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Derivatives holdings and market values of U.S. bank holding companies
Abstract
We examine the impact of derivatives held by US bank holding companies on their market valuations over the period 2000 to 2010. By using bank-level data with detailed information on the notional amounts of derivative positions according to holding purposes and underlying asset types, our regression analyses provide three main findings. First, derivative instruments held for hedging rather than trading purposes contribute to enhancing market values. Second, the positive effects exhibit nonmonotonic patterns indicating that excessive amounts of derivatives holdings deteriorate market values. Third, interest rate derivatives are the main source of high valuations.
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“Choi et al. (2016) showed that banks' positions on various raw materials and their derivatives can have negative consequences and financial stability risks when they have market power in these markets in general.”
From Food Financialization: Impact of Derivatives and Index Funds on Agri-Food Market Volatility (2024) · cites this paper as Choi et al. 2016
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Research works printed but not linked: 29
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Cited by
Sorted by citations
Food Financialization: Impact of Derivatives and Index Funds on Agri-Food Market Volatility
Venegas, M. D. R., Feregrino, J., Lay, N., & Espinosa-Cristia, J. F. (2024) · International Journal of Financial Studies · doi:10.3390/ijfs12040121 · Cited by 13
Metadata
- Authors
- Choi, W. W., Kim, J., & Kim, M.
- Affiliations
- Korea Advanced Institute of Science and Technology (KR)
- Corresponding author
- Kim, Jinyong
- ORCID
- Kim, Jinyong
- Venue
- Applied Economics
- Publisher
- Informa UK Limited
- Published
- 2016-04-12
- Volume
- 48
- Issue
- 49
- Pages
- 4747-4757
- ISSN
- 0003-6846 (ISSN-L)
- 1466-4283
- OpenAlex
- W2338994975
- Cited by
- 5
- References
- 0
- Citations by year
- 2025: 2 · 2024: 1 · 2022: 2
- FWCI
- 0.00
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- Applied Economics (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Business, Management and Accounting › Accounting › Risk Management in Financial Firms
- Social Sciences › Economics, Econometrics and Finance › Finance › Banking stability, regulation, efficiency
- Social Sciences › Economics, Econometrics and Finance › Finance › Corporate Finance and Governance
- Keywords
- bank holding companies, hedging, interest rate derivatives, bank risk management
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- CoChat. (2026). Citation check: Derivatives holdings and market values of U.S. bank holding companies. https://app.cochat.ai/papers/10.1080/00036846.2016.1164822
- The paper
- Choi, W. W., Kim, J., & Kim, M. (2016). Derivatives holdings and market values of U.S. bank holding companies. Applied Economics. https://doi.org/10.1080/00036846.2016.1164822
