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The crowding out effect is an economic theory which argues that rising government spending or borrowing drives down private sector spending. In simple words, if the government borrows huge money from the money markets, then the private borrowers do not get access to the required capital. The excessive government borrowings can also influence interest rates, thus impacting the cost of funds for commercial borrowers. This paper tests, using statistical tools, if government borrowing affects the availability of funds for commercial enterprise. If it affects the availability of funds for private enterprises, then it could impact private sector spending. The paper also tests if government borrowing impacts the interest rates and consequently the cost of funds for private borrowers. [ABSTRACT FROM AUTHOR]

The paper aims to study the trends and structure of digital payments in India in the last decade. It is important to note that the volume has increased faster than the value of digital payments. The average value of digital transactions has been coming down, which means that there has been increased usage of digital mode for smaller value payments by retail users, demonstrating widespread adoption of digital payments in the country. The paper also aims to determine whether all the digital payment methods have the same growth trend on the retail front. The Friedman test and post hoc analysis have been used to analyze the growth pattern. [ABSTRACT FROM AUTHOR]

The paper examines the linkage between oil price, climate variability and Food Inflation (FI) in India using linear ARDL model for the period January 2001 to December 2021. The study uses monthly time series data on CPI (general index, food price index, Money Supply (M3)), oil price and trade openness (volume of Export+Import to % GDP) and temperature change retrieved from the online data base of Reserve Bank of India, FAOSTAT, MOSPI and Ministry of Petroleum and Natural Gas. Since the variables are in different units, natural logarithm values are used in model estimation. The study found that a positive correlation between FI and study variables. The ARDL Model coefficient values show that Money Supply (MS) positively impacts FI, whereas lag MS negatively affects FI. Oil price has a positive impact on FI and trade openness coefficient is positive but not significant. Temperature Change (TC) has a negative impact on FI. The ARDL bound test result indicates that there is cointegration between FI and the study variables. The ARDL-VEC coefficient values indicate that oil price and TC have significant causal relationship with FI. To tackle high FI, there is a need of government and policymakers’ intervention for oil consumption diversification from crude oil to natural gas. The RBI should tighten the monetary policy and repo rate in order to lower FI. [ABSTRACT FROM AUTHOR]

To safeguard against foreign exchange risk due to high market volatility in today's globalized world, exporters use currency futures and options for smoothening the cash flows. This paper aims to analyze the performance of hedging foreign exchange risk using US dollar futures and options and their characteristics. The study uses data from 2016 to 2022. The results show that Indian exporters with a relatively high degree of risk aversion should prefer USD futures contracts with long-term maturities, low liquidity, and high open interest to hedge foreign exchange risk and generate maximum benefits in value enhancement. On the other hand, Indian exporters with a relatively low degree of risk aversion should use the protective put strategy with put options characteristics of long-term maturity, high liquidity, and out-of-the-money (in-the-money) put options if they have a strong conviction about the rising (declining) USD market. The results are robust as they are consistent for all individual years from 2016 to 2022 and for the overall period too. [ABSTRACT FROM AUTHOR]

This paper intends to study and highlight the change in behavior of volatility of Indian stock market on the introduction of derivatives as a financial instrument, the announcement of union budget every year and the Lok Sabha (lower house of the Indian parliament) elections conducted during 1994-2012. Applying cointegration test between the S&P CNX Nifty and the FUTIDX index, it has been noticed that spot and futures markets are cointegrated with each other. Applying a dummy variable, TGARCH model, this paper aims to examine the impact of the above factors on the volatility of Nifty during the year 1994-2012. [ABSTRACT FROM AUTHOR]

The present paper attempts to study the determinants of choice between debt and equity for companies in India for a five-year period from 2015 to 2020 over a balanced panel dataset of firms listed on NSE-CNX 100. The study looks at the impact of explanatory variables such as, size, tangibility, age, liquidity, growth, profitability, volatility, debt serving capacity, and non-debt tax shield on Indian companies' long, short, and total debt ratios. Panel regression fixed effects model has been employed, and tangibility, size, age, liquidity, profitability and financial distress are found to be significant factors affecting capital structure ratio, whereas growth, non-debt tax shield and debt serving capacity did not show any significant effect on the debt ratio. For selected companies in India, the study's empirical findings support the pecking order theory rather than trade-off theory claims. [ABSTRACT FROM AUTHOR]

The Covid-19 pandemic has impacted every industrial segment of the world. This paper analyzes the performance of various Nifty sectoral indices in India during the peak pandemic period. The main objective of the study is to analyze as to which industrial sector was the worst affected in India from March 2020 to May 2021. The major stock market sectoral indices have been used to check the performance of various industrial sectors. Descriptive research design has been applied on daily closing Nifty sectoral indices data. The results reveal that during the period of the study, the investors who had invested in metal, pharma and IT sectors received the maximum returns, while those who had invested in financial services, FMCG and private banks received the minimum returns. [ABSTRACT FROM AUTHOR]

Stock markets use information to determine the intrinsic values of assets and stocks. Markets take time to assimilate information and use it efficiently. This paper attempts to analyze the intraday information usage and assimilation patterns in the Bombay Stock Exchange (BSE) using the Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) approach. Using more than 53,000 time series observations of the BSE Sensex, the paper has empirically tested the information usage and assimilation in the BSE and found that during very short intervals of five minutes, markets give preference to new information. The markets then increasingly assimilate existing information and take around half-hour to assimilate the information adequately. The markets then once again start seeking new information for decision making. [ABSTRACT FROM AUTHOR]

Many corporate scandals, including Satyam scam, raised considerable concern about Related Party Transactions (RPTs). The hypotheses associated with RPTs say that RPTs have dual effect, transaction efficiency and conflicts of interests. RPTs increase transaction efficiency by reducing the transaction cost, but the conflicts of interest hypothesis says that the controlling shareholders may use RPTs to transfer firm resources for their private benefit. The literature says that both the internal and external governance mechanism of firms and ownership characteristics have a significant impact on the decision to enter RPTs. The best governance practices can transform abusive RPTs into efficient transactions. This paper examines the impact of governance mechanism and ownership structure on the size of RPTs. The empirical findings of the study prove that both the governance and ownership characteristics have a significant impact on the size of RPTs. [ABSTRACT FROM AUTHOR]

The motivation behind this paper was to see if financial statement analysis could be employed by investors to design portfolios of low book-to-market stocks that could help them earn excess returns in the Indian context. Using a modified framework from Mohanram (2005), which employs a G_SCORE, capable of separating ex post winners from losers among low book-to-market companies, and portfolio formation on the basis of the G_SCORE, we find convincing evidence that financial statement analysis can help investors form profitable portfolios among low book-to-market stocks. We show that portfolios with high G_SCORE (6 to 7) provide outstanding returns both on absolute and riskadjusted basis and far outperform the markets. At the same time, portfolios with low G_SCORE (0 to 3) offer very poor returns and always underperform the markets on both absolute and risk-adjusted returns. Thus a growth investor could shift his distribution of returns rightwards by investing in portfolios of only high G_SCORE stocks; simultaneously shorting low G_SCORE portfolios would further amplify the returns. [ABSTRACT FROM AUTHOR]

This paper empirically examines the short-run as well as long-run relationship of the Indian stock market with the major developed markets of the world during the period 2005-13. The objective of the analysis is to decide whether the financial recession of 2008 offers better diversification benefits to global investors through equity investments in India. The empirical results of Granger causality test find causality from the developed markets to the Indian market in the short run during pre- and post-crisis days. However, Johansen's cointegration methodology fails to provide evidence of price integration among markets after recession and now the long run price movement in the Indian stock market is not driven by factors common to other markets. These findings confirm further possibilities of diversification to global investors through their equity investments in India. [ABSTRACT FROM AUTHOR]

The purpose of this paper is to evaluate the performance of Exchange Traded Funds (ETFs) operating in India before 2009. The performance of ETFs has been evaluated with geometric mean, standard deviation, beta, tracking error, Treynor ratio, Sharpe ratio and Jensen's alpha. It was found that some ETFs outperformed their benchmark and some underperformed their benchmark. But by testing the significance of difference, the study concluded that there is no significant difference between the performance of ETF and performance of its benchmark. The study will help the investors and managers in better understanding the performance of ETFs. ETF is an innovative product in India. There is limited study in India on ETF which is comprehensive enough to include a longer period. Originality of this study lies in its longer period of data. [ABSTRACT FROM AUTHOR]

This paper analyzes the pattern of indebtedness and the factors influencing the borrowing behavior of Indian manufacturing firms using a sample of listed stand-alone manufacturing firms covering the period 2008-2015. The findings reveal that borrowing is the most important source of finance, followed by current liabilities for the sampled firms. There is overwhelming evidence that access to bank credit is determined primarily by the collateral capacity of the firm. Another important finding of the study is the distribution of borrowed funds; over the entire period of the study, the same has got increasingly skewed in favor of fixed asset rich firms. With regard to the determinants of corporate borrowing, regression results suggest that asset tangibility, profitability and cash flow volatility are the major influencers of indebtedness; firm size favorably influences only bank borrowing, and firm uniqueness and growth opportunities have no significant influence on indebtedness. The availability of alternative tax shields significantly influences total borrowing of firms. [ABSTRACT FROM AUTHOR]

The objective of this paper is to determine the relationship between inflation rate and stock price indices (NSE Nifty). The duration of the study is from January 1, 2008 to March 31, 2019. The data is analyzed for cointegration and causality by using Johansen cointegration test, Vector Error Correction Model (VECM) and Granger causality test. For determining the relationship between the variables, Pearson correlation test has been used. The ADF test results show that the variables are non-stationary at level and are integrated of order one. The correlation results show a negative relationship between stock market indices and inflation rate in India. Johansen cointegration test results indicate cointegration between the variables. The Granger causality test shows that inflation rate does not affect the stock market indices, and stock market indices are not affected by the inflation rate. The VECM model and Wald test results show that there is no long run and short run causality between the variables. [ABSTRACT FROM AUTHOR]

This paper is an attempt to examine the presence of herd behavior in the stock market of India, which is one of the emerging economies of the world. The study uses the measures suggested by Christie and Huang (1995) and Chang et al. (2000) on National Stock Exchange data. Empirical results based on daily and monthly data indicate that during periods of extreme price movements, equity return dispersions tend to increase rather than decrease, thus providing evidence against the presence of herding in the Indian stock market for the years 2000-2012. Owing to reforms in Indian stock market and the increased presence of institutional players, investors' behavior seems to be more rational, facilitating the application of rational pricing models in the Indian stock markets. [ABSTRACT FROM AUTHOR]

The paper applies machine learning tools in pairs trading. Three different algorithms, namely, Support Vector Machine (SVM), Random Forest (RF) and Adaptive Neuro Fuzzy Inference System (ANFIS), have been used for predictive modeling of the value of the ratio of share prices of pairs of companies. The study considers nine different independent variables/features for forecasting. The analytical framework combines the mean reverting property of the movement of a pair of prices along with technical indicators. We also use feature selection algorithms for justification of the nine independent variables. The results support our methodology and also selection of the features for prediction. [ABSTRACT FROM AUTHOR]

The paper analyzes the insolvency risk of commercial banks in India for the period 1998-2007. This has primarily been motivated by the changes in the structure and conduct consequent upon the banking sector reforms which have gradually brought the much-desired dynamic and competitive forces into the system that enabled banks to perform better by way of flexibility in their operations and diversification into organic and inorganic lines of business, notwithstanding the market-induced vulnerabilities. Though reforms have facilitated reduction in cost of deposits and cost of funds across all bank groups and improvement in the return on assets, facilitated by higher spread and lower burden, nonetheless, there is persistence of significant disparity among banks in their conduct, performance, cost minimization and on the risk management front. Using 'Z-score' measure of insolvency risk and panel data econometrics, it is found that the Indian private banks are most risky, whereas the foreign banks are found to be least risky for their fat capital cushion. The Public Sector Banks (PSBs) are in the intermediate category in terms of their risk levels. Further, higher competition tends to induce risk unless there are efficiency improvements across the banks. Diversification is also found to have a risk-mitigating effect; however, diversification per se is not sufficient condition for lowering the risk; rather, selective diversification coupled with buffer capital could yield the sufficient condition for banks' safety. While the banks have adapted themselves to the changing environment, the fast evolving financial landscape continues to pose several challenges. Therefore, banking regulation assumes increasing significance in these changing environments for adequate assessment of risk and to discourage risky behavior. [ABSTRACT FROM AUTHOR]

This paper is motivated by the apparent belief that risk and uncertainty surrounding an Initial Public Offering (IPO) have significant impact on underpricing. IPOs are underpriced on initial day to compensate for the risk inherent in it. While a list of risk proxies are suggested in literature, it actually invokes several complications in selecting the suitable risk for an IPO. Using the magnitude of underpricing as risk premium for initial investors, this paper seeks to shed light on the controversy by taking a sample of 171 IPOs issued in India during 2002-2007. Suitability of risk surrogates is examined to estimate underpricing. The findings revealed that high price deflated to low price (H/L) has a superior estimation power for underprice, suggesting H/L as a better indicator for uncertainty surrounding IPOs rather than other risk surrogates used in this study. Besides H/L, it is the investment bank prestige and inverse of offer proceeds which proved to be statistically significant in explaining underprice. Across sectors, H/L, investment bank prestige, and age of issue firm are found to be suitable risk proxies for IPOs from the manufacturing sector, while risk for the non-manufacturing sector IPOs is better explained by H/L, investment bank prestige, inverse of offer proceeds, and ex ante uncertainty. [ABSTRACT FROM AUTHOR]

Corporate events have numerous effects on the stock market, as found by several research studies in the world. In this regard, the aim of this paper is to test the semi-strong form of efficiency in the Indian equity market, following an event study approach. The events considered in this paper are bonus issues and stock splits that took place in the market from 1996 to 2008. These events are tested for abnormal returns and liquidity. The data selected is free from the impact of confounding events. -30 to +30 days investigation window is taken for all the events to test the abnormal returns and the change in liquidity. The results suggest that the Indian market reacts to the stock split announcements but not to bonus issues, and the change in liquidity is significant for stock splits at 1% significance level, whereas with 5% level of significance both bonus issues and stock splits show significant change in liquidity from pre- to post-event period. [ABSTRACT FROM AUTHOR]

Financial derivatives, from the economic point of view, are cash flows that are conditionally stochastic and discounted to present value. The market risk inherent in the underlying asset is attached to the financial derivatives through contractual agreements and hence can be traded separately. In the last decade, the derivatives market in India has grown astronomically. This paper analyzes whether the growth of the derivatives segment has overtaken the cash market in National Stock Exchange (NSE) and Bombay Stock Exchange (BSE). The paper also analyzes the Pearson's correlation between the Turnover (T/O) of BSE cash segment and derivatives segment, stock futures, index futures, index call options and index put options, stock call options and stock put options. The results reveal that derivatives do indeed facilitate transfer of risk and that this segment has gradually overtaken the cash segment in terms of T/O and that there is a correlation between the above-mentioned parameters. [ABSTRACT FROM AUTHOR]

The paper attempts to explain the association between Foreign Institutional Investor (FII) flows to Indian equity markets and option implied Volatility Index (VIX). Prior studies involving the relationship between FII flows and realized volatility provide contradictory findings and are largely inconclusive. Little empirical work is found to explain the relationship between FII flow and expected volatility as measured by the option implied VIX. We find evidence that India VIX does not have any influence on FII flows to Indian equity markets. Instead, there is evidence of significant reverse causality. The results indicate that the collective perception in the minds of investors about future volatility is fueled by FII flows. [ABSTRACT FROM AUTHOR]

While most traditional science deals with supposedly predictable phenomena like gravity, electricity, or chemical reactions, Chaos Theory deals with nonlinear things that are effectively impossible to predict or control, like turbulence, weather, the stock market, our brain states, and so on. Hence, such processes focus on non-randomness, nonlinearity and chaotic characteristics. In recent times, such nonlinear dynamics and chaotic dynamics have augmented in the field of financial analysis. This paper studies the extent to which the daily return data from the Indian Stock Exchange indices (Nifty and Sensex) exhibit these nonlinear, non-random characteristics. The Hurst exponent in rescaled range analysis rejects the hypothesis that the index return series are random, independent and identically distributed. The BDS test provides evidence for nonlinearity. The results confirm the existence of fractal structure (i.e., selfsimilarity across different scales) in Nifty and Sensex. Basing on these results, technical analysis theory, i.e., Elliot Wave Theory, can also be justifiable. [ABSTRACT FROM AUTHOR]

Equity has always remained an instrument of long-term wealth creation. India being a developing nation with low average age group and rising per capita income, investment in equity may provide a significant wealth creation opportunity, provided Equity Risk Premium (ERP) is significant enough. ERP also helps in identifying the cost of equity and cost of capital of the business, and hence provides valuable insights for project appraisal decisions. This paper answers the question, "Is the ERP offered by Indian stock market justifiable?" [ABSTRACT FROM AUTHOR]

This paper examines the financing pattern of private corporate sector in India. Several studies in the last three decades have increasingly emphasized the role of finance in influencing investment activities of firms. In India, the state had actively fostered the development of financial system till the 1980s, though it favored bank-based system. With the ushering in of financial sector reforms since the early 1990s, the emphasis on equity market has gone up. This paper finds that while corporate sector relied more on bank/institution sources of funding till the early 1990s, its reliance on equity market has gone up since then. The paper ends with a discussion on the implications of such changing financing pattern. [ABSTRACT FROM AUTHOR]

The dynamics of integration is studied in two time frames: short-term and long-term. The focus of this paper is to evaluate the short-term integration dynamics of stock exchanges of India (Bombay Stock Exchange - BSE) and China (Shanghai Stock Exchange - SSE) with US (S&P500) and Europe (FTSE100). Granger Causality Test was used to identify the direction of causality, and impulse response was used to identify the effect of shocks from one market to the other markets. The outputs suggest that BSE Granger-causes FTSE100 and S&P500. But SSE does not Granger-cause S&P500 and FTSE100. This result contradicts the findings of the prior research (Janak Raj and Sarat, 2008), which suggest that Indian stock markets do not Granger-cause US, European and other developed markets. The impulse response of S& P500 to BSE suggests that any shocks from BSE to S&P500 survive for a period of two days. This study would help portfolio managers and investors to view diversification from a new perspective and take advantage of it. [ABSTRACT FROM AUTHOR]

Extant studies treat the impact of entry on concentration, market structure and competition rather mechanically; with some even going further to naively identify concentration as an indicator of competition. This paper critically examines these contentions by studying the trends and determinants of concentration with a view to gaining an insight into the process of competition. The deregulation of domestic private banking industry in India, since the early 1990s, provides an opportunity for such a study. This paper is the first of its kind to identify a distinct pattern of change in the concentration ratio and explains its determinants in terms of a cubic form equation. The determinants of Herfindahl's Concentration Ratio are number of firms, average asset size of the firms and their skewness. The study also points to a possible generalized pattern that market concentration follows upon deregulation of the industry. [ABSTRACT FROM AUTHOR]

The Indian financial system consists of various financial institutions, of which commercial banks play an active role in the development of the country's economy as a whole. The present paper attempts to study the impact of Non-Performing Assets (NPA), capital adequacy to risk-weighted assets and liquidity on the operational performance [termed as Return on Assets (ROA)] of scheduled commercial banks in India. ROA is taken as the dependent variable. The time-series data has been collected for scheduled commercial banks (consisting of 27 public sector, 25 private sector and 45 foreign banks) in India for the period 1997-1998 to 2016-2017. The study uses Augmented Dickey-Fuller Test to check the stationarity of data. To measure the cointegrating relationship between dependent and independent variables, Johansen cointegration model has been used. The study finds that there is a long-run causality between dependent and independent variables with negative coefficients for NPA and liquidity. [ABSTRACT FROM AUTHOR]

With the objective of reaping the benefits of both the smallness and bigness, large-scale organizations divisionalize their operations into a few segments (divisions, departments, etc.). After providing the necessary facilities and powers to these divisions, they are made accountable for the results. Hence, one can find a few accounting entities within each of such business entities. This is because of the reason that the overall performance of the organization depends on the performance of their segments, and this is true even in the case of banking and financial companies such as the Karnataka State Financial Corporation (KSFC). As the corporation has a vast geographical area (i.e., entire Karnataka State) to serve, it has 32 branch offices, and for operational purpose, the state is divided into four circles with 7-9 branch offices in each circle. The performance of corporation depends, to a greater extent, on the performance of its circles and their branch offices. Against this backdrop, the present paper makes an attempt to evaluate the performance of circles using six variables and the data for 10 years, 2007-08 to 2016-17. [ABSTRACT FROM AUTHOR]

This paper aims to identify the critical corporate fundamental factors that have a significant effect on stock price movements as mirrored by two leading stock indices, Sensex and Nifty, which in turn have an influence on the entire market movement. [ABSTRACT FROM AUTHOR]

Domestic and export demand of Guar Seed and its derivative Guar Gum has increased phenomenally due to its application in multi-billion dollar shale energy industry in the US. To examine the performance of Guar Seed futures market, its efficiency and price discovery is tested in the present study using robust models like Johansen's cointegration, Vector Error Correction method, Impulse Response and Variance Decomposition. Temporal relation between spot and futures prices from 2004 to 2011 studied using the above techniques indicates that both spot and futures prices observe long-run co-movement and therefore futures contracts can serve as a useful hedging instrument. In the short run, unidirectional flow of information from the futures to the spot market is observed, i.e., futures market leads the spot market for Guar Seed. Error correction is taking place in both the markets, although futures market is seen to make quicker adjustment to restore market equilibrium. But the process of adjustment to disequilibrium is slow in both the markets. This gives an indication that participation in futures market is low which makes the process of information transmission slow. [ABSTRACT FROM AUTHOR]

This paper investigates the causal relationship between stock market indices and gold price in India. The monthly time series data for Mumbai gold prices and three stock market indices, viz., Sensex, BSE 100 and S&P CNX Nifty, are used for the period January 1991 to December 2011. By applying Augmented Dickey-Fuller unit root test, Johansen cointegration test and Granger causality test in Error Correction Model framework, the study concludes that all series are I(1)and there exists a long-run equilibrium relation between all the variables. The study also provides evidence that the Granger causality runs from gold price to Nifty only. Hence, gold price contains some significant information to forecast Nifty return. [ABSTRACT FROM AUTHOR]

This paper examines the price discovery and volatility spillovers in the spot and futures wheat market in India. For this purpose, closing prices are taken as the sample data from June 1, 2013 to July 31, 2017 from National Commodity and Derivatives Exchange Limited (NCDEX) for both spot and futures wheat markets. The data is analyzed using unit root test, Granger causality test, Johansen cointegration test, Vector Error Correction Model (VECM), and Glosten- Jagannathan-Runkle Generalized Autoregressive Conditional Heteroskedasticity (GJR-GARCH) model to measure the price discovery and volatility spillovers. Granger causality test confirms that bidirectional causality exists between wheat spot and its underlying wheat futures market. Johansen cointegration test approves the long-term equilibrium relationship between wheat spot and wheat futures prices. The VECM shows that wheat futures market leads wheat spot market in price discovery process in the long run. It shows that the wheat futures market plays a dominant role and serves as a price discovery vehicle. The GJR-GARCH model exhibits the volatility spillover from wheat futures market (near month as well as next to near month) to wheat spot market, and wheat spot market to near to next month wheat futures market. The wheat futures market in India serves as a price discovery agent. The findings of the study give insights to the investors, regulators, policy makers and speculators on volatility, volatility spillover, long-term equilibrium, price discovery and the effect of futures market on spot market and vice versa in wheat market. This would help them make future policies with regard to practices/investments in wheat market, whether in spot or futures market. [ABSTRACT FROM AUTHOR]

This paper examines the impact of changes in aggregate market liquidity on stocks in which derivative trading is allowed. Though the liquidity of the market declines after the introduction of derivative trading, the impact of changes in market liquidity on stocks is critical in asset pricing. We find that the negative value of liquidity beta has increased after the introduction of derivative trading, thus increasing the sensitivity of liquidity shocks on asset prices. [ABSTRACT FROM AUTHOR]

This paper examines the relationship between the returns volatility, volume and open interest of the futures market. Both volume and open interest are broken down into their respective expected and unexpected components to understand as to which is able to explain the volatility. The study is conducted on daily closing index futures prices, volume and open interest for the near-month contract of the Nifty Futures Index on National Stock Exchange (NSE). GARCH-type models are used to model the volatility. [ABSTRACT FROM AUTHOR]

Derivatives trading is always at the center of discussion in any financial phenomenon. It has been discussed, argued and defended in many forms as to how the derivatives trading has brought distress and crisis in financial market. While a few derivatives disaster stories were enough to bring the entire business of derivatives under the limelight and make every one worry about unknown risks associated with derivatives, it has gained popularity as a measure of risk mitigation too. This paper explores the impact of futures trading of Bank Nifty Index on the underlying cash market of the sectoral index of Bank Nifty. This is an attempt to study how the onset of futures trading has affected that particular industry in terms of inducing or stabilizing volatility in the spot market. Moreover, the informational efficiency and market integration of the spot market have also been analyzed as a result of futures trading in that segment. GARCH model with futures dummy has been used to analyze the impact of futures trading on spot Bank Nifty Index volatility during the period 2000 to 2013. Two separate GARCH models have been fitted in the pre- and post-futures period to examine the relationship between new information release and spot market volatility following the onset of futures trading. The study has shown that over the time, index futures trading improved the overall performance of the spot market of banking sector by providing better exposure to global factors, by quicker information assimilation, and by reducing the persistence of volatility. [ABSTRACT FROM AUTHOR]

In recent years, private equity has emerged as an important destination for investments in India. This paper examines the effect of private equity placements on shareholder value, changes in liquidity and changes in ownership structure around the announcement of private equity deals. We find that the Indian stock market reacts positively to private equity transactions. The trading volume decreases after the private equity deal; the number of trades and turnover improve after the deal but market capitalization does not increase. There is also a dilution of promoters' shareholdings after the deal. An analysis of cross-sectional abnormal returns shows that there is a negative relation between growth opportunities and abnormal returns, confirming that private equity announcements have no impact on the growth opportunities of a firm. [ABSTRACT FROM AUTHOR]

In this paper, we study the relevance of stock options open interest in conveying information about the future price movements in the underlying stocks. This investigation has been carried out by using daily closing data of 26 stocks in the National Stock Exchange (NSE) derivatives segment for the period May 2007 to October 2008. The result proves that stock options open interest does contain valuable information about future price movements in the underlying stocks. [ABSTRACT FROM AUTHOR]

This paper examines the impact of changes in market structure on market quality through security speed of adjustment coefficients, by employing ARMA model. The average result of cross-section of companies did not show any systematic pattern in terms of persistent underreaction or overreaction. The study did not find significant difference in the speed of adjustment of small and large capitalization stocks. [ABSTRACT FROM AUTHOR]

The aim of this paper is to investigate the financing decisions of Indian corporate managers in deficit and surplus situations. The study analyzes the survey results derived from questionnaires received from the companies' Chief Financial Officers (CFOs)/Finance Managers/Directors Finance, using descriptive statistics. The survey findings indicate that a majority of the Indian companies prefer to adjust their capital when they face deficits or have surpluses. During deficiency, firms' preference is to avoid future capital expenditures and issue of long-term debt to finance deficits. In contrast, companies having surpluses indicate their preference to (i) deposit surplus funds with banks for a short period; and (ii) utilize surpluses to redeem debt. On the aspect of choice of financing sources, the results are consistent with the pecking order hypothesis. Deficit firms have marked preference for long-term debt to finance deficits and surplus firms opt for short-term debt for future needs. [ABSTRACT FROM AUTHOR]

This paper attempts to examine the relationship between financial performance and their determinants in the case of Indian life insurance sector. This study is carried out using panel data of 10 companies for 10 years from 2005 to 2014. The financial performance is indicated by Return on Assets (ROA) and the independent variables chosen are claims ratio, growth in gross premiums, leverage, liquidity, capital, size, solvency, risk retention ratio and tangibility. Multicollinearity test is applied and found that leverage has a strong correlation with other independent variables and hence eliminated from the model. The results of panel regression test point that liquidity, size, solvency and risk retention ratio are not significantly related to financial performance and claims ratio, growth in gross premiums, capital and tangibility are negatively related to financial performance. [ABSTRACT FROM AUTHOR]

Seasonality in stock markets is a regular and repetitive phenomenon occurring at some regular intervals of time, which may generate abnormal or excess returns. This paper explores the existence of seasonality in Indian stock market in four forms, namely, day-of-the-week effect, month-of-the-year effect, quarterly effects, and monthly effects. For this purpose, S&P CNX Nifty was taken as the sample. The daily closing, opening, high and low prices were collected from November 3, 1995 to May 31, 2013. ADF test was used for checking stationarity, whereas a dummy variable regression was used for testing seasonality. It was found that all the four effects are present in the Indian stock market. The returns of September, Monday, first quarter and first-half of the month were significantly different. Thus the existence of seasonality in Indian stock markets was proved. All the four effects tested for Nifty indicate that seasonality has changed over the years. [ABSTRACT FROM AUTHOR]

That risk measurement is the key to effective and efficient risk management needs no emphasis. This paper examines sensitivity of stock returns of 30 Indian banks (included in CNX500 index) to three risk factors--interest rate, inflation rate and fluctuation in exchange rate. The study uses monthly data for the period April 1, 2005 to March 31, 2014. By applying 'pooled regression technique', the study indicates that returns of Indian banks are statistically (significantly) impacted by the above-mentioned risk factors as well as overall market returns. With the exception of short-term interest rates, all the risks are positively related to banks' returns. A disaggregative analysis based on public sector banks (16) and private sector banks (14) reveals somewhat similar findings. This analysis of banks' risk exposure is expected to be of immense practical use in framing/designing operational policies as well as risk management in Indian banks. [ABSTRACT FROM AUTHOR]

The present paper compares the capital adequacy of Indian commercial banks from a different angle: the Core Capital in relation to their Risk Weighted Assets by constructing a capital adequacy frontier and computing capital adequacy efficiency of the in-sample commercial banks by using Bilateral Model of Comparison. The sample has been categorized into two groups as Public Sector Banks and Non-Public Sector Banks (comprising Private Sector and Foreign Banks). The distribution of the efficiency scores for the two groups has been found to be significantly different, and the results revealed that the Non-PSU Banks consistently outperformed their PSU counterparts in terms of capital adequacy. In the second phase, the study has attempted to quantify the performance of the banks and identified four important performance indicators through Principal Component Analysis and tried to see through Spearman's rank correlation test and a left censored Tobit Model how capital adequacy is linked to these four principal components. [ABSTRACT FROM AUTHOR]

This study examines the effect of economic variables and investors' behavior on monthly returns from Indian stock market. The results show that the growth in industrial production did not have significant effect on such returns during the pre-pandemic as well as pandemic period, whereas the net inflows from foreign institutional investors (FIIs) in equity shares listed in India effected returns on BSE 500 significantly during both the periods, but the effect of FII investments in equity shares on such returns decreased during the pandemic period, except during January to March 2020. Interestingly, the flight of FII investment out of India in March 2020 exerted much higher effect on such returns. During the entire period of study, net investments by domestic mutual funds (MFs) in equity shares listed in India were found to be highly negatively correlated with net inflows from FIIs in equity shares listed in India, implying that the former variable might have shown opposite effect on returns on BSE 500. [ABSTRACT FROM AUTHOR]

In this paper, we examine the possibility of price momentum strategy and the profitability thereof in the Indian equity market, which is one of the most promising emerging markets. We also analyze the magnitude of contribution made by losers' and winners' portfolios to momentum profit in the Indian context. The results show a strong presence of momentum phenomenon in the Indian context and also winners' portfolio contributes more to momentum return. [ABSTRACT FROM AUTHOR]

This paper intends to study the impact of global meltdown of 2008 on the overall stock market volatility, and the change in the performance of 20 reputed companies, from four sectors, listed under the National Stock Exchange. An effort has been made to find out the status of recovery of these 20 companies after the global recession began in the last week of October 2008. The objective of this study is to find out the extent of loss suffered by these companies and the time taken by them for recovery. The analysis will be of use to investors as well as policy makers. [ABSTRACT FROM AUTHOR]

This paper examines the firm characteristics typically preferred by institutional investors before investing in a stock in the Indian equity market, and also explores the implications of such preferences in terms of their subsequent performance. We find that all institutional investors show strong preferences for larger market capitalization stocks, stocks with international exposure and stocks included in indices. However, their preferences for price, leverage, turnover and other parameters differ. We also find that the preferences of these institutional investors are dynamic in nature and vary over time. It is observed that such preferences exhibited by institutions do not translate into concrete performance as manifested by lack of predictive power of stock returns in the following quarter. [ABSTRACT FROM AUTHOR]

This paper aims to study the stock market reaction around buyback announcements made during a 10-year period between 2000-01 and 2009-10 by taking the S&P CNX 500 index companies and dividing the period into normal and active market conditions. Through the standard event study methodology, it also intends to analyze the buyback information impact on stock returns during different conditions and comment on market efficiency in assimilating the information into prices. While evidencing semi-strong form of efficiency during the two periods considered, the study documents the different dosages in the reaction (signaling) of the Indian stock market to buyback announcements in accordance with differing market conditions considered. [ABSTRACT FROM AUTHOR]

This paper is an attempt to examine the reliability and usefulness of ex ante measures of portfolio formulation by selecting securities from a well-defined sampling frame. Four indices are employed to achieve the objectives of the study, namely, Sharpe index, Treynor index, Jensen index and Sortino index. Incorporation of the four indices helps in understanding theoretical underpinnings of both modern and post-modern portfolio theories. The study is conducted in the Indian context with special reference to S&P500 CNX NIFTY index, wherein the selection of the security for constructing the index is subject to three criteria: liquidity, market capitalization, and floating stocks. Using the Sharpe's algorithm, cut-off is calculated to formulate the portfolio of 26 stocks out of 50 stocks. A comprehensive analysis of each individual stock, portfolio, and index is presented with respect to their annualized returns, annualized standard deviations, betas, residual variances or deviations. This study provides a basis for a large section of investors, especially retail investors, for analyzing, selecting, and evaluating their portfolios as an index tracker onto some specific reference point. [ABSTRACT FROM AUTHOR]

This paper examines the resilience displayed by the spot indices S&P CNX Nifty, and two sectoral indices—CNX IT and Bank Nifty—of National Stock Exchange (NSE), one of the major stock exchanges in India, versus their respective futures contracts using Value-at-Risk (VaR) concept during dotcom and subprime mortgage crises over 2000-10 period. The study finds that losses based on one-day VaR at 95% confidence interval have been greater in the futures market than in their respective underlying spot markets, thereby implying that Indian derivatives market displays less resilience than its equity market. [ABSTRACT FROM AUTHOR]