scholarly journals DERIVATIVE MARKETS-USING OPTIONS TRADING STRATEGY IN MONGOLIAN STOCK MARKET

2021 ◽  
pp. 36-50
Author(s):  
Davaadalai Darkhabaatar
Keyword(s):  
Stock Market ◽  
Key Words ◽  
Practical Experience ◽  
Trading Strategies ◽  
Market Mechanisms ◽  
Derivative Instruments ◽  
Financial Derivative ◽  
Options Trading ◽  
Derivative Markets ◽  
Derivative Market

This study identifies some opportunities to introduce derivative instruments based on the practical experience of other countries, and provides some estimates of the implementation of derivative market mechanisms, pricing, and trading strategies. KEY WORDS: Financial derivative, option, and spread

Impact of Introducing Different Financial Derivative Instruments in India on Its Stock Market Volatility

Paradigm ◽  
2014 ◽  
Vol 18 (2) ◽  
pp. 135-153 ◽  
Author(s):  
Suparna Nandy (Pal) ◽  
Arup Kr. Chattopadhyay
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Derivative Instruments ◽  
Financial Derivative

scholarly journals Asian Derivative Markets: Research Issues

2008 ◽  
Author(s):  
Shamsher M. ◽  
Taufiq H.
Keyword(s):  
Early Stage ◽  
Current Status ◽  
Spot Markets ◽  
Price Changes ◽  
Research Issues ◽  
Advanced Economies ◽  
Financial Derivative ◽  
Derivative Markets ◽  
Derivative Market ◽  
Price Discovery Process

Theory suggests that the introduction of derivative market in a market with spot trading completes the market-based price discovery process. There are 19 derivative markets in Asia. Derivative trades in such markets help to hedge away the risk of price changes in the spot markets at very low costs. Commodity futures instruments are also needed to hedge away price changes in real sector just as financial futures does this function for the financial sector. In this paper, we examine the current status of selected commodity and financial derivative markets in Asia. It suggests that the more industrial/advanced economies have developed liquid commodities markets, and few of them have also developed active financial derivative markets. But for most of the 19 or so emerging markets in Asia, the development of derivative markets is still at an early stage.  

Part III Regulation of Financial Products, 8 Financial Derivatives

2016 ◽  
Author(s):  
Arner Douglas W ◽  
Hsu Berry FC ◽  
Goo Say H ◽  
Johnstone Syren ◽  
Lejot Paul ◽  
...  
Keyword(s):  
Financial Regulation ◽  
Stock Exchange ◽  
Financial Derivatives ◽  
Risk Transfer ◽  
Financial Products ◽  
Derivative Instruments ◽  
Credit Risk Transfer ◽  
Financial Derivative ◽  
Market Practice ◽  
Derivative Market

This chapter examines the financial derivative instruments traded and used in Hong Kong. The chapter describes the current main types of financial derivatives, their uses and risks, and examines Hong Kong’s twofold approach to their regulation. It also raises questions that may not be fully addressed in any major financial jurisdiction; for example, how the law accounts for relatively new, sophisticated contracts, especially in relation to user protection; whether related areas of law such as bankruptcy may conflict with what has become customary derivative market practice; and how credit risk transfer facilitated by derivative instruments may conflict with established precepts of financial regulation. Lastly, it considers whether links between the territory’s regulators and the stock exchange are well-suited to the supervision of certain derivative activity and to investor protection.

How to Assure Stable Development in Unstable Financial Environment?

2007 ◽  
pp. 4-26 ◽  
Author(s):  
M. Ershov
Keyword(s):  
Stock Market ◽  
Developed Countries ◽  
Market Liquidity ◽  
Market Mechanisms ◽  
Russian Economy ◽  
The Developed Countries ◽  
Russian Stock Market ◽  
Stable Development ◽  
Financial Environment

Growing involvement of Russian economy in international economic sphere increases the role of external risks. Financial problems which the developed countries are encountered with today result in volatility of Russian stock market, liquidity problems for banks, unstable prices. These factors in total may put longer-term prospects of economic growth in jeopardy. Monetary, foreign exchange and stock market mechanisms become the centerpiece of economic policy approaches which should provide for stable development in the shaky environment.

Relationship between Foreign Portfolio Investments (FPI), Domestic Institutional Investors, and Stock Market Returns in India

GIS Business ◽  
2017 ◽  
Vol 12 (6) ◽  
pp. 1-9
Author(s):  
Dhananjaya Kadanda ◽  
Krishna Raj
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Negative Relationship ◽  
Trading Strategies ◽  
Market Returns ◽  
Stock Market Returns ◽  
Foreign Portfolio Investment ◽  
Stock Market Return ◽  
Indian Stock Market ◽  
Feedback Trading

The present article attempts to understand the relationship between foreign portfolio investment (FPI), domestic institutional investors (DIIs), and stock market returns in India using high frequency data. The study analyses the trading strategies of FPIs, DIIs and its impact on the stock market return. We found that the trading strategies of FIIs and DIIs differ in Indian stock market. While FIIs follow positive feedback trading strategy, DIIs pursue the strategy of negative feedback trading which was more pronounced during the crisis. Further, there is negative relationship between FPI flows and DII flows. The results indicate the importance of developing strong domestic institutional investors to counteract the destabilising nature FIIs, particularly during turbulent times.

scholarly journals A Volatility Estimator of Stock Market Indices Based on the Intrinsic Entropy Model

Entropy ◽  
2021 ◽  
Vol 23 (4) ◽  
pp. 484
Author(s):  
Claudiu Vințe ◽  
Marcel Ausloos ◽  
Titus Felix Furtună
Keyword(s):  
Stock Market ◽  
Time Frame ◽  
Data Sets ◽  
Entropy Model ◽  
Daily Data ◽  
Volatility Models ◽  
Derivative Instruments ◽  
Securities Industry ◽  
Time Frames ◽  
Financial Securities

Grasping the historical volatility of stock market indices and accurately estimating are two of the major focuses of those involved in the financial securities industry and derivative instruments pricing. This paper presents the results of employing the intrinsic entropy model as a substitute for estimating the volatility of stock market indices. Diverging from the widely used volatility models that take into account only the elements related to the traded prices, namely the open, high, low, and close prices of a trading day (OHLC), the intrinsic entropy model takes into account the traded volumes during the considered time frame as well. We adjust the intraday intrinsic entropy model that we introduced earlier for exchange-traded securities in order to connect daily OHLC prices with the ratio of the corresponding daily volume to the overall volume traded in the considered period. The intrinsic entropy model conceptualizes this ratio as entropic probability or market credence assigned to the corresponding price level. The intrinsic entropy is computed using historical daily data for traded market indices (S&P 500, Dow 30, NYSE Composite, NASDAQ Composite, Nikkei 225, and Hang Seng Index). We compare the results produced by the intrinsic entropy model with the volatility estimates obtained for the same data sets using widely employed industry volatility estimators. The intrinsic entropy model proves to consistently deliver reliable estimates for various time frames while showing peculiarly high values for the coefficient of variation, with the estimates falling in a significantly lower interval range compared with those provided by the other advanced volatility estimators.

scholarly journals Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market

2021 ◽  
Author(s):  
Eero J. Pätäri ◽  
Timo H. Leivo ◽  
Sheraz Ahmed
Keyword(s):  
Stock Market ◽  
Trading Strategies ◽  
Added Value ◽  
Financial Statement ◽  
Research Setting ◽  
Holding Period ◽  
Reality Check ◽  
German Stock ◽  
Overall Performance ◽  
German Stock Market

AbstractThis paper examines the added value of using financial statement information, particularly that of Piotroski’s (J Account Res 38:1, 2000. https://doi.org/10.2307/2672906) FSCORE, for equity portfolio selection in the German stock market in a realistic research setting in which the critique against the implementability of FSCORE-based trading strategies is taken into account. We show that the performance of annually rebalanced long-only portfolios formed on any of the examined 12 accounting-based primary criteria improves by including the FSCORE as a supplementary criterion. Our study is the first to show that although the FSCORE boost is strongest for the 1-year holding period length, it also holds, on average, for the 3-year holding period. The use of a 3-year updating frequency is particularly beneficial for the low-accrual portfolio that—when supplemented with the high-FSCORE threshold—generates the best overall performance among all 75 portfolios examined. Moreover, we show that a high FSCORE is also an efficient stand-alone criterion for long-only portfolio formation.

scholarly journals Does the Croatian Stock Market Have Seasonal Affective Disorder?

2021 ◽  
Vol 14 (2) ◽  
pp. 89
Author(s):  
Tihana Škrinjarić ◽  
Branka Marasović ◽  
Boško Šego
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Affective Disorder ◽  
Seasonal Affective Disorder ◽  
Stock Exchange ◽  
Trading Strategies ◽  
Future Research ◽  
Winter Solstice ◽  
Daily Data ◽  
Depressive Episodes

This paper explores mood anomalies, specifically the seasonal affective disorder (SAD) effect on the Zagreb Stock Exchange (ZSE). SAD is defined as a syndrome of depressive episodes in human behavior due to the changing of the season. Thus, the motive of this research is to gain better insights into the investors’ sentiment regarding SAD effects. The purpose of the research is to observe how investors’ sentiment affects the return and risk series on ZSE and if this could be exploitable. Using daily data on stock market return CROBEX for the period January 2010—February 2021, SAD effects are tested to explore if seasonal changes affect the stock returns and risk. Besides the SAD variable in the model, some control variables are included as well: Monday, tax, and COVID-19 effect. The results indicate that SAD effects exist on ZSE, even with controlling for mentioned effects; and asymmetries around winter solstice exist. Implications of such findings can be found in simulating trading strategies, which could incorporate such information to gain profits. Limitations of the research focus on one market, observing static parameters of the estimated models, and observing simple trading strategies. Thus, future research should focus on international diversification possibilities, time-varying models, and fully exploring the exploitation possibilities of such findings.

scholarly journals Generating Trading Strategies in the Mexican Stock Market: A Pattern Recognition Approach

2018 ◽  
Vol 147 (12) ◽  
pp. 107-114
Author(s):  
David-Ricardo Montalván-Hernández ◽  
Ricardo Barrón-Fernández ◽  
Salvador Godoy-Calderón
Keyword(s):  
Pattern Recognition ◽  
Stock Market ◽  
Trading Strategies ◽  
Pattern Recognition Approach
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