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Initial Public Offering (IPO) is a kind of public offering in the form of companies' share which are sold to investors. An IPO is underwritten by one or more investment banks. These banks help in listing the shares on stock exchanges. The purpose of this research paper is to get a comprehensive analysis of previous research studies on the performance of IPO, which may provide the present growth and scope of research work in the field. 106 research studies on IPOs have been reviewed and outlined all the studies based on of their tools, methodology, year of the study, sample period, sample countries taken, type of studies, and sources of the study. For the present study, research articles published from 1998 to 2018 were selected for review. The outcomes of the analysis show that the number of studies on IPO rose continuously over the last seven years. The conclusion drawn from this paper may provide helpful facts regarding the following reviews of the IPO to investors, researchers, shareholders, and policymakers for taking important decisions. This study can be further refined by including the other classifications such as Google trend. [ABSTRACT FROM AUTHOR]

Investors step into the stock market with the objective of earning smart returns on their investments. The stock market can help in realising these goals of the investors, however, all investments are subject to risks. The origin of the risk is the uncertainty of realising the desired returns on the investment. This aspect is known as risk of the investment. This paper aims to search the best model to estimate and forecast volatility of Indian and Chinese stock market. The data for the paper is related to the two main indices of Indian Stock Market namely, SENSEX and NIFTY and two indices of Chinese stock market, namely, Shenzhen composite index and Shanghai composite index for the period July 2003 to June 2013. We applied symmetrical as well as asymmetrical GARCH models to the data. Among all the three models i.e. GARCH, EGARCH and TARCH, we found the GARCH (1,1) model as the best model to estimate and forecast the volatility of Chinese stock market for both the daily and weekly return series. For the Indian stock market, the recommended volatility estimation and forecasting model is EGARCH model that captures the leverage effect. We did not find volatility clustering and leverage effect for the monthly return series for both Indian and Chinese stock market. Thus, it is suggested to use the traditional time invariant volatility models for the monthly return series. [ABSTRACT FROM AUTHOR]

This paper tries to examine the impact of Ind AS on some accounting numbers and also to examine if there is any statistically significant difference among the prevailing opinions regarding Ind AS adoption in India. We took the top 45 companies from the Bombay Stock Exchange, according to their market capitalisation, and excluded banking, non-banking financial companies, and insurance companies due to non-availability of data, and made a questionnaire for opinion survey. We applied paired t-test on the secondary data and a chi-square test on the primary data. No statistically significant difference was found in the accounting numbers after the adoption of Ind AS. Results also revealed that there is homogeneity in the opinion of respondents with different work experiences and occupations regarding the impact of Ind AS on accounting numbers. Indian companies should provide more disclosure in their financial statements, so that the informational content of accounting numbers can be increased. [ABSTRACT FROM AUTHOR]

Foreign investments are the investments made by residents of a country in the financial instruments and production process of any other country. Any individual, entity or institution that invests money in the financial markets of other countries is called as Foreign Portfolio Investor. Policymakers of any country are concerned about foreign equity investors because they can withdraw their capital from a country rapidly and hence affect the stability of stock markets in the country. The present paper carries the objective of examining the influence of foreign portfolio investor trading behaviour on the stock markets of India. Various models of GARCH have been used to examine the impact and coefficients were found to be significant in all the cases. Hence the paper suggests the government and economists should design and control suitable foreign investments policies for the Indian Stock markets. [ABSTRACT FROM AUTHOR]

This paper examines the stock market volatility and FIIs for the period (2004 -- 2010). The volatility of NIFTY index influenced by the investment inflows of FIIs is modeled using a time series ARIMA approach. The empirical results calibrated through these models are analytic in several fronts. The paper further models and forecasts the index using the data set, where Foreign Institutional Investment (FII), Nominal Effective Exchange Rate (NEER) and Call money rate are considered as the exogenous variables. Finally, the empirical findings show that if the net FII flow is auto regressed with FII flow of various lag periods then it does not have significant influence on the monthly-volatility of the index. The paper also proposes the possible reasons supporting the empirical observations. [ABSTRACT FROM AUTHOR]

This paper provides an empirical examination of the determinants of borrowings in hotel companies listed on Bombay Stock Exchange. A sample of 50 hotel companies listed on BSE was studied and it is revealed that the 'company size', 'return on capital employed' and 'non-debt tax shield' are the most important determinants of total debt ratio in hotel industry in India. While the 'collateral value of assets', 'company size' and 'return on capital employed' are the most important determinants of long term debt ratio in hotel industry in India. The paper has been divided into five sections i.e. backdrop, review of literature, research methodology, results and discussions followed by conclusions. [ABSTRACT FROM AUTHOR]

Investors in equity shares look for two basic aspects while investing i.e. consistently rising returns with a decreasing or at least stabilized level of risk involved. Amidst the numerous stocks available in the market which differ widely on the basis of different aspects i.e. segment, sector, industry, market capitalization etc. it becomes a challenge for the investor to form a diversified portfolio where heterogeneity of the constituent stocks is the main criterion. Thus it is imperative that the basis be finalized on which the heterogeneity of the stocks shall be determined. Traditionally portfolios have been constituted on the basis of low coefficient of correlation of returns from the constituent stocks. The dissimilarity of co-movement of returns from stocks has traditionally been attempted to be maximized in portfolios. Another method of grouping similar stocks by using data mining approach is fast gaining popularity. This approach uses clustering technique to group homogeneous stocks on the basis of a set of selected criteria. These criteria can be financial ratios, indices or any other related matrices. Advanced versions of this technique can group homogeneous time series data as well. This paper attempts to identify homogeneous clusters of companies in the Indian small-cap segment based on valuation ratios. Valuation ratios have been selected to be the grouping criteria as these were not been used in earlier studies by researchers and scholars. The small cap companies in India have been chosen for this study for its better resilience and recovering potential compared to mid cap and large cap companies. The companies constituting the CNX NIFTY Small Cap 50 Index have been considered in the study. [ABSTRACT FROM AUTHOR]

The capital market responds to precedent and unprecedented events. These events play an important role in market efficiency. The purpose of this paper is to elaborate the state of the stock market due to the recurring landslides in the Uttarakhand region in India. This study will help to determine the loss faced by the companies in the Indian stock market. Hence, analysing the "shock due to the natural disaster" in the stock market is an important issue. The study is based on secondary sources of information about various landslides in India. To calculate the "shock due to the natural disaster" in the stock market, we have employed event study methodology to measure this impact. The paper finds that a negative shock is brought by this catastrophic disaster on the Indian stock market. The impact of this shock is on each and every industry in the market; however, the most significant impact is felt by the top companies in the various industries. The market has shown a negative trend in its abnormal returns on and after the event day. Conversely, as the news of relief programmes were released by the government after three or four days, the market again started becoming normal. [ABSTRACT FROM AUTHOR]

The paper examines the presence of herd behavior in the S&P CNX Nifty 50 index of the National Stock Exchange of India, which arises out of the informational asymmetries found in the emerging markets around the globe. A price-based model with logarithmic cross-sectional deviation employing Kalman filter is used to measure the presence of herding. This study exposes the severe effects of herd behavior on the Nifty index. We have found highly significant herding in the Nifty index on a market-wide level during the period of 1997-2008. We also state that this type of behavior is decidedly exhibited by the market participants of the Nifty index, during the bull runs in the market and correspondingly less exhibited during the bear runs. Our work also examines the various events that took place during our sample period (May 1997-December 2008) and relates it to the course of herding in the Nifty index. [ABSTRACT FROM AUTHOR]

Stock market returns and the capital flow of funds in the mutual funds have been universally understood to be interlinked. The prevailing more and more contribution of the mutual funds in the stock market, on the one hand, and the profound impact of rising stock market returns on getting higher investments in mutual funds, on the other, have undoubtedly made the relationship between share market and mutual fund flows to be of prime significance for the key participants and other stakeholders of both the markets. In this published research paper, the academic researcher attempts assessing the prominent presence of any association between the stock market returns and mutual fund assets under management in India by employing the multiple regression analysis. It has been reasonably concluded that there is no significant evidence of the presence of any such relationships in Indian markets during the period of study. [ABSTRACT FROM AUTHOR]

In general, any one known to stock market is acquainted with the phenomenon of bull and bear phases, but whether the traders or investors put air to these phases while making a decision to buy, sell, or stay invested. The present paper attempts to identify and analyse the two most popular market phases, i.e. bull and bear, for better investment decisions with the use of Bry and Boschan Algorithm and time series data. Further, it seeks to analyse the distributional characteristics of the variances in stock returns and search evidence of asymmetries, if any, in volatility under different market conditions which may help to shed light on the bull and bear phases of Indian equity market. The study arrange for evidence that in bull markets, stock prices run far ahead of earnings and for fairly long periods of time. The paper indicates 12 bull and bear phases in the Sensex and Nifty during the sample period of 19 years with the associated factors responsible for the shift of bull and bear market phases. The results provide considerable support for the view that markets choose to ignore adverse possibilities and react with zest to favourable possibilities and market declines can partly be explained by increases in risk. [ABSTRACT FROM AUTHOR]

Today, an investor has an array of investment choices including the opportunities to approach overseas market which were unavailable a few decades ago. In literature, the integration of stock markets has been widely discussed and analysed. This paper examines the relationship between Indian stock market and the three stock markets of the ASEAN countries viz. Indonesia, Malaysia, and Singapore. Using the daily closing prices of the indices over a period of ten years i.e. 2004 to 2014, the study examined the inter-linkages of Indian stock market with the three markets. The Granger-causality and co-integration test were used to check the causal relationship. The study found that there is a significant short-term unidirectional influenced from the Indian stock market to the three ASEAN countries stock markets while no long-term relation (no co-integration) are found between the Indian equity market with that of three ASEAN countries viz. Indonesia, Malaysia, and Singapore equity markets. [ABSTRACT FROM AUTHOR]

One of the major reasons boosting the economic growth of India has been the unparalleled globalization resulting competition and improved innovations. As a result inflow of foreign capital has become a benchmark of economic growth. Foreign Institutional Investors (FIIs) have become mediums of international assimilation and growth incentive. Foreign capital provides domestic markets with improved technology, enhanced products, complimentary services etc. Policy initiatives to attract FII in India have also had diverse impact on the markets. The current paper makes an attempt to study the relationship and impact of FII on the sectoral market indices of the Bombay Stock Exchangeusing simple statistical tools like Correlation coefficient and Granger-Causality test. Based on the last 14 years data from 2001-2014 it was found that FII has significant impact on some of the sectoral indices in India. This has improved opportunities of financial integration enabling the returns from the sectoral indices to be favorable for the investors. [ABSTRACT FROM AUTHOR]

This paper studies the Indian stock market within the framework of momentum and contrarian strategies, using the monthly-adjusted prices of all the stocks listed on National Stock exchange (NSE) having complete data for the sample period January 1997 to March 2013. The findings of the study document the presence of statistically significant short-term momentum and longterm overreaction effect in India. Further, the paper also evaluates the predictions of various behavioural models that propose that momentum profits eventually reversed in long term. The evidence of the paper provides support for the behavioural explanation of momentum and overreaction effect in Indian stock market. [ABSTRACT FROM AUTHOR]

Macroeconomic stability is crucial not only for economic growth but also for the living standards and investments in a market economy. The macroeconomic variables like crude oil price, gold price, exchange rate, inflation and stock returns are highly correlated to each other and are highly volatile, and the volatility in one market spills over to other markets. This paper analyses the dynamic causality between crude oil price, exchange rate and BSE Sensex and their volatilities in India. The daily data on macro variables for 14 years between January 2006 to March 2019 is used in the GARCH estimation of causal effects of volatility spillovers. The GARCH estimates show that the volatility and volatility spillover of one market cause volatility and volatility spillovers in other markets in India. The crude oil price and exchange rate volatility and volatility spillovers cause volatility in BSE Sensex. The volatility in BSE Sensex is highly overdone by internal shocks of the stock market itself. [ABSTRACT FROM AUTHOR]

This paper studies hedging effectiveness in Indian stock index futures market. The main focus is on various procedures to estimate time-varying and static optimal hedge ratios. For the S&P CNX Nifty futures contract 5 different econometric models that are employed. The data set used is from 2001-2008. Traditional OLS regressions, modified OLS viz. LTS, error correction model (ECM), vector error correction model (VECM) and multivariate generalized autoregressive heteroscedastic (M-GARCH) models are used to estimate hedge ratios, not only for mirror index underlying the futures contract but also for mutual funds. It is the first exhaustive study of its kind on the Indian stock index futures market and reveals that mutual funds tend to be a good proxy for market portfolios. Simple OLS seems to provide the best hedging effectiveness in terms of risk reduction for the Indian futures market. However, the use of more complex models like VECM cannot be sublimed as they provide more or less same hedging effectiveness. [ABSTRACT FROM AUTHOR]

Examination of market efficiency especially in the context of developing markets plays a paramount role in order to structure informed investment decision and facilitates the existing and prospective investors to construct a well-diversified portfolio. This paper examines the presence of weak-form of market efficiency attributing to the random walk model in Indian Stock Market by considering the broad based market indices such as National Stock Exchanges' NIFTY, NIFTY 500 and Bombay Stock Exchanges' SENSEX, BSE 100, BSE 200 and BSE 500 for the period between 2000 and 2016 (17 years). During the study period, selected indices' daily returns have shown nonnormality, homogeneity of mean and variance. Runs test for randomness, Auto-Correlation Function (ACF) and Augmented Dickey-Fuller (ADF) Unit root test have indicated statistically significant results and accentuates that the selected broad based market indices remained weak-form inefficient during the study period. [ABSTRACT FROM AUTHOR]

The present paper tries to establish the impact of various macroeconomic variables on the performance of the Islamic stock market for India. Compatible with the Efficient Market Hypothesis (EMH), a number of macroeconomic variables have been documented to impact the performance of the stock market. The Arbitrage Pricing Theory (APT) laid the theoretical basis for the relationship between stock returns and macroeconomic variables which has been later on empirically tested by a large number of studies. We have used the Ordinary Least Square (OLS) Regression to study the impact of macroeconomic variables including inflation, industrial production, exchange rate, interest rates and money supply on the Islamic stock returns. The various diagnostic tests including the Breusch-Godfray Serial Correlation Lagrange Multiplier (LM) test, the Breusch-Pagan-Godfray test and the Jarque-Berra test have been used to check whether the residuals of OLS are pure white noise. The findings of our study suggest that exchange rate and interest rates have a significant impact on the Islamic stock market. The implications of the study are that exchange rates and interest rates should be controlled so as to improve the performance of the Islamic stock market in India. [ABSTRACT FROM AUTHOR]

At present stock return is significantly related to other global stock markets. The present paper empirically investigates the short run and long run equilibrium relationship between the stock market of India, Japan Hong Kong, Singapore, Malaysia, China, and Australia monthly data during January 1995 to December 2013. Researcher employs correlation test, multivariate cointegration framework, Vector Auto Regressive error-correction model and Granger causality test with reference to financial up evils in Asia and world viz., Asian crisis (1997/98), financial crisis (2008) Inflation conditions, Natural disasters, financial up evils etc. of long run relationship. Results find that the Indian stock market return is significantly cointegrated with long run and short run situations/ causalities in Asian Stock returns. [ABSTRACT FROM AUTHOR]

Purpose: The question of whether socially responsible stocks outperform or underperform general stockshas been of keen interest for various researchers and academicians. This paper seeks to empirically examine the performance of socially responsible portfolios across various sectors and index of socially responsible and general companies in Indian stock market. Design/Methodology/Approach: We have taken up S&P ESG and CNX NIFTY as the indices of socially responsible and general companies respectively. ESG index has been classified into six different sectors on the basis of GICS. Performance has been evaluated in terms of risk, return and various risk-adjusted measures like Sharpe ratio, Treynor ratio, Double Sharpe ratio, Modified Sharpe ratio, M2 measure, Jensen's alpha, Fama's decomposition measure, etc. We have also checked whether market model is sufficient to explain cross sectional variation in stock returns or we need Fama-French three factor model. The study period ranges from January 1996 – December 2013 and it is further divided into different sub-periods. Findings: We find that socially responsible stocks across IT, FMCG and financial sectors are well rewarding in Indian stock market by generating significantly higher returns and outperforming the two indices on the basis of risk-adjusted measures employed during 18 year period and different sub-periods. The results uphold even with the use of market model and Fama-French three factor model by generating highest significant excess returns. Originality/Value: There is no empirical evidence on the performance evaluation of socially responsible portfolios across different sectors. Hence this study is first of its kind. This will help investors in selecting best sector for investment in socially responsible companies. Implications: Significant higher returns of ESG index and socially responsible stocks across different sectors make Socially Responsible Investing (SRI) a betterinvestment vehicle for investors in India. This is the time when general companies should change their approach and agenda towards CSR and start considering ESG issues as their investment themes. The regulators, policy makers and mutual funds should come up with different socially responsible products and sectoral indices to initiate the movement of SRI across different sectors in India. [ABSTRACT FROM AUTHOR]

The paper investigates Indian momentum profitability along with its performance stability round the year using the stock price data from National Stock Exchange (NSE). Results show evidence in favour of momentum profitability over the sample period from 1997 to 2013. Moreover, the momentum performance is not specific to any particular month suggesting no influence of calendar on momentum anomaly in the Indian stock market, though momentum strategies performed differently in different calendar months, with particularly strong negative returns in the month of May. However, no statistically significant difference was observed among the mean monthly momentum returns across calendar months.Contrary to the US market findings, no January or similar April seasonality is observed in the Indian momentum profits suggesting some unique characteristics of Indian momentum profitability. In nutshell, the results from the study suggest support in favour of practical implementation of momentum strategies throughout the year in the Indian stock market. [ABSTRACT FROM AUTHOR]

In a first of its kind, this paper examines the issue of sectoral efficiency of the Indian Stock Market. For this, daily data for 11sectoral indices on NSE viz. Auto, Bank, Energy, Finance, FMCG, IT, Media, Metal, Pharma, PSU Banks, and Realty Index have been used. The study period spans from Jan 2004 to Jan 2014 covering a comprehensive 10 years including the recent global financial crisis. The analysis is done using unit root tests [Augmented Dickey Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS)]and Variance ratio tests [Chow Denning Joint Test, LoMackinlay Test and Wright (2000) Test based on Ranks and Signs]. The results suggest that although overall Indian stock market seems to be weak form efficient, but different sectors comprising it are not, especially during total study period. Further we find evidence of increased inefficiency in Bank, Metal, PSU Bank and Realty sectors in the post-crisis period. This may be due to investor's overreaction in Indian stock market. Tripathi & Aggarwal (2009) have reported that Indian investors tend to overreact to bad news and hence post crisis,the price discovery mechanism was not so efficient. The findings on sectoral efficiency in India have important implications for policy makers, mutual funds, portfolio managers and investors at large. Weak form inefficiency in Bank, Metal, PSU Bank and Realty sectors is suggestive of exploitable arbitrage opportunities in these sectors. The regulators and policy makers must also note that overall market efficiency may not imply efficiency at the sectoral level; for this, more efforts and sector specific reforms need to be taken. [ABSTRACT FROM AUTHOR]

The purpose of this paper is to analyse the effect of size, age, ownership, and load on the efficiency of equity mutual funds in India. Using secondary data on sample of 105 equity mutual fund schemes in India for the period 2011-12, two-stage methodology is applied wherein Data Envelopment Approach (DEA) efficiency scores are assessed in first stage and in the second stage, categorical variable on efficiency is regressed on age, size, ownership, and load of the scheme by applying cross-sectional logistic regression. The results of the analysis suggest that increase in size increases the probability of being efficient by 26-43 percent in various estimates. The more aged funds are more efficient. Load funds are less efficient and foreign funds are more efficient but joint-venture foreign funds are less efficient. Thus results show that in country like India, there exists increasing returns to scale and experience in the market increases the efficiency. [ABSTRACT FROM AUTHOR]

It has been almost a decade since the introduction of derivatives instruments in Indian bourses like Options and Futures trading replacing thereby age old Badla transactions and almost two decades since the introduction and implementation of liberalization, privatization and globalization policies in Indian economy. This has resulted in a sea change in growth and development of Indian economy and enhanced activity and trade in Indian stock markets. This paper examines and compares the reaction of futures and cash markets to the flow of information and tries to establish a lead-lag relationship between the two markets in terms of returns and volatilities being experienced by NIFTY and NIFTY futures indices in two different markets. Our results suggests that though there is a strong contemporaneous and bi-directional relationship among the returns in the spot and futures market, the spot market has been found to play comparatively stronger leading role in disseminating information available to the market, and therefore said to be more efficient. Apart from this, there is also interdependence (in both direction) and therefore symmetric spillovers among the stock return volatility in the spot and futures market. [ABSTRACT FROM AUTHOR]

Central Public sector Undertakings and Public Sector Financial Institutions (CPSEs and PSFIs) were seen as white elephants and cash cows during the 1960s 70s and 80s. After the liberalization from the early 90s the continuous losses, operational and administrative inefficiencies have created a number of problems for them. However at the same time, so many companies in the public sector are still doing well and contributing significantly to the exchequer, even though the dominance is in the hands of the private sector. Objectives of the study are - To find the pattern of movement of the CPSEs and PSFIs stocks quoted at BSE and BSE total market capitalization. To find whether CPSEs and PSFIs market capitalization plays a significant role in the total BSE market capitalization. To find whether individual CPSEs Sectoral market capitalization influences BSE market capitalization. The study observes that overall CPSEs and PSFIs have contributed 23 percent on average and CPSEs have contributed 19.57 percent and PSFIs 3.44 percent for the BSE market capitalization during the study period. From the regression analysis it is observed that R2 value is 0.96 and it is understood that the relation is very strong and positive and it indicates that there is a good fit between the market capitalization of BSE and PSU. The paper concludes that the contribution of CPSEs and PFSIs has been on an increasing trend and this would provide stability to the stock market in the long run as there involves control of the government in the operations of these CPSEs and PFSIs. [ABSTRACT FROM AUTHOR]

The study examines the contemporaneous relationship between Nifty returns and India VIX returns. Literature documents that the relationship between them is negative and asymmetric. Building on this, the study considers the linear and quadratic effect of stock index return (CNX Nifty) and examines the changes in implied volatility index (India VIX). The study finds both linear and quadratic CNX Nifty index returns are significant for changes in the level of India VIX. Findings suggest that India VIX provides insurance both for downside market movement and size of the downside movement. [ABSTRACT FROM AUTHOR]

The objective is to analyse the efficacy of firm structure as a corporate governance tool. For this purpose, we examine the effect of firm size, firm age, firm growth, board size, and independent directors on a board, on corporate performance. To test our hypothesis, we use a sample of 270 Indian IT companies, all of which are listed on the National Stock Exchange. Our main empirical result depicts the positive impact of firm size, firm age, and independent directors on corporate performance. The larger board size can reduce corporate performance, which can lead to a lack of coordination, flexibility, and communication. More members on a board can be the cause of conflict, either in terms of views or opinions, which ultimately leads to wastage of financial and time resources. The growth of the firm seems to have an insignificant impact on corporate performance as sales figures have a recessionary impact. [ABSTRACT FROM AUTHOR]

The foreign exchange market and the stock markets in India are among the most important financial markets that are constantly being monitored by the investors, regulators, and the policy-makers. The present study makes an attempt to investigate whether any causal relationship exists between the foreign exchange market and the stock markets in India. The BSE and the NSE annual returns have been used as a substitute for the stock prices, while the currency rate of Indian Rupee against the US Dollar (INR/USD) has been considered as a substitute for the exchange rate exposure covering a time-period of 20 years, from 1 January 2000 to 31 December 2019. The applications of the unit root or Augmented Dickey-Fuller test, Johansen cointegration, and Granger causality tests, as employed in the present study, examined the relationship between the USD/INR exchange rates and Indian stock market indices (SENSEX and NIFTY-50). The Granger causality test indicated that both the BSE and NSE stock indices granger cause INR/USD exchange rates. However, the INR/USD rates do not granger cause the BSE and NSE stock returns. The study has portrayed a unidirectional relation between the stock indices and INR/USD rates, but a bi-directional relation between the BSE and NSE stock returns. [ABSTRACT FROM AUTHOR]

Financial awareness is vital to both investors and the growth of economy due to an increasing need for investment in the financial market, complex environment, growing frauds, malpractices, and insider trading. In view of this, efforts should be made to protect the interest of the investors. The investors should also be given first-hand market information. To predict the behavior of the investors, their awareness level is the most important component, which can bring a profound change in their investment habits. The present study aims to identify the awareness level of women investors of various investment avenues, with regard to demographic factors. A random sample of 400 women investors were selected from Haryana, India. To analyze the data, ANOVA was applied to investigate the difference between demographic factors and awareness level. The present research will assist not only the women investors but also the different financial institutions, investment consultants, stock brokerage houses, and other participants in the stock market, in exploring the factors that influence the perception of women about the stock market. [ABSTRACT FROM AUTHOR]

The primary objective of present study is to examine the impact of merger and acquisition announcements during 2000-2018 on stock returns and intraday volatility of banks listed on National Stock Exchange in India. The sample of 383 mergers and acquisitions events has been analyzed with the help of event study methodology. Findings suggest that consolidation in Indian banking sector leads to positive average abnormal returns and wealth creation for acquirer bank's shareholders. These findings are in agreement with Onikoyi et al. (2014), Kumar et al. (2011), and Anand and Singh (2008), and contrary to the evidence provided by Sim (2015), Asimakopoulos and Athanasoglou (2012), and Cybo-Ottone and Murgia, (2000). Further, results show that merger and acquisition in banking sector lead to curvy jumps in volatility around announcement date, which implies that disclosure of restructuring events in the banking sector affects return variability. These results confirm the observations by Pessanha et al. (2016), Kamau (2016), and Louhichi (2008). [ABSTRACT FROM AUTHOR]

Financial distress is technically used to evaluate the financial status of the firms in terms of insolvency and bankruptcy. In view of the rising corporate scams such as Enron, Parmalat, Satyam, Punjab and Sind bank, etc., it is imperative to predict financial distress as the fallout of bankruptcy causes heavy losses to the companies and thus affects the national economy. In particular, the banking sector plays a vital role in the economic development of a country. The main purpose of this study is to assess the financial performance of the banking sector in India using Altman (1968) Z-score model for the period 2012-2017. Z-score has been used as a tool to evaluate the credibility of the banks by estimating the Z-score values of the select banks in India. This value is useful when these banks demand loans from the RBI or any other funding agency. Thereafter, the effect of financial distress on the performance of banks has also been assessed by taking Tobin's Q as the performance measure. The results revealed that distressed stocks outperform non-distressed stocks during the market upturns. [ABSTRACT FROM AUTHOR]

The present work tries to study the degree and direction of the impact of the demonetisation move of the Central Government in India announced on the eve of November 8, 2016 on various sectors of Indian economy proxied by their barometers in the stock markets of the country. Using event study methodology with parametric and non-parametric testing, it was observed that the impact of demonetisation of High Denomination Currency Notes (HDCNs) was not evenly distributed in the Indian economy. As intended, the move had a foremost impact on the Reality sector which experienced the highest fall of over 12% on the next trading day after the announcement among all the 41 sectors studied in this article. While the IT sector and two business houses could recover to the early losses, few vital sectors succumbed to the overall negative sentiment. These sectors, Food & Agro-based Products, FMCG, Textiles, Small Cap 50 and India Manufacturing, have larger ramifications for the informal sector of Indian economy affecting employment, sustenance and economic activities. [ABSTRACT FROM AUTHOR]

The sensitivity of a financial market can be assessed by understanding the volatility in the stock returns. Volatility forecasting measures the riskiness of the investments. In a financial time series, there are periods where volatility is higher in comparison to other periods. Furthermore, the volatility in the stock movement tends to increase during economic disturbances such as recessions and financial crises due to compulsive selling and buying of stocks. The aim of the study is to conduct a sensitivity analysis of the Indian Stock Market across time and different frequencies. The S&P BSE 500 index has been selected to study the sensitivity of the Indian stock market as it represents 93% of market capitalisation of 20 major industries of the Indian economy. The daily returns, calculated using the closing value of the selected BSE index for a period of 19 years from 01-02-1999 to 31-08-2018, has been used as the variable for the study. The stationarity of time series data has been assessed using Augmented Dickey fuller test with breakpoints to identify the significant date in the time series. The Augmented Dickey Fuller test suggests that, at level difference, 18th May 2009 is a significant breakpoint date in the daily returns series, which coincides with the report on recession by National Bureau of Economic research. Hence, two time series, one before and one after 18th May 2009 were created. The normality of the two series has been tested using Jarque Bera Test, which suggests that the time series data are not normally distributed. The Autoregressive Conditional Heteroscedasticity (ARCH) model was applied to study the sensitivity of the Indian stock returns. The ARCH LM test highlights the significant existence of ARCH effect in the series before the breakpoint date, yet no ARCH effect was found in the series from 18-05-2009 to 31-8-2018. The results demonstrate that there is a significant decrease in the volatility in the daily returns after the recession period. The results of the study further suggest that volatility in daily returns existed before the period of recession, which was caused due to excessive leverage effect. However, the volatility in the daily returns has significantly reduced. This feature of the stock market movement can be attributed to increased financial literacy among investors and improved prudential norms of Securities Exchange Board of India. Hence, it can be concluded that minor fluctuation no longer cause panic amongst investor as they did before the 2009 market crash. [ABSTRACT FROM AUTHOR]

This study examines the herding amongst the investors and the contributors of market in the banking sector of Indian stock market. Examine the herding specifically from the sectoral index (bank) makes this study different from the previous studies as all the studies covered the multisectoral index in an emerging economy. The herding in the banking sector of Indian stock market has been examined by using the methodologies of Christie & Huang (1995) based on Cross-sectional standard deviation (CSSD) and Chang, Cheng and Khoranna (2000) based on Cross-sectional absolute deviation (CSAD). To analyse the data, closing values of CNX BANKNIFTY index and its component securities has been collected for a period of 7 years ranging April'2010 to Oct'2017 from the PROWESS database. Auto-correlation and heteroskedastcity is also checked for the error terms and GARCH (1, 1) model is used to correct the problem of heteroskedastcity. The present study shows no specific affirmation of herding in the banking sector of Indian stock market. An in-depth analysis aimed at measuring herding patterns in bullish and bearish intervals too shows an absence of herding in the banking sector. Herding is also not found in the extreme price movements except in 99% criterion during the extreme down market. So, mild herding is there in the extreme down market situation only. For making better investment strategies and regulations for market, the consequences of the study have meaningful proposition for investors and policy makers. [ABSTRACT FROM AUTHOR]

Volatility is an important component in risk return analysis of financial assets. It imparts liquidity to the financial system and also serves as an information source for rational decision making. Since the latter half of the 20th century, volatility in stock returns has been found to be time varying and exhibiting patterns and therefore, various models have been developed to capture such dynamic properties of volatility. The introduction of Autoregressive Conditional Heteroscedasticity (ARCH) models by Engle in 1982 has led to a better understanding of the behaviour of stock market volatility than the traditional measures including standard deviation. The present study attempts to model various aspects including clustering, leverage effect and spillover effect of stock market volatility in Indian and Chinese stock markets during 2001-2016 using daily time-series data with Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models. Volatility has been seen to be highly persistent in both the markets. The T-GARCH model has been applied in order to assess the presence of information asymmetry that bad news impacts volatility more than good news. Our results reveal that both Indian and Chinese stock markets' volatility shows time varying behaviour. The theoretical reasoning of the asymmetric impact of news that bad news affects volatility more than good news has been confirmed in both markets. Furthermore, the spillover effect of volatility across the two markets has been tested using the T-GARCH-X model. The results show unidirectional spillover effect of volatility from Chinese stock market to the Indian stock market. This implies that shocks from Chinese stock market impact conditional volatility in the Indian stock markets only but not vice-versa. [ABSTRACT FROM AUTHOR]

This study investigates the stock market integration amongst important global stock markets, namely, Australia, Canada, France, Germany, India, UK and USA to examine the short-run and long-run relationships with Indian stock market and selected developed stock markets based on time series data for the period between 2001 (January 2) and 2016 (December 31). This study also examines the possibility of portfolio diversification between the Indian stock market and the developed stock markets. Low correlation is observed between Indian stock market and France stock market that indicates the possible gains from international diversifications. Johansen cointegration test confirms a precise long-term equilibrium connection amongst all the stock markets as a widespread strength. Granger causality test results based on VECM show that both Indian stock market and USA stock market are associated in the long-run but it would take long time to return to equilibrium and Indian stock market is associated with France, Germany and USA stock markets in the short-run, which entails that investors can earn reasonable benefits from international portfolio diversification in the short-run but benefits from international portfolio diversification in the long-run are restricted. [ABSTRACT FROM AUTHOR]

The present article attempts to understand the relationship between foreign portfolio investment (FPI), domestic institutional investors (DIIs), and stock market returns in India using high frequency data. The study analyses the trading strategies of FPIs, DIIs and its impact on the stock market return. We found that the trading strategies of FIIs and DIIs differ in Indian stock market. While FIIs follow positive feedback trading strategy, DIIs pursue the strategy of negative feedback trading which was more pronounced during the crisis. Further, there is negative relationship between FPI flows and DII flows. The results indicate the importance of developing strong domestic institutional investors to counteract the destabilising nature FIIs, particularly during turbulent times. [ABSTRACT FROM AUTHOR]

Momentum strategy proposed by Jegadeesh and Titman (1993) and later improvised by Lee and Swaminathan (2000) through volume augmentation, has long been explored and tested across the world. However, the strong assumptions of zero transaction costs, freely available shorting of stocks, and infinite portfolio size restricted these researches only to academic world; a common investor remained devoid of any benefit from them. This research addressed the practical viability of the momentum strategy, both pure and volume augmented, from a small investor’s point of view after incorporating all sorts of transaction costs and restrictions. Due to various restrictions and associated costs only long side of the momentum strategy was implemented for all 16 combinations of 3, 6, 9, and 12-month portfolio formation and portfolio holding periods. Returns were adjusted for risk under Fama-French (1993) conditions to arrive at the actual returns added by the strategy. Results prove that in Indian stock market, even after accounting for all sorts of transaction costs and exchange imposed restrictions, the pure momentum strategy can be profitably exploited. Augmenting with volume information can bring about marginal improvements, though only with early momentum strategy. However, this holds good only for short portfolio formation and portfolio holding periods. Indian market does not seem to recognise or reward medium or long-term momentum in stock returns. Whether these momentum returns have their roots in behavioural, risk based or some proportion of both reasons, needs deeper investigation. [ABSTRACT FROM AUTHOR]

This study examines the impact of Weather factors on return and volatility of the Indian stock market. The study uses the daily data of top four metros and tests its impact on the return and volatility of S&P CNX Nifty index from January 2008 to December 2013. This study applies GARCH (1, 1) model and find that the stock returns are influenced by temperature in Chennai and the stock return volatility influenced by the temperature in Mumbai, Delhi and Kolkata. [ABSTRACT FROM AUTHOR]

Efficient Market Hypothesis proposes that it is not possible to outperform the market through market timing. However, research studies over the years have reported several anomalies in stock market returns. Anomalies that are linked to a particular time are called calendar effects. The month-of-the-year effect or particularly the January effect is one of such anomalies. The present study in this context has sought to address the issue of the month-of-the-year effect in Indian Stock Market represented by BSE SENSEX during the period ranging from January 2, 2004 to December 28, 2012. The GARCH(1,1)-M model has been used to model the conditional volatility. The results indicate the presence of September and November effects in the SENSEX returns during the study period. Moreover, in the volatility equation the coefficients of March, June, August, October, November and December dummy variables are negative and significant. Hence, it is confirmed that the month- of- the year effect is also present in the variance (volatility or risk) equation. [ABSTRACT FROM AUTHOR]

The present study examines the arbitrage efficiency of the Indian equity market by using the daily closing prices of near month futures contracts and cash market. Substantial and sustained wave like mispricings in two markets have been observed, which provides exploitable arbitrage opportunities to the traders. However, due to mark-to-market these mispricings do not persist over long period. Moreover, it has been observed that are positively correlated with the time-tomaturity of the futures contracts, which suggests that strong arbitrage base is present in the market. Mean reverting behaviour of mispricings also suggest that early liquidation option may be more profitable than holding the positions until the expiry date. [ABSTRACT FROM AUTHOR]

A great deal of research was devoted to investigating the randomness of stock price movements for the purpose of demonstrating the efficiency of capital markets. More recently, however researchers have demonstrated market inefficiency by identifying systematic variations in stock returns. These are called as calendar anomalies or stock market anomalies. The existence of seasonality or monthly effects in domestic and international markets suggests a market inefficiency, in that investors should be able to earn abnormal rates of return incommensurate with the degree of risk. Thus, this study focuses on stock market anomalies or calendar anomalies in Indian stock market. The results established are that the Indian stock market is not efficient and investors can improve their returns by timing their investment. [ABSTRACT FROM AUTHOR]

The present study investigates whether the Indian Stock Market represented by BSE SENSEX is efficient or not. An attempt has also been made to test the assumption of independent and identically distributed (i.i.d) in respect to market returns in terms of daily SENSEX return data, which is the most restrictive version of the random walk hypothesis. The result of unit root test shows that the daily SENSEX returns are random. Moreover, to capture the possible nonlinearity in the time series data TARCH(1,1) model has been fitted. Furthermore, BDS test has been applied to Standardized residuals of the above estimated model to check whether they are i.i.d. or not. The estimated result of the said test clearly indicates that null hypothesis of i.i.d. could not be rejected. Hence, it could be concluded that daily SENSEX returns follow Random Walk Model-I as described by Campbell et al (1997) and in general Indian Stock Market is efficient in its weak form during the study period. [ABSTRACT FROM AUTHOR]