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The extant literature examines the interactions between funding liquidity and market volatility on the equity market. This paper extends the literature and investigates the interactions between funding liquidity and market volatility in the options market. The paper employs the Bayesian structural vector autoregression framework to examine the effects of funding liquidity shock to volatility demand, uncertainty, and risk aversion. We find that positive feedback exists between contraction in funding liquidity and volatility demand, uncertainty, and risk-aversion. Our results are robust to alternate specifications of uncertainty and risk-aversion measures, and alternative ordering of variables. [ABSTRACT FROM AUTHOR]

In this paper, we investigate whether the use of accounting conservatism in India decreases IPO underpricing, which is of attention to stakeholders and supervisors. Furthermore, the study examines how asymmetry information affects the implication of accounting conservatism for IPOs. Based on a regression analysis of 527 firms that went public through IPOs of "A" shares listed on the national stock exchanges between 2000 and 2020, the paper also examines whether the relationship between conservatism and under-pricing is robust to alternative measures of accounting conservatism, mean regressions, sample exclusions, and endogenous treatment models. The research study finds that accounting conservatism is negatively associated with the degree of IPO under-pricing, and the association between accounting conservatism and IPO under-pricing is more perceptible when information asymmetry is high. The paper's originality should shed light on what drives IPO underpricing and how it could be affected by accounting conservatism in an Indian economy, and provide find evidence that legal origin, a factor linked to the practice of conservatism, influences the relationship between under-pricing and conservatism. [ABSTRACT FROM AUTHOR]

This paper establishes a predictive relationship between financial vulnerability and volatility in emerging stock markets. Focusing on China and India and utilizing GARCH-MIDAS models, we show that incorporating financial vulnerability can substantially improve the forecasting power of standard macroeconomic fundamentals (output growth, inflation and monetary policy interest rate) for stock market volatility. The findings have significant implications for investors to improve the accuracy of volatility forecasts. [ABSTRACT FROM AUTHOR]

This study explores the relationship of investment done by domestic institutional investors (DII) and stock market returns. The paper covers a bigger definition of DII's, bifurcating them into four categories, (a) mutual fund, (b) venture capital fund, (c) financial institutions and (d) insurance companies who have invested in national stock exchange of India. The study uses CNX Nifty 50 to represent the stock market of India. ARDL bound testing cointegration model is applied to find the relationship between the Dependent variable (nifty 50) and Independent variables (mutual fund, venture capital fund, Indian financial institution and insurance companies) This analysis will help regulatory authorities to improvise on policy making on investment in stock market for insurance companies, financial institution, venture capital fund and mutual fund. The surge in domestic institutional equity inflows, will help to insulate the Indian equity market from the high velocity traders of overseas. This is the first study to undertake domestic institutional investors at a disintegrated level. [ABSTRACT FROM AUTHOR]

The paper investigates the existence of speculative bubbles in the Indian stock market using both monthly and weekly returns for the period 1990-2007. Further, a year-by-year analysis using weekly returns was also carried out to test for the existence of bubbles in each individual year. The results suggest that no speculative bubbles were present in the Indian stock market for the sample period considered for this study. [ABSTRACT FROM AUTHOR]

This paper classifies Algorithmic Traders (ATs) as Proprietary Algorithmic Traders (PATs) and Buy-side Algorithmic Traders (BATs) and examines their dynamic relationship with market quality, using data from the National Stock Exchange (NSE), India. We find that the two categories of traders cause a differential impact on market quality measures and vice versa. BATs' order placement improves liquidity by narrowing the quoted spread, while PATs' and BATs' cancellation worsens liquidity by widening the quoted spread. PATs' order placement increases the price impact but reduces the realized spread, whereas their cancellation increases the realized spread. Furthermore, when the quoted spread increases, ATs increase their order placement and cancellation. When the realized spread increases, PATs cancel less of their orders. Contrarily, when the price impact increases, PATs' participation (both order placement and cancellation) and BATs' cancellation increase. Besides, we provide new evidence that among the ATs, order placement of BATs crowds out that of PATs, but not vice versa. [ABSTRACT FROM AUTHOR]

This paper examines inter-linkages between Indian and US equity, foreign exchange and money markets using the vector autoregressive-multivariate GARCH-BEKK framework. We investigate the impact of global financial crisis (GFC) and Eurozone debt crisis (EZDC) on the conditional volatility and conditional correlation estimates derived from the multivariate GARCH model for Indian and US financial markets. Our results indicate that there is significant bidirectional causality-in-mean between the Indian stock market returns and the Rs./USD market returns, and significant unidirectional causality-in-mean from the US stock market returns to the Indian stock market returns. As regards volatility spillovers, we find that volatility in the Indian stock market rises in response to domestic as well as US financial market shocks but Indian financial market shocks do not impact the US markets. Further, impact of the recent crisis episodes on the covariance matrix is found to be significant. We find that volatility in the Indian and US financial markets significantly amplified during GFC. The conditional correlations across asset markets were significantly accentuated in the wake of the two crisis episodes. The impact of GFC on cross-market conditional correlations is higher for majority of the asset market pairs in comparison to the EZDC. [ABSTRACT FROM AUTHOR]

This paper examines the effects of size, value and momentum on the cross-sectional relation between expected returns and risk in the Indian stock market. We find that the conditional Carhart four-factor model empirically describes the variation of cross-section of return better than the unconditional model. When size, book-to-market and momentum effects are controlled in the conditional model, the positive relation of market beta, book-to-market and momentum with expected returns remains economically and statistically significant. However, this evidence is found to be subject to characteristics of test portfolios. The expected returns are sensitive to changes in predictive macroeconomic variables. [ABSTRACT FROM AUTHOR]

This paper uses continuous and discrete wavelet tools to evaluate the dynamic correlation and causality between the U.S. economic policy uncertainty (EPU) and stock markets in China and India from 1997 to 2018. The dynamic correlation in the time-frequency domain is obtained by continuous wavelet coherence, and the causality over time and frequencies is tested by the linear and non-linear Granger causality based on discrete wavelet transform. The results show that the interaction between EPU in the U.S. and stock returns in China and India is weak in the short term but gradually becomes stronger in the long term, especially when significant financial events occur. There is no Granger causality in the short term; however, there is unidirectional or bidirectional causality in the medium and long term. These conclusions may provide useful reference for policymakers and investors in Chinese and Indian stock markets to prevent cross-country risk contagion from the U.S. [ABSTRACT FROM AUTHOR]

This paper examines the stability of the day of the week effect in returns and volatility at the Indian capital market, covering the period January 1991-September 2000. The paper specifies a generalized autoregressive conditional heteroscedasticity (GARCH) model on returns and introduces separate dummies for days in alternate weeks in the specification of both the mean and the conditional variance to examine the robustness of the day of the week effect in return and in volatility within a fortnight. Results are compared to those based on ordinary least squares (OLS) procedure to examine how erroneous the inference on day-level seasonality could be when the aspect of volatility is ignored. The paper finds evidence in favour of significant positive returns on non-reporting Thursday and Friday, in sharp contrast to the finding of significant positive returns only on non-reporting Monday by OLS procedure. Separate subperiod analyses reveal that there have been changes in daily seasonality in both returns and volatility since the mid-1990s at the Indian capital market, manifested in the opposite signs and changes in the level of significance of some similar coefficients across periods. These findings on the day of the week effects along with its variation within a fortnight suggest that stock exchange regulations and the nature of interaction between the banking sector with the capital market could possibly throw valuable insights on the origin of the day of the week/fortnight effect in returns, while interexchange arbitrage opportunities due to differences in settlement period could lead to a seasonality in volatility. [ABSTRACT FROM AUTHOR]

In prior literature it was conjectured that the Indian stock market responses on domestic macroeconomic surprises are expected to be significantly influenced by global surprises. In this paper we empirically established that hypothesis. We used both the Event Analysis and VAR model. We found that global surprises consistently dominate Indian stock market and the influence of domestic macroeconomic surprises on it is relatively less. The understanding of stock market dynamics against domestic macroeconomic surprises and global factors can provide assistance to the policy makers for augmenting policy effectiveness and the corporate finance professionals for enhancing decision making. [ABSTRACT FROM AUTHOR]

A significant boom occurred in the Indian financial market and growth in the post-liberalization era. This motivates us to analyze the impact of stock market and credit market (two components of financial market) for the growth of financial market. This paper attempts to show the linkage between stock and credit markets and their impact on the Indian economy taking the period after post-liberalization. The period of analysis is from 1994 to 2010; we identify the three variables as stationary and find a relationship between the financial market and gross domestic product (GDP) and a long-run effect of lagged differences in credit market on GDP. It has been inferred that stock market development has larger and more significant long-run mutual effects on economic growth than credit market development in India. [ABSTRACT FROM AUTHOR]

While there has been a rapid growth of business and management schools in India since 1990, the curricula, teaching methods and the mode of delivery largely remain an instructor-led approach overlooking the needs of learners and potential employers. This paper presents a learner-centric investment management course known as Student-Managed Investment Course (hereafter, SMIC). It elucidates the structure, design and implementation of SMIC based on the principles of experiential learning. SMIC has been organised to create a conducive environment for the emergence of varied experiences and encourage reflections among students on the theory and practice of investment finance. The unique feature of the course is real-time exposure to investment activity in the Bombay Stock exchange/National Stock exchange, which helps students observe and grasp the nuances of capital market functioning and to acquire requisite skills for financial decision-making. This document on SMIC has a value in being a useful guide for other business schools in India for adopting a learner-centric approach to investment management. [ABSTRACT FROM AUTHOR]

The paper is concerned with the relationship between economic growth and financial intermediation, in particular stock market development, in post-liberalization India. It identifies three possible relationships: (a) the relationship between growth of manufacturing and growth of the stock market; (b) the relationship between growth of the stock market and growth of traditional financial intermediaries like banks; (c) the relationship between the growth of the primary stock market and that of the secondary stock market. These three relationships are empirically tested using Indian data. While the growth of turnover in the stock market is found to be positively correlated with the change in the growth of manufacturing and the growth of sales of new shares is found to positively affect the secondary market, evidence on the relationship between sales of new shares and traditional banking activities is mixed. The primary stock market is found to crowd out bank deposits, but crowd in bank credit. [ABSTRACT FROM PUBLISHER]

Brazil, Russia, India, and China (BRIC), the most rapidly developing countries in the twenty-first century, are expected to become the four dominant economies by the year 2050. This paper examines the risk and return characteristics of their stock markets over the past few years. The markets in Brazil, Russia, and China produce significantly positive mean excess return. China and Brazil not only have the largest Sharpe ratio, but also have the better fit to a conditional risk-return model in terms of stock returns variations. In all markets, the systematic risk, beta, is still the most important factor in explaining returns variations. Other risk measures, including unsystematic risk, skewness, and kurtosis, provide limited incremental explanatory power. However, while the intercept coefficient in the regression model is not significantly different from zero in Brazil, Russia, and India, the coefficient for China is significantly positive, indicating that the Chinese stock market generates positive abnormal risk-adjusted returns. [ABSTRACT FROM AUTHOR]

This paper examines if the Indian stock market moves with other markets in Asia and the United States in an era of capital market reforms and the sustained interest of foreign investors in that market. By using techniques of cointegration, vector autoregression, vector error-correction models, and Granger causality, we find that, though there is definite information leadership from the U.S. market to all Asian markets, the U.S. indexes do not uniquely influence the integration of Asian markets, while Japan is found to play a unique role in the integration of Asian markets. The U.S. market is seen not only to influence, but also to be influenced by information from most of the major Asian markets. The Indian stock return in recent times is definitely led by major stock index returns in the United States, Japan, as well as other Asian markets, such as Hong Kong, South Korea, and Singapore. More important, returns on the Indian market are also seen to exert considerable influence on stock returns in major Asian markets. [ABSTRACT FROM AUTHOR]

This paper delineates how stockbrokers in Mumbai negotiate (contest, reconcile and appropriate) global finance. In recent years, the social studies of finance have grown profoundly, enhancing our understanding of finance across disciplinary boundaries. However, the way in which global finance is practised by local stockbrokers in non-western financial markets has received minor attention. Even though the Mumbai financial market is comparatively small, it is an instructive case due to a transition of financial practices over the previous two decades. Despite these rapid changes, the Bombay Stock Exchange (BSE), the oldest exchange in India, and its ‘traditional’ brokers remain active and relatively influential. Drawing on present-day experiences as well as historical recollections of BSE stockbrokers, this article shows that global finance is not an unambiguous or predictable force, but instead negotiated and thus actively shaped by local stockbrokers. [ABSTRACT FROM AUTHOR]

Emerging markets equity indexes are usually seen as high return with a high degree of volatility associated with them. However, this should not be the case, if you choose high-quality firms that have increasing returns and lower volatility. The intent of this paper is to introduce the risk weighted alpha (RWA) indexation method that helps identify stocks that have stable increasing returns with lower volatility. In order to review this method in the context of emerging markets scenario, this paper takes the example of the Sensex index listed on the Bombay Stock Exchange (BSE) that comprises India's top 30 stocks by market capitalisation. Results show that some stocks like Hindustan Lever do show increasing returns and lower volatility. The RWA Sensex index outperforms the BSE Sensex index, while still maintaining a beta that is the same as that in the BSE Sensex index. [ABSTRACT FROM AUTHOR]

Premier stock exchanges in India, viz. National Stock Exchange of India and Bombay Stock Exchange, introduced call auction in the pre-open session from 18 October 2010. This paper analyzes the impact of introduction of pre-open call auction on price discovery at the open. Empirical analysis is based on the familiar market model in an event study framework. The result shows a decline in the market model R2 for both opening and closing returns of stocks forming the part of call auction and also control sample. However, the magnitude of decline is less in the opening prices for the call auction stocks compared with control sample. Furthermore, analysis carried out using the second pass β and R2 regressions shows that the introduction of pre-open call auction does not have any significant impact on market quality. The findings of the study have implications for the future policymaking on the call auction framework. [ABSTRACT FROM AUTHOR]

This paper analyses the profitability of moving average based trading rules in the Indian stock market using four stock index series. The study finds that most technical trading rules are able to capture the direction of market movements reasonably well and give significant positive returns both in long and short positions. But these returns cannot be exploited fully due to real world transaction costs. Although the transaction cost has come down over the years, various components of transaction costs due to the bid-ask spread, brokerage, etc. will never be zero. The trading rules based on short term moving averages may be able to detect trends in financial series very quickly, but those rules also generate a large number of trades causing higher transaction costs. Thus technical traders have to pay more attention to minimizing transaction costs while choosing a trading rule. Nevertheless, profit opportunities from technical analysis continue to remain an interesting and debatable issue in the Indian stock market. [ABSTRACT FROM AUTHOR]

This paper suggests a systematic approach to studying predictability and nonlinear dependence in the context of the Indian stock market, one of the most important emerging stock markets in the world. The proposed approach considers nonlinear dependence in returns and envisages appropriate specification of both the conditional first- and second-order moments, so that final conclusions are free from any probable statistical consequences of misspecification. To this end, a number of rigorous tests are applied on the returns, based on four major daily indices of the Indian stock market. It is found that the Indian stock market is predictable, and this observed lack of efficiency is due to serial correlation, nonlinear dependence, day-of-the week effects, parameter instability, conditional heteroskedasticity (GARCH), daily-level seasonality in volatility, the short-term interest rate (in some subperiods of some indices), and some dynamics in the higher-order moments. [ABSTRACT FROM AUTHOR]

Foreign portfolio flows in and out of India are relevant for policymakers, and are often portrayed in the media as having a destabilizing effect on the domestic market. We use an event study approach to examine whether extreme global shocks trigger abnormal responses in foreign equity flows in and out of India, or abnormal responses in the Indian stock market. We do not find strong evidence of abnormal responses, even for the case of the global crisis of 2008. [ABSTRACT FROM PUBLISHER]

This article examines institutional investors' investment activities and the impact of their trading styles on market volatility amidst COVID-19 in India. Specifically, it seeks to offer a comprehensive analysis of foreign portfolio investors' (FPIs) and domestic mutual fund managers' (MFs) investment on equity and debt securities. It examines whether their trading activities drive market volatility during the pandemic period. Also, it explores the impact of COVID-19 on the Indian equity market. This study finds that the growth of COVID-19 does not significantly affect the stock market volatility during the study period. Precisely, the findings reveal that the FPI's net selling of equity and their overall trading activities in the debt instruments positively impact the market volatility. Findings also show that the FPI's momentum buys and contrarian sales induce market volatility, whereas the MF's trading style does not significantly influence the volatility. The Granger causality tests indicate that the FPI's net sales of equity instruments cause the return volatility and that the market volatility does not drive the equity net sales. Findings also reveal that mutual-fund managers' trading behavior does not Granger cause market volatility; instead, volatility causes MF's net selling of debt instruments. [ABSTRACT FROM AUTHOR]

This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the period 1999–2014. Univariate and bivariate sorting, as well as cross-section regressions, suggest a positive relation between idiosyncratic volatility and future stock returns. However, this relation is sensitive to the choices of portfolio weighting schemes, types of stocks (small, medium, and large), model specifications, and sample periods. Additionally, this study also contests the assumption that the relation between stock returns and predictor variables (including IV) remains same across different points of the conditional distribution and argues that an insignificant relation at the mean level may be significant at the extreme quantiles of the conditional distribution. [ABSTRACT FROM AUTHOR]

In this article, I use a unique dataset consisting of listed Indian firms that have been indicted for economic malpractice/default or have been non-compliant with laws/ regulations/ guidelines to estimate the stock price impact of regulatory actions against corporate irregularities. The sample consists of regulatory charges imposed by two major Indian regulators, (i) the Ministry of Corporate Affairs (MCA) and (ii) the Securities and Exchange Board of India (SEBI). I find that regulatory actions are an effective deterrence against corporate misconduct and have a significantly negative impact on a firm's stock price. The level of negative effect on the stock price of a firm is directly related to the severity of regulatory charges against it, i.e., cases of fraud or cheating, or payment default attract a much more negative reaction as compared to cases such as failure to disclose information, other non-compliance, etc. Finally, the results indicate that younger and less profitable firms have a higher (more negative) stock price reaction to regulatory action announcements. [ABSTRACT FROM AUTHOR]

Using data from 65 of the most actively traded stocks from the National Stock Exchange of India we study the relationship between impact cost and three indicators of market efficiency under different settlement regimes. Our data is uniquely suited for this study because it encompasses a transition by the National Stock Exchange of India from fixed to rolling settlement. As a by-product of our study we are able to examine inefficiencies related to the day of the week on which trades are conducted for different settlement regimes. In summary our data reveals that rolling settlement reduces aggregate impact costs, leading to greater market efficiency. Employing a fixed effects model we show that impact cost has a stronger relationship to our indicators of market efficiency under rolling settlement. However, we find evidence of two structural inefficiencies related to the day-of-the-week on which trades are conducted: 1) under rolling settlement, trades conducted earlier in the week (and settled by Thursday) have lower impact costs, and 2) there is an impact cost premium for Friday trades. [ABSTRACT FROM AUTHOR]

This study investigates the existence of commonality of volatility risk premium in the index and individual stock options. Using data from the National Stock Exchange (NSE) India, the study finds that the commonality relationship is both economically and statistically significant. The commonality relationship is robust, even after including the market-specific and stock-specific factors. [ABSTRACT FROM AUTHOR]

A negative relationship between stock market returns and inflationary trends has been widely documented for developed economies in Europe and North America. This study provides similar evidence for India. This relationship is investigated in light of Fama's explanation that centres around linkages between inflation and real activity, and between stock returns and real activity. Specifically, the study tests whether the negative stock return-inflation relationship is explained by a negative relationship between inflation and real economic activity, and a positive relationship between real activity and stock returns. The results from the heteroscedasticity and autocorrelation corrected models provide only partial support for Fama's hypothesis. The relationship between real activity and inflation does not account for the negative relationship between real stock returns and the unexpected component of inflation. [ABSTRACT FROM AUTHOR]

Premier stock exchanges in India, viz. National Stock Exchange of India and Bombay Stock Exchange, introduced call auction in the pre-open session from 18 October 2010. This paper analyzes the impact of introduction of pre-open call auction on price discovery at the open. Empirical analysis is based on the familiar market model in an event study framework. The result shows a decline in the market model R2 for both opening and closing returns of stocks forming the part of call auction and also control sample. However, the magnitude of decline is less in the opening prices for the call auction stocks compared with control sample. Furthermore, analysis carried out using the second pass β and R2 regressions shows that the introduction of pre-open call auction does not have any significant impact on market quality. The findings of the study have implications for the future policy-making on the call auction framework. [ABSTRACT FROM AUTHOR]

We examine the impact of the Indian cricket team's performance in one-day international cricket matches on return, realized volatility and jumps of the Indian stock market, based on intraday data covering the period of 30th October, 2006 to 31st March, 2017. Using a nonparametric causality-in-quantiles test, we were able to detect evidence of predictability from wins or losses for primarily volatility and jumps, especially over the lower-quantiles of the conditional distributions, with losses having stronger predictability than wins. However, the impact on the stock return is weak and restricted towards the upper end of the conditional distribution. [ABSTRACT FROM AUTHOR]

Financial development is a multidimensional process. Over the years with the invention of various new products and services, the financial sector (both financial institutions and financial markets) across the globe has significantly evolved. The endeavor in this article is to investigate the relationship between financial development and economic growth in India for the period 1980–2017. To do so, it employs principal component analysis (PCA) to construct a financial development index, which measures the financial depth of the Indian economy. Using the autoregressive distributed lag (ARDL) and error correction model (ECM), the study estimates a positive effect of financial development on economic growth in the long run and the short run, respectively. In addition, the empirical estimates posit a bidirectional relationship between financial development and economic growth. The uniqueness of this study lies in that it unravels a unidirectional relationship between the stock market and economic growth. The study, however, finds that appropriate liberalization policies spur economic growth in India. [ABSTRACT FROM AUTHOR]

Portfolios of companies with high book-to-market (BTM) ratio (low Price-To-Book (PB) ratios, Value firms) outperform those with companies with low BTM ratio (high PB ratios, Growth firms). In literature, this is known as the Value Anomaly. This anomaly is related to the third factor in the three-factor model of Fama and French, and is commonly used to explain the cross section of returns. Studies on the Value Anomaly in the Indian Stock Markets have yielded mixed results. Using a longer span of data and a larger set of companies, this study explores and observes the Value Anomaly in the Indian Stock Market. The contribution of size and systematic risk towards the behaviour of the Value Anomaly is studied. We observe that Value Anomaly exists in India, but with growth portfolios outperforming value. A critical analysis reveals possible linkages to firm size. [ABSTRACT FROM AUTHOR]

Volatility is one of the most important factors of investment decisions. Unexpected information forces the investor to trade abnormally in the market which in turn affects the volatility of the market. But this kind of trading behavior has a different impact on the different market segments. This study investigates the effect of unexpected DII and FPI flows on the volatility of large-cap, mid-cap and, small-cap stocks in Indian markets. Using ARMA (1, 1) and TGARCH (1, 1) model, we estimate the impact of unexpected FPI and DII flows on volatility. The main result of the study shows that unexpected flow of FPIs has a positive impact on market volatility but this impact is reduced by unexpected flow of DIIs. Further, results show that unexpected selling of FPIs increase volatility more than unexpected purchase. Impact of unexpected flow of DIIs flow is more dominating in small-cap stocks. Results from this study are useful for policymakers and regulator. [ABSTRACT FROM AUTHOR]

This study analyzes the sensitivity of a series of Indian stock indices for the astonishing component of monetary and macroeconomic policy with the data set from 1 April 2004 to 31 July 2016. The immediate impact is assessed with event analysis, and the dynamic effect is analyzed with the Vector Autoregression (VAR) model. The result of the event analysis indicates that the monetary policy surprise significantly affects the stock market and is more prominent than that of other macroeconomic surprises. Unlike the event study, the VAR analysis found that the other macroeconomic surprise also affects stock return. The study also highlights the industry effect and size effect, which is coherent with the predictions of the CAPM (Capital Asset Pricing Model) model. While many studies have been conducted on the monetary policy surprise in the developed economy, there are relatively few studies on macroeconomic surprises. Some studies conducted in India have analyzed the impact of monetary policy surprises on stock price; however, to the best of our knowledge, none of the studies has examined the simultaneous effect of both macroeconomic and monetary policy surprise. The study is relevant because the responses differ across sectors and vary with firm sizes. Thus, the study can effectively be used as a hedging instrument. Furthermore, the stock market acts as a vital channel for policy transmission and a critical decision driver for corporate finance. The understanding of firm and stock market dynamics against macroeconomic surprises can help policymakers in enhancing policy effectiveness and corporate finance professionals in improving decision-making. [ABSTRACT FROM AUTHOR]

In this article, we assess the time-varying volatility of the National Stock Exchange in the Indian equity market using unconditional estimators and asymmetric conditional econometric models. The volatility estimate and forecast is computed from the interday return and intraday range-based data of the exchange’s flagship index, CNX NIFTY, for the time period spanning 1 January 2009 through 31 December 2013. These are our findings:First, we determine that the time-varying volatility of the index is asymmetric with qualities of stationarity and leptokurtic distribution.Second, the one-step-ahead volatility forecast derived from the univariate time series parameters through the GJR-GARCH ​​​​​process indicates that the model evaluation criteria of the autoregressive process tends towards range-based models vis-à-vis a return-based model. The validity of this methodology is further analysed with the superior predictive ability test, the outcome of which supports the use of range-based conditional models.Finally, among the evaluated range-based model variants, the model confidence set procedure favours the Yang–Zhang estimator as being better suited to forecast the exchange’s volatility than the ones by Parkinson, Garman–Klass and Rogers–Satchell. [ABSTRACT FROM PUBLISHER]

This article examines the empirical determinants of dividend payout policy for 947 sample firms listed on the Bombay Stock Exchange (BSE) in India from 1995 to 2013. The author identifies three distinct trends in the propensity to pay dividends between 1995 and 2013. The regression analysis suggests that most of the decline is due to the dividend payout policies of smaller, less profitable, younger firms and firms with comparatively more investment opportunities, high financial leverage, high business risk, and high dividend distribution tax. The author finds significant positive impact of catering incentives on the propensity to pay dividends, thus supporting catering theory of dividends. [ABSTRACT FROM PUBLISHER]

The study looks at the impact of three major regulatory changes that happened on the historic day of 2 July 2001, when badla was banned, rolling settlement replaced accounting period settlement for major stocks and same day options were introduced on a selective list of stocks. Further, four months down the line, on 9 November 2001, the Securities Exchange Board of India (SEBI) introduced stock futures on Indian bourses. These dates are very significant for the microstructure of the Indian stock market as SEBI made a coordinated effort to eliminate the bad qualities of badla and accounting period settlement and restored the good qualities of badla. These multiple microstructural and exogenous changes on a single day provide a unique setting to examine their impact on market quality. The study finds that market quality did not improve with this set of changes until the introduction of stock futures, which retain the good qualities of badla. [ABSTRACT FROM PUBLISHER]

This study examines the causal relationships between volatility and volume across spot and futures market for the 50 constituent stocks of the CNX NIFTY Index. Granger non-causality tests implemented using vector autoregression (VAR) and asymmetric VAR models indicate the presence of significant causal relations from both the spot and futures volume to both the spot and futures volatility. Bidirectional causal relationships between spot and futures volume were observed for almost all stocks but few stocks displayed a similar relationship between volatilities. The results highlight the importance of volume in absorbing information and its behaviour as the conduit of information. [ABSTRACT FROM PUBLISHER]

In this article, the authors probe the role of irrational investor sentiment in the determination of Indian stock market volatility. The authors developed a new irrational aggregate sentiment index (IASI) to examine the issue. The conditional volatility is extracted from the nonlinear univariate models for the market indices and the IASI. The vector autoregression (VAR) is carried out to analyze the relationship between the volatility of irrational aggregate sentiment index and stock market volatility. The authors find a unidirectional causality from sentiment to stock market volatility, and their findings highlight the significance of sentiment in explaining the stock market volatility in India. [ABSTRACT FROM AUTHOR]

We test the random-walk hypothesis for the Indian stock market by applying three unit root tests with two structural breaks. We find that unit root tests that allow for two structural breaks alone are not able to reject the unit root null; however, a recently developed unit root test that simultaneously accounts for heteroskedasticity and structural breaks finds that the stock indexes are mean reverting. Our results point to the importance of addressing heteroskedasticity when testing for a random walk with high-frequency financial data. [ABSTRACT FROM AUTHOR]

We examine the extent to which stock prices comove in an emerging economy, India. We first document that stocks listed on the National Stock Exchange (NSE) comove. Further, we find that synchronicity is positively associated with growth and earnings volatility and negatively associated with business group affiliation and leverage. [ABSTRACT FROM AUTHOR]

The issue of long memory, though has important theoretical and practical implications, has not received much attention in India. This article examines the issue of long memory in mean of the stock returns by employing a set of sophisticated time-series tests including a bias reduced log periodogram test of Andrews and Guggenberger. The study used daily values of 29 major indices including sectoral indices traded on the National Stock Exchange and Bombay Stock Exchange from April 2003 to March 2012, which provide insights into relation between composition of indices and long memory. The findings of the study suggest significant presence of long memory in mean returns of the medium- and small-sized indices and weaker evidences for large cap indices. Further, the study identifies a relationship between presence of long memory and market structure variables. The use of linear models in the presence of long memory would result in incorrect inferences, and this calls for investigation of appropriate long memory model to generate profits in Indian stock market. [ABSTRACT FROM AUTHOR]

We examine the effect of bilateral political and military news on the returns and volatility of the stock markets of India and Pakistan. Our results show that the volatility of both stock markets shows a significant reaction on the arrival of news related to military aggression in a reciprocal way. Moreover, while the volatility of India's stock market seems to show a subdued response to bilateral political news, Pakistan's stock market appears to be sensitive to both political and military news originating from either country. The relatively stronger effect of military events can be attributed to a higher financial cost of confrontation between the two countries. [ABSTRACT FROM AUTHOR]

This study compares liquidity costs in options and futures markets. Considerable research has estimated liquidity costs of futures trading, but there is little comparable research about futures options markets. The study uses transaction prices for stock futures and options contracts traded at the National Stock Exchange (NSE) of India. Six different measures are used to estimate liquidity costs of futures contracts. The same measures are also used to estimate liquidity costs of options. Liquidity costs in the options markets are considerably higher than in the futures. Option liquidity costs are shown to increase with the price of the option and decrease with volume. [ABSTRACT FROM PUBLISHER]

When analysing the data periods including the pre-financial and financial crisis periods, the results show that investors might make profits by using Variable Length Moving Average (VMA) trading rules as buying signals rather than as selling signals shown for the Brazil, Russia, India and China (BRIC) stock markets. However, investors may find it difficult to make profits in a financial crisis period, suggesting that more detailed information should be investigated, since the significant results shown during the full period might not reveal the differences between the pre-financial and financial crisis periods. [ABSTRACT FROM AUTHOR]

This article examines the volatility spillover effects among six Asian country stock markets using bivariate vector autoregression-generalized autoregressive conditional heteroskedasticity [VAR(p)-GARCH(1,1)] model. The six Asian countries are India, Hong Kong, South Korea, Japan, Singapore and Taiwan. This study found that there are statistically significant volatility spillover effects within the stock markets of these countries. [ABSTRACT FROM AUTHOR]

Discusses the impact of the governance of politics in India on its economic development. Implications of establishing shareholder supremacy; Assessment of the payment crises in the Calcutta Stock Exchange; Financial performance of corporate sector in the country.

We estimate a flow of funds model for the household sector in India, within the Almost Ideal Demand System (AIDS) framework, and examine the demand for money and the substitution effects between money and other financial assets. The restricted long-run model, obtained using cointegration techniques, provides stable equilibrium relationship between I(1) variables and broadly satisfies the axioms of rational choice in consumer demand theory. We find that financial sector reform exerts a significant impact on the interest rate structure and household portfolio preferences; specifically, there is strong substitutability among risk-free assets and a possible speculative effect in the stock market, while the exchange rate strongly influences the demand for money. These findings all have important policy implications. [ABSTRACT FROM AUTHOR]