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Journal articles on the topic 'Foreign exchange futures – Zimbabwe'

Author: Grafiati

Published: 4 June 2021

Last updated: 13 February 2022

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1

Chidaushe, Wilbert Kudakwashe. "The Impediments and Evolution of Derivatives in Sub Sahara Africa." Journal of Business Strategy Finance and Management 1 and 2, no. 1 and 2 (2019): 54–68. http://dx.doi.org/10.12944/jbsfm.01.0102.06.

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The research follows on the Arusha declaration of 2005 and the global financial crisis of 2008 and explored the impediments and the evolution of derivatives in Sub Sahara Africa with special attention onZimbabwe, Botswana and South Africa. The research has been based on a review of literature of the seminal authors and through a conduct of questionnaire surveys in each of the three countries of Zimbabwe, Botswana and South Africa. The purpose of the study was to identify any disparities in the evolution of commodities and financial derivatives in the Sub-Saharan African countries. The study un

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2

Hu, Zuliu. "Jumps, Martingales, and Foreign Exchange Futures Prices." IMF Working Papers 96, no. 21 (1996): 1. http://dx.doi.org/10.5089/9781451921649.001.

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3

Tse, Yiuman, Ju Xiang, and Joseph K. W. Fung. "Price discovery in the foreign exchange futures market." Journal of Futures Markets 26, no. 11 (2006): 1131–43. http://dx.doi.org/10.1002/fut.20229.

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4

Benet, Bruce A. "Commodity futures cross hedging of foreign exchange exposure." Journal of Futures Markets 10, no. 3 (1990): 287–306. http://dx.doi.org/10.1002/fut.3990100307.

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5

Kang, Seok Kyu. "A Study on the Efficiency in Korea Foreign Exchange Market." Journal of Derivatives and Quantitative Studies 14, no. 2 (2006): 79–108. http://dx.doi.org/10.1108/jdqs-02-2006-b0004.

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This study is to examine the three theme of the eπiciency of Korea foreign exchange market including the unbiasedness testing, the relative efficiency estimates, and the information spillover efficiency. Data using the analysis 81’e won-dollar spot and futures in domestic and won-dollar forward in offshore. i.e.. New York and Singapore NDF (non-delivery forward). The empirical results are summarized as follows: First. the efficient market or unbiasedness expectations hypothesis is not rejected in the won-dollar currency futures market apart from offshore New York and Singapore NDF markets. Thi

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6

Dezhbakhsh, Hashem. "Foreign Exchange Forward and Futures Prices: Are they Equal?" Journal of Financial and Quantitative Analysis 29, no. 1 (1994): 75. http://dx.doi.org/10.2307/2331191.

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7

Wang, Changyun. "Futures trading activity and predictable foreign exchange market movements." Journal of Banking & Finance 28, no. 5 (2004): 1023–41. http://dx.doi.org/10.1016/s0378-4266(03)00047-5.

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8

Puri, Tribhuvan N., George C. Philippatos, and Dosoung Choi. "PRICING OF FOREIGN EXCHANGE FORWARD, FUTURES AND OPTIONS CONTRACTS." Financial Review 22, no. 3 (1987): 101. http://dx.doi.org/10.1111/j.1540-6288.1987.tb01235.x.

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9

Clifton, Eric V. "The currency futures market and interbank foreign exchange trading." Journal of Futures Markets 5, no. 3 (1985): 375–84. http://dx.doi.org/10.1002/fut.3990050308.

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10

Lypny, Gregory J. "Hedging foreign exchange risk with currency futures: Portfolio effects." Journal of Futures Markets 8, no. 6 (1988): 703–15. http://dx.doi.org/10.1002/fut.3990080605.

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11

Najand, Mohammad, Hamid Rahman, and Kenneth Yung. "Inter-currency transmission of volatility in Foreign exchange futures." Journal of Futures Markets 12, no. 6 (1992): 609–20. http://dx.doi.org/10.1002/fut.3990120602.

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12

Polakoff, Michael A., and Paul C. Grier. "A comparison of foreign exchange forward and futures prices." Journal of Banking & Finance 15, no. 6 (1991): 1057–80. http://dx.doi.org/10.1016/0378-4266(91)90050-v.

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13

Sehgal, Sanjay, Wasim Ahmad, and Florent Deisting. "An investigation of price discovery and volatility spillovers in India’s foreign exchange market." Journal of Economic Studies 42, no. 2 (2015): 261–84. http://dx.doi.org/10.1108/jes-11-2012-0157.

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Purpose – The purpose of this paper is to examine the price discovery and volatility spillovers in spot and futures prices of four currencies (namely, USD/INR, EURO/INR, GBP/INR and JPY/INR) and between futures prices of both stock exchanges namely, Multi-Commodity Stock Exchange (MCX-SX) and National Stock Exchange (NSE) in India. Design/methodology/approach – The study applies cointegration test of Johansen’s along with VECM to investigate the price discovery. GARCH-BEKK model is used to examine the volatility spillover between spot and futures and between futures prices. The other two model

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14

Ellis, M. E. "Selectively Hedging the US Dollar with Foreign Exchange Futures Contracts." CFA Digest 34, no. 3 (2004): 44–45. http://dx.doi.org/10.2469/dig.v34.n3.1518.

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15

Doukas, John, and Abdul Rahman. "Unit Roots Tests: Evidence from the Foreign Exchange Futures Market." Journal of Financial and Quantitative Analysis 22, no. 1 (1987): 101. http://dx.doi.org/10.2307/2330873.

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16

한덕희. "The Information Transmission among Foreign Exchange Spot and Futures markets." Korean Journal of Financial Engineering 16, no. 2 (2017): 1–26. http://dx.doi.org/10.35527/kfedoi.2017.16.2.001.

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17

CHANG, CAROLYN W., and JACK S. K. CHANG. "Forward and Futures Prices: Evidence from the Foreign Exchange Markets." Journal of Finance 45, no. 4 (1990): 1333–36. http://dx.doi.org/10.1111/j.1540-6261.1990.tb02442.x.

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18

Simpson, Marc W. "Selectively hedging the US dollar with foreign exchange futures contracts." Journal of International Financial Markets, Institutions and Money 14, no. 1 (2004): 75–86. http://dx.doi.org/10.1016/s1042-4431(03)00045-3.

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19

Cabrera, Juan, Tao Wang, and Jian Yang. "Do futures lead price discovery in electronic foreign exchange markets?" Journal of Futures Markets 29, no. 2 (2009): 137–56. http://dx.doi.org/10.1002/fut.20352.

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20

Goldberg, Lawrence G., and George A. Hachey. "Price volatility and margin requirements in foreign exchange futures markets." Journal of International Money and Finance 11, no. 4 (1992): 328–39. http://dx.doi.org/10.1016/0261-5606(92)90028-v.

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21

Gardner, Nicholas R., Jonathan D. Ritschel, Edward D. White, and Andrew T. Wallen. "Forecasting foreign currency exchange rates for department of defense budgeting1." Journal of Public Procurement 17, no. 3 (2017): 315–36. http://dx.doi.org/10.1108/jopp-17-03-2017-b002.

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This paper examines the opportunity cost of applying simple averages in formulating the Department of Defense (DoD) budget for foreign exchange rates. Using out-of-sample validation, we evaluate the status quo of a center-weighted average against a Random Walk model, ARIMA, forward rates, futures contracts, and a private firm's forecasts over two time periods extending from Fiscal Year (FY) 1991 to FY 2014. The results strongly indicate that four of the alternative methods outperform the status quo over the shorter time period, and three methods for both time periods. Furthermore, a non-parame

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22

Azmi, M. "Transaksi Jual Beli Foreign Exchange Secara Online Perspektif Hukum Islam." TERAJU 2, no. 02 (2020): 117–27. http://dx.doi.org/10.35961/teraju.v2i02.157.

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This article The development of the latest technology cannot be separated from its influence on the lifestyle trends and human economic behavior, as well as investment behavior. Forex online trading includes financial investments, especially in investments in the field of money markets and commodity futures exchanges. The author is of the view that the online forex trading transaction law is haram because it does not fulfill the pillars and conditions of sale and purchase and contains elements of gharar, maisir (gambling), usury and violates the provisions of al-sharf that is the element of sp

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23

Sheehan, Richard G., and Mark E. Wohar. "Money Supply Announcements and Foreign Exchange Futures Prices for Five Countries." Southern Economic Journal 61, no. 3 (1995): 696. http://dx.doi.org/10.2307/1060991.

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24

Chu, Quentin C., David K. Ding, and C. S. Pyun. "The opening price behavior: Foreign exchange futures market versus equity market." International Review of Financial Analysis 6, no. 1 (1997): 21–35. http://dx.doi.org/10.1016/s1057-5219(97)90017-x.

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25

Mansur, Iqbal, Steven J. Cochran, and David Shaffer. "Foreign Exchange Volatility Shifts and Futures Hedging: An ICSS-GARCH Approach." Review of Pacific Basin Financial Markets and Policies 10, no. 03 (2007): 349–88. http://dx.doi.org/10.1142/s0219091507001112.

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In this study, the impact of volatility regime shifts on volatility persistence and hedge ratio estimation is determined for four major currencies using an iterated cumulative sums of squares (ICSS)-GARCH model. Employing a standard GARCH (1,1) model as the benchmark, within-sample results demonstrate that the inclusion of volatility shifts substantially reduces volatility persistence and the significance of the ARCH and GARCH coefficients. In terms of hedging effectiveness, the ICSS-GARCH model outperforms the standard GARCH model for all four currencies. In comparison to two constant volatil

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26

Mamplata, Jonathan B., Rome Augusta Joyce R. Lo, and Maria Amiella E. Reyes. "Hedging against foreign exchange risk of peso-dollar rates using futures." Applied Mathematical Sciences 8 (2014): 5469–76. http://dx.doi.org/10.12988/ams.2014.47595.

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27

Supapol, Atipol Bhanich, and Jacques A. Schnabel. "Foreign exchange futures options: A parity-based test of learning effects." International Review of Economics & Finance 1, no. 2 (1992): 169–76. http://dx.doi.org/10.1016/1059-0560(92)90033-9.

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28

Chu, Quentin C., David K. Ding, and C. S. Pyun. "Bid-ask bounce and speads in the foreign exchange futures market." Review of Quantitative Finance and Accounting 6, no. 1 (1996): 19–37. http://dx.doi.org/10.1007/bf00290794.

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29

Ernazarov, Normet Saparboyevich, and Oybek Odilovich Xudoyorov. "Important Aspects Related To Foreign Exchange Operations Of Commercial Banks." American Journal of Applied sciences 03, no. 04 (2021): 157–65. http://dx.doi.org/10.37547/tajas/volume03issue04-22.

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This article provides analytical, critical and econometric analysis of the factors influencing the off-balance sheet operations of commercial banks of the Republic of Uzbekistan. Factors influencing documentary letters of credit, currency forward transactions, bank guarantee-related transactions, currency spot, currency futures and options from off-balance sheet operations, which are highly profitable for commercial banks, were studied.

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30

Basanna, Prakash, and K. R. Pundareeka Vittala. "An Analysis of Foreign Exchange Risk Management: Techniques Employed in Indian Pharma Industry." Jindal Journal of Business Research 8, no. 1 (2019): 92–107. http://dx.doi.org/10.1177/2278682119833193.

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Foreign exchange risk management (FERM) involves using both internal and external techniques such as forwards, futures, options, and swaps that are called as currency derivatives. The firms with greater growth opportunities and tighter financial constraints are more inclined to use currency derivatives. The Forex market provides various derivative instruments to hedge against currency exposures such as currency forwards, options, futures, and swaps. The current article aims at studying various FERM techniques used in the Indian pharmaceutical industry and its impact on exchange gain/losses. Fo

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31

Mangena, Musa, and Venancio Tauringana. "Disclosure, Corporate Governance and Foreign Share Ownership on the Zimbabwe Stock Exchange." Journal of International Financial Management & Accounting 18, no. 2 (2007): 53–85. http://dx.doi.org/10.1111/j.1467-646x.2007.01008.x.

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32

Srivastava, Ankita. "A review on pricing of currency futures in Indian foreign exchange market." International Journal of Economics and Business Research 13, no. 2 (2017): 182. http://dx.doi.org/10.1504/ijebr.2017.082273.

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33

Srivastava, Ankita. "A review on pricing of currency futures in Indian foreign exchange market." International Journal of Economics and Business Research 13, no. 2 (2017): 182. http://dx.doi.org/10.1504/ijebr.2017.10002994.

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34

Martinez, Valeria, and Yiuman Tse. "Intraday volatility in the bond, foreign exchange, and stock index futures markets." Journal of Futures Markets 28, no. 4 (2008): 313–34. http://dx.doi.org/10.1002/fut.20315.

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35

Craln, Susan J., and Jae Ha Lee. "Intraday volatility in interest rate and foreign exchange spot and futures markets." Journal of Futures Markets 15, no. 4 (1995): 395–421. http://dx.doi.org/10.1002/fut.3990150403.

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36

Chang, Ya-Kai, Yu-Lun Chen, Robin K. Chou, and Yin-Feng Gau. "The effectiveness of position limits: Evidence from the foreign exchange futures markets." Journal of Banking & Finance 37, no. 11 (2013): 4501–9. http://dx.doi.org/10.1016/j.jbankfin.2013.02.033.

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37

Chen, Yu-Lun, and Yin-Feng Gau. "News announcements and price discovery in foreign exchange spot and futures markets." Journal of Banking & Finance 34, no. 7 (2010): 1628–36. http://dx.doi.org/10.1016/j.jbankfin.2010.03.009.

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38

Chimhore, Mable, and Shynet Chivasa. "The Effects of Exchange Rates on Zimbabwe’s Exports." Journal of Economics and Behavioral Studies 13, no. 4(J) (2021): 8–16. http://dx.doi.org/10.22610/jebs.v13i4(j).3211.

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The study reviewed the effect of exchange rates on exports in Zimbabwe using the Ordinary Least Squares (OLS) technique. The objective of the study was to examine the effects of exchange rate on export growth in Zimbabwe using mainly the multicurrency era data. This is because the exchange rate plays a key role in policy formulation and implementation. The study is significant as understanding the role of exchange rate on export guides policymakers in coming up with the right policy mix to stimulate exports. Using secondary data from ZIMSTAT and World Bank, obtained results from a robust regre

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39

Baillie, Richard T., and Robert J. Hodrick. "The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets." Economic Journal 99, no. 394 (1989): 209. http://dx.doi.org/10.2307/2234221.

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40

Glassman, Debra. "The efficiency of foreign exchange futures markets in turbulent and non-turbulent periods." Journal of Futures Markets 7, no. 3 (1987): 245–67. http://dx.doi.org/10.1002/fut.3990070303.

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41

Lee, Yen-Hsian, and Alper Ozun. "Informational dependency between spot and futures markets: Evidence from Turkish foreign exchange markets." Journal of Derivatives & Hedge Funds 19, no. 2 (2013): 99–108. http://dx.doi.org/10.1057/jdhf.2013.8.

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42

Chiang, Shu-Mei, Chun-Da Chen, and Chien-Ming Huang. "Analyzing the impacts of foreign exchange and oil price on biofuel commodity futures." Journal of International Money and Finance 96 (September 2019): 37–48. http://dx.doi.org/10.1016/j.jimonfin.2019.04.007.

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43

Engel, Charles. "The empirical evidence on the efficiency of forward and futures foreign exchange markets." Journal of International Economics 25, no. 3-4 (1988): 387–90. http://dx.doi.org/10.1016/0022-1996(88)90065-7.

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44

Choe, Myeong Sig. "An Alternative Futures Hedge for Minor Currencies." Journal of Derivatives and Quantitative Studies 12, no. 1 (2004): 87–112. http://dx.doi.org/10.1108/jdqs-01-2004-b0005.

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In a world of trade among nations using different currencies, every exchange of goods, services, or assets taking place between economic actors of different nations requires an accompanying currency transaction. If foreign exchange rates were fixed, this would be little more than a formality and not a potential source of market distortion. In the current world, however, the currency exchange rates are often very volatile and can affect market prices when viewed from outside the economy. Individuals with risk-averse preferences seek to minimize the potential losses possible from their currency

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45

Mawanza, Wilford, Nkululeko Mpofu, and Silethemba Nyoni. "THE IMPACT OF SECURITIES MARKETS ON ECONOMIC GROWTH IN ZIMBABWE." Journal of Economic Info 7, no. 3 (2020): 155–69. http://dx.doi.org/10.31580/jei.v7i3.1409.

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The paper examines the impact of securities exchange on economic growth in Zimbabwe for the period 1980 to 2017. The study adopted the endogenous growth model on which magnitude and fluidity of securities were deemed to be the main drivers of the economy. The ordinary least squares regression technique was applied as the main method of analysis and as the maximum likelihood estimator. The findings of the study showed that securities exchange has blended impacts on economic expansion. It was observed that the market size (market capitalisation) and foreign direct investment (FDI) have a signifi

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46

Ray, Russ. "Currency Futures: Some Implications For International Financial Management." Journal of Applied Business Research (JABR) 3, no. 3 (2011): 62. http://dx.doi.org/10.19030/jabr.v3i3.6516.

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This paper tests the contemporary currency futures market for interest-rate parity, purchasing-power parity, market efficiency, and hedging effectiveness. The study finds that the currency futures markets is a highly efficient, hedging-effective market exhibiting significant degrees of interest-rate parity and (longer-term) purchasing-power parity. Finally, the study infers from such findings some practicable policy tools for international cash management, multi-country capital budgeting, currency forecasting, and the risk management of foreign exchange exposure.

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47

Ferguson, Michael F., Steven C. Mann, and Leonard J. Schneck. "Concentrated trading in the foreign exchange futures markets: Discretionary liquidity trading or market closure?" Journal of Futures Markets 18, no. 3 (1998): 343–62. http://dx.doi.org/10.1002/(sici)1096-9934(199805)18:3<343::aid-fut7>3.0.co;2-8.

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48

Yun, Won Cheol, and Hyun Jin An. "A Comparative Analysis of Hedging Effectiveness of Won/Dollar Futures and NDF Contracts." Journal of Derivatives and Quantitative Studies 12, no. 2 (2004): 73–99. http://dx.doi.org/10.1108/jdqs-02-2004-b0004.

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This study compares the hedging effectiveness of domestic won/dollar futures and foreign non-deferable forward (NDF) contracts. We use an ex ante analysis based on out-of-sample data. In addition, the analysis is based on the inventory hedging scenario, adopted in most of previous studies. We estimated hedge ratios by using the various method of 1 : 1 hedging, ordinary least squares (OLS), and error correction model (ECM). The hedging period is expanded to include one to twelve months‘ In every aspect, the hedging effectiveness of won/dollar futures contract turns out to be better than that of

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49

Bernal-Ponce, L. Arturo, Claudia Estrella Castillo-Ramírez, and Francisco Venegas-Martínez. "IMPACT OF EXCHANGE RATE DERIVATIVES ON STOCKS IN EMERGING MARKETS." Journal of Business Economics and Management 21, no. 2 (2020): 610–26. http://dx.doi.org/10.3846/jbem.2020.12220.

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This paper investigates the effect of derivatives on the relationship between the foreign exchange rate and the stock market. A theoretical model is used to extend the understanding of that relationship. Also, the model is tested with an empirical analysis using the GMM strategy for the Mexican and Brazilian stock markets for the period 2007 to 2019. Findings reveal that in addition to the spot exchange rate, exchange rate futures explain the currency exposure, wherein the derivative effect is the most prominent. The result implies that both risk sources should be considered in the implementat

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50

Wang, Hua, and Junjun Zhu. "The influence of USD/CNY foreign exchange rate, RMB NEER and spatial effects on China’s foreign trade." China Finance Review International 6, no. 3 (2016): 304–18. http://dx.doi.org/10.1108/cfri-09-2014-0067.

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Purpose – The purpose of this paper is to analyze the influence of different forms of RMB foreign exchange rates on Chinese foreign trade. Design/methodology/approach – This paper constructed spatial panel model and Markov Chain Monte Carlo estimation method and collected the data of 25 countries’ (including China) quarterly macroeconomic data from first quarter of 1993 until third quarter of 2013 to conduct the data analysis. Findings – This paper finds that USD/CNY, which is widely used in trade settlement, is more significant in effecting Chinese export. Totally, 1 percent appreciation of C

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