participation.
  Keywords: theory of planned behaviour; TPB; financial literacy; investment intention; Ethiopian Securities Exchange Market; PLS-SEM; emerging capital markets; Ethiopia.
  DOI: 10.1504/IJFMD.2026.10080078