Dynamics in futures and spot markets: A panel study of advanced and emerging economies of Asia

  • 725 Views
  • 289 Downloads

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License

The study explores the underpinning interlinkages in the spot and futures markets across nine Asian advanced and emerging economies, and examines whether development status has any impact on the nature and speed of adjustments in the information transmission. By applying Panel VECM to the data set from the very day futures trading was initiated on the respective exchange till February 2020, the results highlight that in the long run, over the entire period, the futures market adjusts 69.7% more than the spot market and there is a bidirectional causality in the short run. Even in the sub-periods, the same phenomena were observed, and in the short run, there was a unidirectional causality from futures to spot during the crisis period. An identical trend was observed for country groups in three sub-periods. However, in the short run, during the crisis period, a unidirectional causality from futures to spot was found in advanced economies, while the opposite pattern was found in emerging economies. The paper establishes that the spot market dominates the information dissemination process. The results also demonstrate that traders prefer liquidity over leverage as their trading venue, the existence of potential index arbitrage opportunities, and validate that development status has no impact on the information transmission pattern amongst the markets, except during turbulent times. The study offers insights to market participants to develop their specific trading strategies in these markets at various economic stages, thereby increasing their expected returns.

view full abstract hide full abstract
    • Table 1. Panel unit root test
    • Table 2. Pedroni cointegration test
    • Table 3. Panel VECM results
    • Table 4. VECM results for sub-periods
    • Table 5. VECM results for country groups in pre-GFC, GFC and post-GFC periods
    • Table A1. List of indices considered for panel analysis
    • Table A2. Summary statistics of return rates of futures and spot prices
    • Conceptualization
      Sangeeta Wats, Chandrima Sikdar
    • Data curation
      Sangeeta Wats, Chandrima Sikdar
    • Formal Analysis
      Sangeeta Wats, Chandrima Sikdar
    • Investigation
      Sangeeta Wats, Chandrima Sikdar
    • Methodology
      Sangeeta Wats, Chandrima Sikdar
    • Project administration
      Sangeeta Wats, Chandrima Sikdar
    • Resources
      Sangeeta Wats, Chandrima Sikdar
    • Software
      Sangeeta Wats, Chandrima Sikdar
    • Supervision
      Sangeeta Wats, Chandrima Sikdar
    • Validation
      Sangeeta Wats, Chandrima Sikdar
    • Visualization
      Sangeeta Wats, Chandrima Sikdar
    • Writing – original draft
      Sangeeta Wats, Chandrima Sikdar
    • Writing – review & editing
      Sangeeta Wats, Chandrima Sikdar
Related Articles

  • The role of Fintech in predicting the spread of COVID-19

    Mohannad Abu DaqarORCID Researcher ID, Milan ConstantinovitsORCID Researcher ID, Samer Arqawi , Ahmad Daragmeh doi: http://dx.doi.org/10.21511/bbs.16(1).2021.01
    Banks and Bank Systems Volume 16, 2021          Issue #1         pp. 1-16 Views: 2730 Downloads: 929 TO CITE АНОТАЦІЯ

    This study aims to investigate the role of Fintech in predicting the spread of COVID-19 based on consumers’ Fintech perceptions and behavior before and after the outbreak of COVID-19. The study used a questionnaire-based survey distributed in different countries of the world using the LinkedIn platform for this purpose to reach the targeted population. The snowball sampling technique was used. The study targeted consumers with Fintech experience, especially in digital payments services. 507 samples were retrieved. For the analysis, the Structural Equation Modeling (SEM) was used. The study revealed novel results in predicting COVID-19 spread; these three variables (Fintech Behavior before COVID-19, Fintech Behavior after COVID-19, and Fintech Perception after COVID-19) could predict 52.5% of the variance in the dependent variable (COVID-19 Spread) (R² = 0.525, p < 0.05). The findings show that Higher Fintech perception and behavior among Fintech users will help in reducing the spread of COVID-19 by avoiding the use of contact payment methods. Contactless payment methods are the main tools in Fintech that might help in avoiding the probability of COVID-19 spread. Consumers’ Fintech perceptions and behavior are the most influencing factors that could predict the spread of COVID-19 in this study, where digital payments are the main concern. It is recommended that consumers adopt digital payment methods and tools, especially contactless payment methods, to fulfill their financial services. Other researchers are also encouraged to use the same model to predict the spread of this virus in the Fintech context.

  • Empirical evidence on the impact of recent Korean tax reforms

    Namryoung Lee , Charles Swenson doi: http://dx.doi.org/10.21511/imfi.15(4).2018.03
    Investment Management and Financial Innovations Volume 15, 2018         Issue #4         pp. 35-47 Views: 1801 Downloads: 221 TO CITE АНОТАЦІЯ

    In 2011, Korea required all firms to report all value added tax (VAT) invoices electronically to tax authorities. This unique law provided a natural experiment to examine the effects of this disclosure on income taxes and firms’ related responses. The authors find that this additional required disclosure caused firms to become less aggressive on their income taxes, and that they were unable to pass increased tax burdens forward to consumers or backward to suppliers and labor. To maintain, profitability firms cut research and development (R&D) costs, and this cost cutting was larger for tax aggressive firms. Policy implications of this unintended result are discussed.

  • Corporate social responsibility practices of business firms in Dubai during the COVID-19 pandemic

    Abubaker Mousa Eltoum , Aminurraasyid YatibanORCID , Rusdi OmarORCID , Rabiul IslamORCID Researcher ID doi: http://dx.doi.org/10.21511/ppm.19(1).2021.20
    Problems and Perspectives in Management Volume 19, 2021         Issue #1         pp. 231-243 Views: 1642 Downloads: 451 TO CITE АНОТАЦІЯ

    During the first quarter of 2020, COVID-19 spread worldwide, claiming lives of thousands of people every day. This marked the beginning of all emergency and business continuity plans around the world. This study attempts to study people’s awareness of CSR practices among business firms in Dubai and investigate people’s evaluation of these CSR practices during the COVID-19 pandemic. The study employs a quantitative research method and mainly uses questionnaires for data collection. 199 respondents are selected from different business firms in Dubai. Expert interviews are also conducted for triangulation purposes. It involves the Dubai community with various backgrounds and status. This study shows that a large scheme of the Dubai community has a decent level of expertise in sustainability and corporate social responsibility. It also shows that firms that have implemented CSR before the crisis will mostly be better suited to play a supportive role for government and society during the crisis.

    Acknowledgment
    Research grant provided by the Fundamental Research Grant Scheme [FRGS/1/2017/SS01/UUM/02/23] under Ministry of Higher Education, Malaysia, and University Utara Malaysia (SO Code: 13806) is gratefully acknowledged.

Download Preview
Close
Investment Management and Financial Innovations
Investment Management and Financial Innovations