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In India, post economic liberalisation period starting from early 1990s opened up new vistas for rapid development of Indian stock markets accompanied by high volatility in stock exchanges. The volume of trade increased rapidly with more number of retail investors beginning to invest in equity shares of listed companies in specific industry sectors. This brought to the fore the importance of analysis of business and financial risks associated with such investment decisions. Every rational investor will do well to analyse the risk and return before investing in any stock or security. The investment process must be considered in terms of both risk and return. The present study deals with the estimation of business risk and financial risk of the selected companies in selected industries, based on empirical analysis. For the study, six industries such as Automobile, Cement, Paint, Paper, Pharmaceuticals and Personal Care(FMCG) have been selected from the Indian industries from April 1996 to March 2020. The findings of the study revealed the extent of the relationship between business and financial risk and return in specific sectors of industry in India. [ABSTRACT FROM AUTHOR]

Purpose: This paper aims to investigate the explanatory power of the Fama-French five-factor model and compares it to the other asset pricing models. In addition, the paper examines the contributions of two additional factors: profitability and investment factor. The authors test the alternative four-factor models. Design/methodology/approach: The authors use stock returns data of BSE-500 listed firms for the Indian market, an emerging market, from 1999 to 2020, thus covering the post-Asian crisis and pre- and post-financial crisis (2007–2008) periods. The authors employ 75 and 96 portfolios based on different factors. To check the performance of asset pricing models, the authors also used the GRS F-statistics and factor spanning tests. Findings: The authors find that the five-factor model and alternative four-factor model outperform the three-factor model. Contrary to the findings for the US, but similar to the Chinese stock market, the value factor is significant for the Indian stock market. Simultaneously, the authors also find that the investment factor has no explanatory power in the presence of the profitability factor in their sample. Originality/value: To the best of the authors' knowledge, this is the most comprehensive study using data more than two decades. These results are based on 75 (25 × 3) portfolios based on size, value, profitability and investment. The authors also tested these results based on 96 (32 × 3) portfolios to check robustness, and these results still hold. Furthermore, the authors find that factors based on 2 × 3 sorting have higher explanatory power than those based on 2 × 2 and 2 × 2 × 2 × 2 sorting. [ABSTRACT FROM AUTHOR]

This paper examines whether the Covid-19 pandemic has had a homogeneous or heterogeneous effect on stock returns in India. We consider panel data by using 1,318 companies that are listed on the National Stock Exchange of India. We find that the daily growth rate in Covid-19 cases and Covid-19 deaths are negatively associated with stock returns. Further, we observe that the average stock returns during Lockdown 2 are positive and highly significant, while the returns during Lockdowns 3 and 4 are negative. Moreover, our results show that the chemical, technology, and food and beverage industries earn higher returns. In contrast, the banking and finance, automotive, services, and cement and construction industries yield lower returns for the overall period. Interestingly, all industry groupings in this study earn a positive return during the lockdown period. In particular, the chemical, technology, automotive, metals and mining, and food and beverage industries provide higher returns during the lockdown period. Finally, this study supports the claim that the Covid-19 pandemic has had a heterogeneous effect in the Indian stock markets. [ABSTRACT FROM AUTHOR]

Capital market that we see today in India has evolved over more than two centuries and its genesis lies in developments that took place during rule by East India companies. The nascent markets that emerged during the period have matured and are one of the most progressive markets in the world today. The Indian capital markets are robust, use best of the technologies and generate interest from across the world. This work draws inspiration from many printed resources that include, academic articles, reports and books. The paper attempts to identify the nascent stages of formation of capital markets in the country over time. From a historical perspective the Indian capital market is closely interwoven with the Bombay Stock Exchange which is also first exchange to be formed in Asia. The paper also covers shape of present-day capital market that has emerged over time. The paper explains how the capital markets have expanded across different cities for several decades and then, constrained with the environmental changes, they consolidated. [ABSTRACT FROM AUTHOR]

This paper investigates whether the Covid-19 virus negatively impacts Indian companies dependent on the Chinese supply chain. As the virus originated from China, there was an anti-China sentiment observed all over the world. Our empirical study analyzes the impact of lockdown and relief measures announced by the government on companies dependent on Chinese suppliers vis-à-vis companies that are not dependent on Chinese suppliers on selected stocks in the Indian stock market. We find no negative sentiment among Indian investors on Chinese supply chain-dependent companies in India. [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 study aims to determine whether a firm's dividends are influenced by the sector to which it belongs. This paper also examines the explanatory factors for dividends across individual sectors in India. This longitudinal study uses balanced data consisting of companies listed on the National Stock Exchange (NSE) of India for 12 years--from 2006 to 2017. Pooled ordinary least squares (POLSs) and fixed effects panel models are used in our estimation. We find that size, profitability, and interest coverage ratios have a significant positive relation to dividend policy. Furthermore, business risk and debt reveal a significantly negative relation with dividends. The findings on profitability support the free cash flow hypothesis for India. However, we also found that Indian companies prefer to follow a stable dividend policy. As a result of this, even firms with higher growth opportunities and lower cash flows continue to pay dividends. We also find evidence that dividend policies vary significantly across industrial sectors in India. The results of this study can be used by financial managers and policymakers in order to make appropriate dividend decisions. They can also help investors make portfolio selection decisions based on sectoral dividend paying behavior. [ABSTRACT FROM AUTHOR]

An impact of globalization on a country's economy is that it brings in many participants from various countries to invest in the capital market. This increases the importance of the role of the financial market in that country. Financial markets help in capital formation to develop the economy in a country through industrial development and are the primary source of capital for various economic activities in a country. Capital formation is very important for the development of the business environment as well as economic growth. The economy of a country depends on its stock market for capital formation as, through the stock market, surplus funds get channelized to meet the industry's need. Capital formation through the stock market provides a platform that offers a win-win situation to both industry as well as the investor as it may provide the highest return. The paper tries to examine the performance of sectoral indices of BSE from April 2010 to March 2018 for which S&P BSE sectoral indices like S&P BSE Consumer Durables, Realty, Health Care, Oil & Gas, AUTO, Information & Technology (IT), Telecom, Banking, FMCG Index and BSE Sensex have been used. Descriptive Statistics, Augmented Dicky-Fuller Test, and GARCH model have been used for all sectors. GARCH (1, 1) is the best one in modelling the volatility of the return series. [ABSTRACT FROM AUTHOR]

The COVID-19 pandemic has become major problem for financial markets and world economy. In this paper we investigated the extreme tail behavior of NIFTY 50 index during the COVID-19 pandemic. The extreme behavior of the stock market is examined through GPD model by suing high frequency data (5-min interval) of log returns ranging from 11th March 2020 to 30th Sept 2020 which provide more precise description of NIFTY 50 tail distribution in the pandemic period. The result indicates GPD give a real picture of uncertainties associated with COVID-19. The finding of study will assist in decision making to monitor COVID-19 impact on financial markets. [ABSTRACT FROM AUTHOR]

This study examines the impact of domestic and foreign shocks on the real and financial sector of BRIC countries. For this purpose, we use a structural vector autoregressive (SVAR) model over the extended period of 1997 to 2016. We conclude that domestic policy shocks have a more substantial impact on Brazilian, Indian, and Russian economy than foreign shocks, while foreign shocks have more contribution in the case of China. Interestingly, results show the negative impact of policy shocks on bank credit provided, implying its role in multiplying the impact of shocks on real variables. Surprisingly EPU of USA has a positive impact on stock markets of India and China, implying capital flight phenomenon, where investor transfer investment from risky to safer places. [ABSTRACT FROM AUTHOR]

Purpose – The purpose of this paper is to investigate the linkages between Indian stock markets with other Asian stock markets namely, Hong Kong, Indonesia, Japan, South Korea, Malaysia, Taiwan and China. Such a study is particularly important because if the level of integration among the markets is high, then investing in different markets will not generate long term gains from portfolio diversification or reduction in risk. Design/methodology/approach – The paper applies unit root test in the presence of endogenous structural breaks that uses a Lagrange Multiplier (LM) test statistics and the Gregory and Hansen cointegration technique that allows for endogenous determined structural break in the relationship have been applied. Findings – The results suggest that the Indian stock markets are not integrated with any of the Asian markets either individually or collectively, and conclude that Indian markets are not sensitive to the dynamics in these markets in the long run. Originality/value – Since the level of integration has been studied keeping in mind the different economical phases like recession and boom, the study has incorporated the possibility of existence of structural breaks in the individual stock return series as well as in their relationship. The lack of evidence on interlinkage of Indian stock markets with other Asian markets suggests that the trend of Indian markets is not in sync with other markets, possibly due to difference in macroeconomic structure. Since the level of integration has been studied keeping in mind the different economical phases like recession and boom, the study has incorporated the possibility of existence of structural breaks in the individual stock return series as well as in their relationship. The lack of evidence on interlinkage of Indian stock markets with other Asian markets suggest that the trend of Indian markets is not in sync with other markets, possibly due to difference in macroeconomic structure. [ABSTRACT FROM AUTHOR]

This paper explores the importance of central banking policies in financial market performance, using the case of India. For this purpose, the paper comparatively analyzes the performance of financial markets during the regimes of last three governors of the Reserve Bank of India—Y V Reddy, D Subbarao, and Raghuram Rajan. The paper discusses the central banking policies in these periods with respect to monetary stability, inflation, and growth challenges. The paper presents an analysis of returns and volatility in stock markets and currency markets in their tenures in comparison with those from other selected emerging markets (Brazil, Russia, China, South Africa) and developed markets (USA and UK). The paper also brings out the leverage effect by applying the exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model in addition to comparatively analyzing the performance of financial markets. Further, the paper assesses the impact of central banking policies on financial markets by using the fixed effect model on the reference countries for the period under reference. [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]

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]

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

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

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

Indian capital market saw the launching of index futures and options on NSE on June 12, 2000 and June 4, 2001 respectively. This launching of derivatives in Indian stock markets was perceived to increase volatility in the stock market by some researchers, at the same time some other researchers anticipated decline in volatility. This paper tries to study whether the Indian stock markets show some significant change in the volatility after the introduction of derivatives trading. The study has been undertaken with a comprehensive daily data set from January 1, 1996 to March 31, 2007. To measure the volatility GARCH (1, 1) model has been used. The results show that the presence of derivatives markets on S&P CNX Nifty have declined the volatility marginally, and less reduction of volatility in spot market seems that presence of uninformed traders' activities in derivatives market. Marginal volatility reduction in spot market is associated with the increase in market efficiency and improved market depth in post derivatives period. This identification rejects "destabilizing forces hypothesis and supports "market completion" hypothesis on derivatives. [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]

Financial literacy has secured a vital role in the recent scenario due to many reasons viz. development of the new financial products, complexity of the financial markets, information asymmetry and the changes in the other economic factors in the economy. To understand, explore and to make use of the sophisticated financial products in the emerging financial markets, there is a need for every individual to have an adequate level of financial literacy in India. The level of financial literacy in India is very low (24 percent) as compared to BRICS Nations (28 percent) and European Nations (52 percent) in the year 2015. Lack of financial literacy leads to the illinformed financial decisions and these decisions in turn, have tremendous negative impact on the financial system as a whole. The present study aims to analyse the various initiatives taken by Government (Reserve Bank of India, Securities and Exchange Board of India, Insurance Regulatory and Development Authority) to improve the level of financial literacy in India. Further, the present status of financial literacy in India has also been studied. Some suggestions have been made to strengthen up the financial literacy which will lead to the overall growth of the economy. [ABSTRACT FROM AUTHOR]

This paper investigates empirically the day-of-the-week effect on stock returns and volatility of the Indian stock markets. The GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) models were employed to examine the existence of daily anomalies over the period of 1st July, 1997 to 29th June, 2012. The empirical results derived from the GARCH models indicate the existence of day-of-the-week effects on stock returns and volatility of the Indian stock markets. The study reveals positive Monday and Wednesday effects in the NSE-Nifty and BSE-SENSEX market returns. The average return on Monday is significantly higher than the average return of Wednesday in the NSE-Nifty and BSESENSEX markets. Besides, the findings confirm the strong support of ARCH and GARCH effects persist in the returns series. Moreover, the asymmetric GARCH models show that the Indian stock market returns exhibit asymmetric (leverage) effect. Most importantly, the empirical results indicate that Tuesday effects have negative impact on volatility after controlling the persistence and asymmetric effects. [ABSTRACT FROM AUTHOR]

This study examines the impacts of domestic and counter-terrorist attacks on India's securities markets after collecting time series data of SENSEX and NVIX during the period 1980-2015 for the empirical work. We employ the conditional volatility framework to estimate stock market volatility around the terrorist events, presenting empirical results that corroborate earlier studies and report a significant impact of terrorist activities on investors' sentiment. Stock market volatility remains volatile for pre- and post-terrorist events. This paper is the first empirical research investigating the impact of terrorist attacks on stock market performance in an emerging economy like India, such as stock returns and investors' fear-gauge-index (NVIX). The implications of the study underpin a forward-looking direction on stock market volatility and investors' behavior towards risky capital investment decisions. [ABSTRACT FROM AUTHOR]

This paper examines the 'stability' of beta coefficients over time in Indian equity market, both across calendar periods and across some 'control periods' or subperiods, corresponding to bull and bear phases in the market. We found some evidence of instability of betas over shorter time horizons. This instability reduces to a considerable extent when the beta estimation period increases. It is also observed that the extreme betas (both very low and very high) exhibit much higher stability than the intermediate range of betas. The analysis was done both at individual security level as well as portfolio level. Even though many previous studies indicated that portfolio betas are more stable than individual security betas, the results we obtained in case of portfolios, however, are more or less similar to that in case of individual stocks. [ABSTRACT FROM AUTHOR]

The present paper is an attempt to examine the volatility in the individual stocks listed at NSE using daily closing prices of 29 selected companies. The companies have been selected from the list of S&P CNX Nifty covering the period from 1996-97 to 2006-07. The data have been analyzed by working out standard deviation of daily returns. The study reveals that ACC, HDFC, ITC, MTNL, SBIN and SIEMENS have been comparatively less volatile than other securities. On the other hand, the securities viz. BAJAJAUTO, DRREDDY, GLAXO, GRASIM, HDFCBANK, INFOSYSTCH, M&M, ONGC, TATAPOWER and VSNL were highly volatile during the period of study. Further, the study finds that the period after 2000-01 has registered comparatively less volatility than preceding period. [ABSTRACT FROM AUTHOR]

This paper studies the volatility implications of the introduction of derivatives on stock market volatility in India using the S&P CNX Nifty Index as a benchmark. To account for non-constant error variance in the return series, a GARCH model is fitted by incorporating futures and options dummy variables in the conditional variance equation. We find clustering and persistence of volatility before and after derivatives, while listing seems to have no stabilisation or destabilisation effects on market volatility. The post-derivatives period shows that the sensitivity of the index returns to market returns and any day-of-the-week effects have disappeared. That is, the nature of the volatility patterns has altered during the post-derivatives period. [ABSTRACT FROM AUTHOR]

Purpose — An understanding on the linkages between financial development and economic growth in general and the stock market with economic activity in particular is imperative in emerging economies. The objective of this paper is to find out the causal linkages between stock market and economic activity in India. Design/methodology/approach — The paper applies recently developed Granger non-causality tests by Toda-Yamamota, Dolado and Lutkephol (popularly known as the TYDL model) for an empirical exercise. Findings — The notable finding of the paper is that both the stock price (BSE Sensex) and economic activity (IIP) are integrated of order one, i.e. I(1). The Johansen-Juselius co-integration tests suggest the existence of one co-integrating vector. This rules out spurious relations and suggests the presence of at least one direction of causality. The TYDL model suggests that there is bi-directional causality between stock price and economic activity during the post-liberalization period, implying that a well-developed stock market could enhance economic activity and vice-versa. Research limitations/implications — In the broader framework of financial markets, the presence and role of the stock market is minuscule in the context of India. Despite this, it could play a considerable role in the process of the economic development of the country. However, to analyze the cause and effect relationship between stock market and economic activity, it is essential to analyze the issue in greater detail and depth. The main limitation of the paper is the use of IIP as a proxy for economic activity, which neglects the agricultural sector, being the primary sector in India and also the service sector. This is of course due to the non-availability of GDP data on a monthly basis. Further, a detailed study on the issue could be highly appreciable from the perspective of policy implications. Originality/value — The findings of the paper have some valuable implications. It could give some insight for policy makers about the possible linkages between stock market and the economy. Coming to empirical parts, this is perhaps the first paper in the context of India to apply the TYDL model to examine the relationship between stock price and economic activity. [ABSTRACT FROM AUTHOR]

Volatility forecasting is an important area of research in financial markets and lot of effort has been expended in improving volatility models since better forecasts translates into better pricing of options and better risk management. In this direction, this paper attempts to evaluate the ability of ten different statistical and econometric volatility forecasting models in the context of Indian stock and forex markets. These competing models are evaluated on the basis of two categories of evaluation measures — symmetric and asymmetric error statistics. Based on an out-of-sample forecasts and using a majority of evaluation measures we find that GARCH (4, 1) and EWMA methods will lead to better volatility forecasts in the Indian stock market and GARCH (5, 1) will achieve the same in the forex market. The same models perform better on the basis of asymmetric error statistics also. [ABSTRACT FROM AUTHOR]

A stock exchange's efficiency can be measured by its liquidity and price discovery mechanism. An exchange that provides price discovery will have high liquidity. By measuring the speed of stock price adjustment to its intrinsic value with the arrival of new information, we can understand the price discovery process and productive efficiency of a stock exchange. India has 23 stock exchanges, 20 of which have almost become dysfunctional due to negligible trading during the last five years. Measuring productive efficiency of the current active stock exchanges will help to understand the future direction of the Indian stock market. Using the corrected model and a new model proposed in this paper, I found that information adjustment in the Indian market is very slow. Contrary to the developed markets, in the Indian stock market, stock prices overreact before adjusting to their intrinsic values. I also found that market-wide information adjusts faster than firm-specific information. [ABSTRACT FROM AUTHOR]

Value and contrarian investment strategies are two basic approaches which are widely used by investors worldwide. Both value and contrarian investment strategies are assumed to pick the same stocks even though the approach to picking the stocks is different. Furthermore, both investment strategies are supposed to work in various forms of market efficiency. The present study aims to empirically review and analyze the investment strategies, value and contrarian, by creating a portfolio of returns of listed stocks in India's Bombay Stock Exchange (BSE) over a period from 1990–91 to 2018–19. A Venn diagram is used to explain the selection of stocks under both investment strategies with analysts' forecast recommendations. The findings show that value and contrarian investment strategies essentially select different stocks at any given point in time. Moreover, the study finds that both investment strategies can work in the same form of market efficiency. This study brings new insights to scholars, analysts, and investors for analyzing investment strategies and their portfolio composition. [ABSTRACT FROM AUTHOR]

Purpose: The present study aims to examine the short-term effect of disinvestment oriented IPOs and FPOs on the stock market performance of Indian central public sector enterprises (CPSEs), which divested their equity between 2000 and 2017. Design/methodology/approach: The analysis of stock price reaction is conducted for listing dates only in the case of IPOs and three different dates in the case of FPOs through the event study methodology. The three-event dates related to FPOs are public notification date (PND), issue announcement date (IAD) and price band date (PBD). Findings: Overall empirical analysis indicates that investor sentiments are generally insignificant prior to and posts the PND (first date). The second major date of announcement that is (IAD) is new information in the market and returns are found to be significantly negative across both the periods that is before and after IAD. Thus, the analysis depicts strongly negative investor sentiments in the case of IAD. These results are further substantiated by negatively significant CAR (cumulative abnormal returns) values for both the pre and post-event windows of PBD as well. Research limitations/implications: Empirical analysis concludes that investors do not stand a chance to gain abnormal returns through initiating positions in the stocks of CPSEs during the alternative event dates analyzed. Originality/value: Since the year 2000, disinvestment through public offering has gathered momentum, and this mode accounts for approximately 62% of the collective disinvestment funds generated by the government of India till now. But there have been very limited research studies on the market performance of disinvested CPSEs. This analysis provides new empirical evidence for the market reactions of retail investors in response to the sale of equity by the Indian government in CPSEs. [ABSTRACT FROM AUTHOR]

The development of stock markets in the financial sector has been important. The expansion of stock markets has compelled various researchers to analyze its relationship with the economic process and development of countries. The studies have revealed that the performance of stock markets in a nation has a positive correlation to its economic growth. Bearing this relationship in mind, studies are being undertaken to recognize the elements responsible for stock market development in several nations. The researchers all around the world are trying to better understand determinants so that government establishments can create and target policies that may help the development of stock markets which further helps in economic development of the state. Throughout the past three decades, the global stock markets surged, and emerging markets played a vital role in this boom. Recent researches have begun to concentrate on the linkages between the stock markets and economic development. There has been an extensive analysis of the connection between the stock market and economic growth, but there is a dearth of theoretical empirical proof on what determines stock exchange development. Keeping in view the importance of stock markets in the development of economic development, the researchers in the present study have tried to bring out the factors that play a positive role in the development of stock market. [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]

Increased awareness and education of individuals have led to their increased involvement in financial activities. Now it is felt that economic development can be achieved by ensuring the participation of individuals in financial activities. With the development of the securities market in India, awareness of individual investors has become important to design financial education and awareness programmes that will help them to participate in the stock market. Therefore, an attempt has been made to develop and validate a scale for measuring investment awareness of individuals in Indian stock market. The data for the study were collected from primary sources. Factor Analysis and Confirmatory Factor Analysis have been used to analyze the data. The study revealed that investment instruments, sources of information, intermediaries involved, regulatory measures and risk management measures are important factors determining the overall awareness of investors about the stock market. Workshops, seminars and conferences should be organized to improve an investor's knowledge about the innovative instruments in the stock market. Reading financial newspapers such as The Economic Times and visiting stock market related websites can help an investor to gain insights into the new developments. Financial intermediaries as well as SEBI should try to create awareness among individuals so that they can make better investments. [ABSTRACT FROM AUTHOR]

Purpose: Stock return volatility is an important aspect of financial markets which requires specific attention of researchers. This study examines the impact of board structure, board activities and institutional investors on the stock return volatility of the Indian firms. Design/methodology/approach: The author had selected the non-financial companies of the National Stock Exchange (NSE), which form the part of the NSE 500 index. Regression models had been estimated using the system generalised method of moment (GMM) framework designed by Arellano and Bover (1995) and Blundell and Bond (1998) to deal with endogeneity concerns. Findings: The author found that the stock return volatility was affected by the institutional investors, particularly pressure-insensitive (PI) investors. Moreover, this study supported the non-linear relationship between stock return volatility and institutional investors. Unlike developed world, the author found that the independent directors were positively associated with the stock return volatility. Research limitations/implications: It is important for the investors and regulators to understand that the behaviour of the institutional investors depends on its class and having more independent directors will not ensure containment of the stock return volatility as suggested in previous literature reviews. Originality/value: Most of the prior studies have used simple standard deviation (SD) to compute stock return volatility. In this study, besides SD, the author used the generalised autoregressive conditional heteroskedasticity (GARCH) model to compute the stock return volatility of the firms. [ABSTRACT FROM AUTHOR]

The study investigates the existence of beta-anomaly in the Indian equity market. A growing body of literature shows that financial markets do not reward the risk (defined in terms of standard deviation or market beta). These results (known as 'low-risk anomaly' and 'low-beta-anomaly') are quite puzzling from the theoretical perspective. This study presents an empirical test of the capital asset pricing model (CAPM) in the Indian equity market to examine the existence of low risk/low beta anomaly. The study covers 650 actively traded stocks for a period of 189 months from July 2002 to March 2018, and the Fama–MacBeth procedure has been used for testing CAPM. The beta-shorted portfolios are formulated using both equal and value-weights. The results of the study were found robust after controlling for outliers and correcting the bias in standard errors, as suggested by Petersen (in Rev Financ Stud 22(1):435–480, 2009). We confirm the presence of 'low-beta-anomaly' in India. A non-linear relationship was found between CAPM beta and expected returns. This relationship follows a quadratic function, where expected returns initially increase with beta and then start declining, resulting in the negative risk premium for high-beta portfolios. [ABSTRACT FROM AUTHOR]

The article discusses the possible integration and efficiency of the Indian Stock Market with major global stock markets. It focuses on stock market volatility in relation to the Asian Currency Crisis and the Global Financial Crisis. Topics include Toda Yamamoto's procedure of Granger's Causality, the Johansen Maximum Likelihood procedure and the ARCH school of models. Also mentioned are the Random Walk Hypothesis, the Chow-Denning and Lo and Mackinlay multiple variance ratio test.

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]

A January effect, the subject of the study, is an external factor which explains the price abnormality. By the end of year, most investors sell stocks which show low performance. With the New Year, investors repurchase these stocks to their portfolio at a cheap price. This demand on stocks in the first month of the year increases the prices of stocks. There are several studies which shall confirm this assumption in the literature. The common feature of these studies is that incomes in January return more than December and the relevance is significant statistically. Three important reasons are argued which can explain this phenomenon. The first reason is that in January, investors want to repurchase their stocks at a cheap price which they sold in December in order to decrease tax losses. Therefore, investors sell their stocks in December in order to avoid tax. The second reason is that portfolio managers want to sell their stocks with low performance in order to ameliorate their portfolio. The portfolio manager wants to increase the portfolio performance by carrying out this transaction. The third reason is that portfolio managers aim at stock certificates of more small-sized companies by selling certain stocks and that they want to make profit over the value which they use as a criterion. On the other hand, there are also studies with different approaches about the availability of January effect in literature. In the study, whether January Effect is available has been analyzed by being examined using observations of 15 years, from 1998 to 2013, of the two major indices reported by National Stock Exchange (NSE), i.e. Standard & Poor's (S & P) Nifty and CNX Nifty Junior. The January effect is examined by using Friedman's sum rank test, Mann-Whitney U-test and dummy variable regression analysis, which are tests for seasonality. [ABSTRACT FROM AUTHOR]

Market Overreaction is a very familiar and age-old craze amongst traders. Pigou (1929) defined it as a 'conducting rod along which an error of optimism or pessimism, once generated, propagates itself about the business world.' The question of whether or not Indian stock prices market is overreacted during any stock-specific news is best answered by a comprehensive and concurrent analysis of the various tests and data available while using the event study. This study wants to address the impact of size, volatility and asymmetry in the terms of investors' overreaction to the firm-specific news not only individually but also jointly. The outcome of this study helps to solve the problem concerning the extent to which quarterly announcements have informational content, and whether the investors are affected by the signals. The present study substantiates the policy recommendation for the market players as well as for the analysts in estimating earning announcement events under different market condition and different market capitalization value of the firm. [ABSTRACT FROM AUTHOR]

The study investigates volatility in the stock markets of India and Canada using daily closing price data for the period from January 2002 to July 2009. Various volatility and diagnostic tests suggest certain stylized facts about volatility like volatility clustering and mean reverting behavior. ARCH-LM test suggests the presence of conditional heteroscedasticity in both the stock markets. The findings reveal that the GARCH(1, 1) model successfully captures the time-varying volatility in the stock markets. The analysis suggests persistence of volatility in the stock markets. However, the persistence of volatility in Canadian stock market is marginally more than that of Indian stock market. [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]

This study examines the cost efficiency performance of 111 commercial banks in Bangladesh, India, Pakistan and Sri Lanka over 1997–2004. The primary focus is to assess whether bank size, state ownership and stock exchange listing have significant effects on South Asian banks' efficiency performance. To this end, a translog-form composite-error cost efficiency model, which allows for exogenous environmental influences, is estimated. The results indicate that the overall efficiency of South Asian banks declined over 1997–2004. Larger banks and banks with widespread ownership through stock exchange listings were found to be relatively more cost efficient. In contrast, state-owned banks were less efficient. [ABSTRACT FROM AUTHOR]

Using the (1,1) variant of the Generalised Auto Regressive Coefficient of Heteroscedasticity (GARCH 1,1) the study shows that daily spot market volatility in India has marginally declined since the introduction of futures trading in India, The study also shows a simultaneously significant improvement in the information coefficient 'α' and reduction in 'β', the persistence coefficient that we forward as case in the growing efficiency of the Indian stock market. The study seeks to break new ground by examining the expiration- day effect of futures trading on spot market volatility and contends that contrary to experience elsewhere, there is a significant, albeit small, decline in daily volatility on expiration day. [ABSTRACT FROM AUTHOR]