Effect of the Use of Derivative Instruments on Stock Returns: Evidence from Banks in Emerging and Recently Developed Countries

LSAF working paper number 2013.20.

21 Pages Posted: 15 Aug 2014

See all articles by Mohamed Rochdi Keffala

Mohamed Rochdi Keffala

University Claude Bernard Lyon 1; LEFA – IHEC Carthage

Christian de Peretti

University Claude Bernard Lyon 1; Ecole Centrale de LYon

Chia Ying Chan

Yuan Ze University - College of Management

Date Written: January 1, 2013

Abstract

The purpose of the paper is to examine the impact of derivatives usage on bank performance. Four derivatives are used: forward, futures, options, and swaps. The bank performance is measured by daily stock returns during the period 2003-2009. The sample is composed of 74 banks from both emerging and “recently developed” countries. The findings reject usual hypothesis by showing a negative effect of derivatives on performance in such countries. The main conclusion rejects the thesis stipulating that derivatives are beneficial for banks, as for developed countries.

Keywords: derivatives, banks, stock returns, emerging countries, panel econometrics

JEL Classification: G21, G32

Suggested Citation

Keffala, Mohamed Rochdi and Keffala, Mohamed Rochdi and de Peretti, Christian and Chan, Chia Ying, Effect of the Use of Derivative Instruments on Stock Returns: Evidence from Banks in Emerging and Recently Developed Countries (January 1, 2013). LSAF working paper number 2013.20. , Available at SSRN: https://ssrn.com/abstract=2480419 or http://dx.doi.org/10.2139/ssrn.2480419

Mohamed Rochdi Keffala

University Claude Bernard Lyon 1 ( email )

43 Bl du 11 novembre 1918
Lyon, Villeurbanne cedex 69622
France

LEFA – IHEC Carthage

Tunisia

Christian De Peretti (Contact Author)

University Claude Bernard Lyon 1 ( email )

Institut de Science Financière et d'Assurances
50, Avenue Tony Garnier
Lyon Cedex 07, 69366
France
+33 (0)4 37 28 74 39 (Phone)
+33 (0)4 37 28 76 32 (Fax)

HOME PAGE: http://https://isfa.univ-lyon1.fr/recherche/membres-du-laboratoire

Ecole Centrale de LYon

36 avenue Guy de Collongue
Ecully, Rhones 69134
France
+33 (0)4 72 18 63 34 (Phone)
+33 (0)4 72 18 67 63 (Fax)

HOME PAGE: http://www.ec-lyon.fr

Chia Ying Chan

Yuan Ze University - College of Management ( email )

320 No.135, Neicuo Rd.
Zhongli City
Taiwan

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