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Purpose: The purpose of this paper is to investigate the cointegration and volatility spillover dynamics between the USA and South Asian stock markets, namely, India, Pakistan and Sri Lanka. The main objective of this study is to provide the knowledge about integration of financial market and volatility spillovers before, during and after global financial crisis to investors, fund managers and policy-makers. Design/methodology/approach: The Johansen and Juselius cointegration test, Granger Causality test and bivaraite EGARCH model have been applied in this study to examine integration and volatility spillovers between selected stock markets. Findings: The findings show that long-term integration between the USA market and South Asian emerging stock markets. It is found that USA stock market has causal relationship with emerging stock markets in short-term. The findings of EGARCH model reveal that asymmetric volatility spillover effects significant in all selected stock markets in pre, during and post-crisis periods. Furthermore, significant volatility spillover is found from stock markets of USA to all selected South Asian markets during and post-crisis periods. However, volatility spillovers from USA to India and Sri-Lanka markets are significant, while insignificant in case of Pakistani market in pre-crisis period. Overall, we find that returns and volatility spillover effects are higher in financial crisis period as compared to non-financial crisis period. Practical implications: The findings of this paper have important implications for investors, portfolio managers and policy-makers. They can take potential benefits from international portfolio diversification by considering all these facts. The understanding and knowledge of across volatility transmission help them to maximize the gains from diversification and minimize the risk. Policy-makers can develop such strategies which protect the markets of these economies from future financial crisis. Originality/value: Although in finance literature numerous studies have been conducted on integration between different stock markets, most of the studies investigated the integration and volatility spillovers between developed stock markets. However, many studies also analyzed the integration among emerging stock markets in literature review but it is hard to find studies in the context of South Asian stock markets on the effect of global financial crisis on stock markets. The main contribution of this study is to investigate the stock markets integration and volatility transmission between the USA and South Asia by considering the effect of recent 2007 US subprime financial crisis. [ABSTRACT FROM AUTHOR]

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The novel Corona Pandemic has put the world trade and economy in a great crisis. No country is free from the jaws of the deadly virus. It not only causing huge forfeiture of human life but also inducing economic disaster, with a halt in production, a crumble in consumption and a magnified unreliability in stock exchanges. The Covid-19 has severely disrupted the global supply chain system. All the sectors like aviation, tourism, retail, capital markets, oil and particularly Micro, Small and Medium Enterprises (MSMEs) are the most affected with negative repercussion. In the global view, the small businesses are the most sufferers than the big ones as they are vulnerable with lesser resources to redesign to the new social change. The main purpose of this article is to study the present status of Micro, Small and Medium Enterprises (MSMEs) of India and its sustainability amid this pandemic. It will notably discuss the impacts of Covid-19 on this sector and the initiatives taken to regenerate this sector. The study will be based on reviewing the available literatures considering research papers, reports and policy documents. This article comes forward with applicable recommendations for MSMEs facing this epidemic in India. [ABSTRACT FROM AUTHOR]

The paper aims to empirically investigate the influence of corporate social responsibility (CSR) on firm performance in Indian listed firms. We use regression analysis to determine the relationship between CSR and firm performance. Both accounting and market measures of firm performance have been deployed for the purpose of the study. We have found mixed evidence. While CSR has a positive impact on the accounting measure, it has a weak relationship with market-based returns. Our most significant finding in the study is that markets do not perceive the standard mandated CSR spends worthy of a reward. Instead, such spends are considered hygiene whereas expenditure made by firms in excess of the mandated CSR spends is rewarded by markets for their CSR conscious behaviour. We therefore advise the Indian companies to spend beyond the mandated CSR outlays if they are to improve on their market value. [ABSTRACT FROM AUTHOR]

From a decade or so Indian continent has become the centre of attraction in the global economies. This changed outlook is due to the fact that India embraces vast availability of resources and opportunities which makes it the most vibrant global economy in the current scenario of worldwide sluggishness. On this path of growth and prosperity India is showing stiff commitments and competitive edges with developed as well as emerging countries. To be more specific, during this voyage in the Asia pacific region recently on one side India has seen stronger bonding with some of its old mates like Japan but on the other part it has faced strain like situation from its stronger competitor contender china on the same time. Hence, in this context the main aim of this paper is to examine the long run and short run equilibrium impacts of Japan and Chinese stock index as well as macroeconomic variables impact on Indian stock market. This paper finds the presence of both long and short run equilibrium impacts from China and Japan to India. In case of Japanese financial market (Nikki 225) has a trivial negative but significant long run impact whereas, the Chinese stock index (SSE composite) is operating at the short run with the same mild negative but significant impact on the Indian stock market. The results of the impact of macroeconomic variables find the existence of long run as well as short run equilibrium from some of the selected variables on Indian stock market. [ABSTRACT FROM AUTHOR]

The paper examines the impact of new product announcements on the stock prices of announcing companies of the BSE 500 index. The paper analyzes a sample of 383 new product announcements for a period of 11 years. The authors have used the reliable CMIE's Prowess Database to collect the information regarding new product launches, announcements, approvals, unveils, etc. Traditional event study methodology is used in order to measure the abnormal stock market returns. The study found that there is a significant impact of the announcement of new products on the share prices and abnormal returns are generated on the event day. Also, t-test discloses that there is a significant difference between the pre and the post abnormal returns further emphasizing that there is an impact of the event on the abnormal returns. The means of the pre and post period reveals that the returns are positive for the pre period and negative for the post period. This emphasizes the fact that information is leaked to the market prior to the announcement and hence, abnormal returns are generated prior to the event day rather than the post abnormal return period. Therefore, the study concludes that new product announcements hold important information to the Indian stock market during the event and abnormal returns are generated on the event day and also, the returns are generated higher in the pre period than the post period of the event window. [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 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 Covid-19 pandemic has impacted every industrial segment of the world. This paper analyzes the performance of various Nifty sectoral indices in India during the peak pandemic period. The main objective of the study is to analyze as to which industrial sector was the worst affected in India from March 2020 to May 2021. The major stock market sectoral indices have been used to check the performance of various industrial sectors. Descriptive research design has been applied on daily closing Nifty sectoral indices data. The results reveal that during the period of the study, the investors who had invested in metal, pharma and IT sectors received the maximum returns, while those who had invested in financial services, FMCG and private banks received the minimum returns. [ABSTRACT FROM AUTHOR]

Purpose: The unique regulatory design of India provides us with the opportunity to disaggregate traditional initial public offering (IPO) underpricing into three categories: voluntary, pre-market and post-market. The presence of anchor investors in India makes it a compelling case to study. These individuals were introduced to bring transparency in the book building process, but their impact on pre-market and post-market underpricing was not foreseen. Therefore, the purpose of this paper is to evaluate the impact of anchor investors on the IPO underpricing after disaggregation and on the long-run performance of an IPO. Design/methodology/approach: A sample covering 232 IPOs from a period of 2009–2018 is included. The empirical analysis explores the impact of various firm-specific as well as market-specific variables on IPO underpricing. The financial data for the empirical analysis are extracted from Prime database and websites of National Stock Exchange and Bombay Stock Exchange. To deal with the outliers effectively, this paper deploys "robust-regression." Findings: The study finds that investor's subscription rate and voluntary underpricing impacts the pre-market but do not have any impact on the post-market while the age of the firm has a different impact on both the markets and the number of anchor investors have the same impact in both markets. Anchor investors' participation increases the pre-market as well as post-market underpricing. Lastly, the long-term performance of IPOs backed by the anchor investors is high relative to the IPOs not subscribed to by the anchor investors. Originality/value: This paper is believed to be the first attempt to study the impact of anchor investors on the disaggregated IPO underpricing. The findings of this study will have a great insight for the investors. [ABSTRACT FROM AUTHOR]

This paper highlights the organic link that exists between the corporate social responsibility (CSR) activities undertaken by the Indian corporate sector and their alignment with the Sustainable Development Goals (SDGs) from 2014–2016; the period after mandatory CSR came into existence as per Indian Companies Act. In this study, we identify critical areas pertaining to SDG goals neglected by corporate sector as far as CSR investments are concerned. We find that more  CSR investments must be drawn towards climate change, biodiversity, Sustainable consumption and production, marine life and conserving flora and fauna. The sectoral analysis reveals that the companies falling under sectors that have a higher environmental footprint and impact are more concerned about taking up initiatives through CSR. The geographic analysis revealed that efforts need to be made to increase CSR expenditure in seven north‐eastern states, Jammu and Kashmir, and Union Territories. This paper recommends that the system needs to be further reviewed in light of the current observations. [ABSTRACT FROM AUTHOR]

Purpose: The purpose of this paper is to analyze the long-term performance of construction sector initial public offers (IPO) made in India during 2006–2015. The study aims to compare the performance of the construction sector IPOs with the non-construction sector IPOs and finds the determinants of long-term performance of construction sector IPO with a time horizon of three years. The study also attempts to find out, if the long-term IPO underpricing that has been discussed in the literature, really exists or it is a myth. Design/methodology/approach: The study uses data of IPOs listed on National stock exchange during 2006–2015. In total, 281 IPOs are considered for the study, among which 44 are construction sector IPOs. IPOs anniversary performance of three successive years is calculated from the date of listing, and a random effect panel regression model with clustered robust estimates using the maximum likelihood method is performed to find out the determinants of IPO performance. The data are also tested for multicollinearity, stationarity and heteroscedasticity to ensure the robustness of results. Findings: The results show that in the long-run construction sector IPOs outperform the non-construction sector IPOs, though the performance is below average when compared to market returns. The IPO underpricing is a myth, and IPO underperformance is a reality in India. The performance of construction sector IPOs is driven positively by market return, size of the firm and negatively by liquidity of the firm. Originality/value: The paper is the first attempt to analyze the performance of construction sector IPOs, and compare it with non-construction sector IPOs. The study uses a random effect panel regression model with robust estimates using the maximum likelihood method to ensure the robustness of results. This is the first time the performance of IPOs is studied with a panel data approach. [ABSTRACT FROM AUTHOR]

Purpose: The purpose of this paper is to assess the impact of deviation from the target investment in working capital (WC) (measured by net trade cycle (NTC)) on the profitability (measured by gross operating income (GOI) and net operating income (NOI)) of the listed non-financial Indian firms. Design/methodology/approach: The study is based on the data collected on NTC, GOI, NOI and other variables pertaining to 242 listed non-financial Indian firms that form part of the Bombay Stock exchange 500 Index for the period 2012–2017 (1,452 firm-year observations). Following Banos-Caballero et al. (2010), the authors use a firm fixed effect regression as the benchmark regression for finding out the determinants of NTC of the sample firms. Furthermore, this study explores the impact of deviation (above and below target) from the target investments in WC on the firm profitability (GOI and NOI) employing fixed effect regression. Findings: The result of this study reveals that Indian firms maintain a target NTC and try to converge in case of any deviations to it. Furthermore, the profitability of the sample firms was observed to be influenced by the deviation from the target NTC irrespective of whether the deviation was above or below the target investment level in WC. Practical implications: This study highlights the importance of good WC management for firms due to the negative impact of the over- and under-investments in WC and contributes to the existing body of knowledge by suggesting that managers should keep close to the target WC and not deviate from this in order to maximize the firms' profitability. Originality/value: To the best of the knowledge of the researchers, this is perhaps the first study to examine the impact of firms' deviation from their target investment in WC on the profitability for non-financial firms listed and operating in India. [ABSTRACT FROM AUTHOR]

Finance is the basic factor which decides the existence and growth of a new startup. Crowd funding is rapid growing way of raising finance in India and that day is not so far when it will be abide with legal laws and regulations. Crowd funding is similar to the stock exchange where fund is raised from public through online mode but it is legally not authorized as stock exchange is. In India untapped market available for crowd funding and the need is to make it legal and streamline. In this paper I will discuss the process of crowd funding, different platforms and legal status of crowd funding in India. [ABSTRACT FROM AUTHOR]

Over the course of the last century, numerous jurisdictions have adopted the principles of free market economics. This has resulted in a global economy that is expanding due to the proliferation of public and private sector enterprises, which are themselves the product of public markets where anyone can invest and trade in securities. Since the performance of these enterprises is a direct function of the public's faith (and investment) in them, it is but a corollary that regulation of such securities has followed in the footsteps of this economic boom. The insider trading regime of these numerous jurisdictions constitutes one such form of securities regulation. This paper discusses the birth and evolution of the insider trading regime in India, weighing the legislative intent behind the insider trading regulations and the far-reaching scope of their application. In order to achieve this aim, the paper looks at the multi-faceted theories of insider trading such as the classical theory and the misappropriation theory, as recognized in the United States, and examines whether India's insider trading regulations cover such theories. Upon such examination, it is seen that the powers accorded to the Securities and Exchange Board of India are comprehensive and, with some assistance from the legislature, the regulator is well posed to tackle future threats to investor confidence, market integrity, and the Indian economy. [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]

MUTUAL funds are the investment vehicles that provide a platform for the investors who would want to invest in the equity or debt market but do not have the financial expertise or time to analyze and select the securities. Mutual funds pool money from the investors and invest the corpus in different securities according to the objectives of the respective mutual funds. The advantages that investors get by putting their money in the mutual funds range from professional management of their funds, low costs, liquidity, low start up investment, choice of schemes, flexibility, and diversification. Evaluation of the performance of mutual funds and the fund manager's ability to time the market have been a subject of discussion ever since the inception of mutual funds. This paper attempts to evaluate the performance of selected mutual funds of three private asset management companies in India. The funds have been analyzed in terms of their risks and return per unit of risk. Also, the fund manager's ability to time the market has been analyzed using the Treynor-Mazuy and Fama Selectivity model. Design/Methodology/Approach: The study is descriptive in nature. The data used for the study is secondary, taken from various national and international sources relevant to the study. Findings: From the present study, we have come to the conclusion that "HDFC FMP 793D February 2014 (1) - Direct Option-Flexi Option", "HDFC FMP 793D February 2014 (1) - Direct Option-Growth Option", and "HDFC FMP 1175D January 2014 (1) - Regular Option-Growth Option" have performed better in terms of their excess returns per unit of total risk and Jensen's alpha. Also, the fund managers of these three funds have displayed superior security selection skills as indicated by their Fama Index. The market timing skills of the fund managers is reflected in "Axis Hybrid Fund - Series 5 (1346 Days) - Direct Plan - Growth" and "Axis Hybrid Fund - Series 7 (1305 Days) - Regular Plan - Growth". Research Limitations: The data taken is past data of 10 closed ended funds, hence, generalization for all other funds or to the future is not applicable. Practical Implications: The study attempts to evaluate the market timing and security selection abilities of the fund managers based on the past data. Originality/Value: This paper is based on an independent analysis of mutual funds by the researcher. The findings are the researchers' own evaluations. [ABSTRACT FROM AUTHOR]

This paper investigates the hedging effectiveness of cross-listed Nifty Index futures and compares the performance of constant and dynamic optimal hedging strategies. We use daily data of Nifty index traded on the National Stock Exchange (NSE), India and cross-listed Nifty futures traded on the Singapore Stock Exchange (SGX) for a period of six years from July 15, 2010 to July 15, 2016. Various competing forms of Multivariate Generalised Autoregressive Conditional Heteroscedasticity (MGARCH) models, such as Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation (DCC), have been employed to capture the time-varying volatility. The results clearly depict that dynamic hedge ratios outperform traditional constant hedge ratios with the DCC–GARCH model being the most efficient with maximum variance reduction from the unhedged portfolio. [ABSTRACT FROM AUTHOR]

The main purpose of the paper is to investigate whether and to what extent the Bombay Stock Exchange (BSE), India is integrated with the major mature markets in the US, UK, Germany and Japan. The dataset has been divided into: post Asian Crisis but before Euro Emerged (July 1997-January 2002); after Euro but before US Subprime Crisis (February 2002-November 2007); from the US Subprime Crisis before Modi's emergence as national leader (December 2007-April 2014); and after Modi's emergence (May 2014-July 2016). The study uses unit root test, Johansen-Juselius test, GARCH(p, q) model estimation, and Granger causality test for the purpose. [ABSTRACT FROM AUTHOR]

This paper attempts to examine the presence of herd behavior among the foreign institutional investors (FIIs) when investing in Indian stock market. We also examine the impact of herding in FIIs on stock returns using panel regression approach. We apply the measure suggested by Lakonishok et al. (J Financ Econ 32(1):23-43, 1992), hereafter referred as LSV, to detect the buy-side and the sell-side herding in the Indian stock market. In order to find out intertemporal trading pattern of FIIs, we also use SIAS model. This paper makes use of daily data of 50 stocks of S&P CNX Nifty to achieve the goals. The study also tries to develop a volume-based herding ratio to extend the findings. The results support the evidence of presence of both buy-side and sell-side herding in the Indian stock market. The results based on panel regression approach highlights the destabilizing effect of FIIs in the Indian stock market that may be an issue of concern for the regulators. [ABSTRACT FROM AUTHOR]

The purpose of the study is to investigate the nature and extent of sustainability reporting practices of top 100 National Stock Exchange (NSE) listed companies in India. Further, this paper also analyses the difference in sustainability reporting practices of companies based on the Global Reporting Initiatives (GRI) reporting, ownership structure and industry type. Data were collected from the sustainability report (SR), business responsibility report, CSR report and annual report of the companies for the year ended 2017–2018 and 2018–2019. Content analysis of the reports, Independent sample t test and Cohen's d research techniques were used for data analysis. Notwithstanding the uniform disclosure norm, the results suggest an inconsistency in sustainability reporting practices of the companies. It was found that GRI reporting companies have significantly higher sustainability disclosure than non‐GRI reporting companies in India. Contrary to prior studies, the result indicates the absence of a statistically significant difference in sustainability reporting practices of government‐owned corporations and private companies. The results provide several practical implications for regulators, government, policymakers and companies. Findings suggest companies should move beyond compliance of regulatory norms and adopt sustainability code of conduct (i.e., GRI, UNGC principles, SDGs Mapping) to improve sustainability reporting practices. Policymakers and regulators should broaden the scope of existing disclosure norms (National Voluntary Guidelines) to further improve sustainability reporting in India. The present study is one of the first of its kind to investigate the nature and extent of sustainability reporting practices of NSE listed companies' post‐disclosure reforms in India. [ABSTRACT FROM AUTHOR]

Purpose: The phenomenon known as financialization of commodities, arising from the speculation in commodity derivatives market, has raised serious concerns in the recent past. This has prompted distortion in agricultural commodity prices driving them away from rational levels of supply and demand shocks. In the backdrop of financialized commodities leading to increase in price of agricultural products and their interaction with equity markets, the authors examine the investment of institutional investors in impacting the agricultural returns. The paper aims to focus on the financial mechanism that drives extreme values and the mean of agricultural returns. Design/methodology/approach: The authors employ the Threshold AutoRegressive Quantile (TQAR) methodology to find evidence of linkages between the Indian agricultural and equity markets from January 2010 to May 2020 consistent with the rise in inflows of institutional investors in agricultural markets. Findings: The results reveal that the investors impact the agricultural commodity markets strongly when the composite commodity index value (COMDEX) is low. Additionally, in the lower extreme quantiles (0.25) of agricultural returns, the integration between the equity index and agricultural returns is found to be highly significant compared to insignificant values in the higher quantiles (0.75 and 0.95) in both the regimes. The results suggest that low values of agricultural commodities are more closely linked to equity indices when composite commodity index value is low. This implies that, at the lower quantiles of COMDEX return (bad day), the investors move to the stock market. In that way, the commodity index returns are seen to be as a strong channel for the financialization of Indian agricultural commodities and suggesting potential involvement of investors during those regime. Research limitations/implications: Regulators need to anticipate the price fluctuations in spot and futures markets. Investors in commodity markets need to strengthen risk awareness to carry out portfolio strategies. Practical implications: From policy perspective, it is of pivotal importance to enhance the understanding of the financialization of agricultural products. The findings provide reference measures to stabilize the commodity markets, alleviate price distortions and carry out further evidence of price discovery and risk management in Indian commodity markets. Originality/value: To the best of the authors' knowledge, this study is the first to highlight the potential influence of financial markets on the financialization of agricultural commodities in an emerging economy like India. [ABSTRACT FROM AUTHOR]

Stock market trends forecast is one of the most current topics and a significant research challenge due to its dynamic and unstable nature. The stock data is usually non-stationary, and attributes are non-correlative to each other. Several traditional Stock Technical Indicators (STIs) may incorrectly predict the stock market trends. To study the stock market characteristics using STIs and make efficient trading decisions, a robust model is built. This paper aims to build up an Evolutionary Deep Learning Model (EDLM) to identify stock trends’ prices by using STIs. The proposed model has implemented the Deep Learning (DL) model to establish the concept of Correlation-Tensor. The analysis of the dataset of three most popular banking organizations obtained from the live stock market based on the National Stock exchange (NSE) – India, a Long Short Term Memory (LSTM) is used. The datasets encompassed the trading days from the 17th of Nov 2008 to the 15th of Nov 2018. This work also conducted exhaustive experiments to study the correlation of various STIs with stock price trends. The model built with an EDLM has shown significant improvements over two benchmark ML models and a deep learning one. The proposed model aids investors in making profitable investment decisions as it presents trend-based forecasting and has achieved a prediction accuracy of 63.59%, 56.25%, and 57.95% on the datasets of HDFC, Yes Bank, and SBI, respectively. Results indicate that the proposed EDLA with a combination of STIs can often provide improved results than the other state-of-the-art algorithms. [ABSTRACT FROM AUTHOR]

India is on the path of Digital India, FII and DII's in the country boost the country's economy. Both FII and DII have dominant role in capital formation which assists in assets formation along with investments in the stock market form of trading of various securities. FII funds a capital sources in India from foreign countries, affect the financial system and boost the economical growth. During pandemic, covid -19 the Indian economy has faced severe changes which affected the DII and FDI funds too. The research paper points on the changes in the FII and DII funds due to pandemic with reference to increase in covid cases. Design/Methodology/Approach-The paper employs quantitative approach have exploratory research design. The secondary has been collected from authorized government sites i.e. www.moneycontrol.com & www.statista.com for infusion of FII and DII funds in India and data sheet of COVID-19 cases in India(January 2020 to December 2020). Furthermore, for analyze of data SPSS version 20 has been used. Correlation & regression and ANOVA; Statistical techniques have been applied to reach the findings. The findings exhibits that there has been a significant changes in FII and DII during the COVID first wave period as compared to the pre COVID. Being FII and DII are very important for any countries economy, therefore studying the same and especially for the COVID period is highly essential from the Future perspective. This paper is original as till date no study has been conducted in detail to study the pattern and impact of FII and DII during the COVID times. [ABSTRACT FROM AUTHOR]

The world has become a global economic village. It has become necessary that the financial statements are prepared in a universal language. Due to the global nature of capital markets the need for a common set of accounting standards is being required by majority of investors. Convergence of IFRS (International Financial Reporting Standard) is one of the major change Indian companies are awaiting. Convergence to IFRS will facilitate Indian companies lower down the cost of raising funds, reduce accountants' fees and enable faster access to all major capital markets. It will also enable entities to establish objectives on the basis of global economic changes. This will eliminate the need for multiple reports and significant adjustment for preparing consolidated financial statements or filing financial statements in different stock exchanges. With the growth of Indian Economy and increasing integration with the global economies, Indian corporates are raising capital globally. Under the circumstances, it would be imperative for Indian corporates to adopt IFRS for their financial reporting. In India, the momentum of adopting the IFRS started way back in 2006. The accounting regulator of India, Institute of Chartered Accountants of India (ICAI) has laid down a road map for convergence into IFRS in a phased manner. Present paper gives an insight in to the various aspects of International Financial Reporting Standards. [ABSTRACT FROM AUTHOR]

This paper tried to investigate the behavior of volatility of Indian stock market keeping in mind, the US subprime crisis. Daily data from 1st April 2007 to 31st July 2010 on S&P CNX Nifty is used for analysis. This paper has used ARCH and GARCH framework for studying behavior of volatility of Indian stock market. The paper has also used threshold GARCH for describing asymmetric properties of stock return volatility. In particular, the objective of the study was to examine the short-term and long-term volatility spillover effects of the US sub-prime crisis on Indian stock market using component GARCH model. The results from the various GARCH models can be used to forecast more accurate volatility which can be used for various purposes like portfolio allocation and option valuation. The results established that stock return volatility of Indian stock market is characterized by persistence, asymmetric properties and permanent component of conditional variance is highly persistent. [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]

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

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]

Purpose - The purpose of this paper is to examine the lead-lag relationships between the National Stock Exchange (NSE) Nifty stock market index (in India) and its related futures and options contracts, and also the interrelation between the derivatives markets. Design/methodology/approach - The paper uses serial correlation of return series and autoregressive moving average (ARMA) model for studying the lead-lag relationship between hourly returns on the NSE Nifty index and its derivatives contracts like futures, call and put options. Further, the lead-lag relation between hourly returns of the derivatives contracts among themselves is also studied using ARMA models. Findings - The ARMA analysis shows that the NSE Nifty derivatives markets tend to lead the underlying stock index. The futures market clearly leads the cash market although this lead appears to be eroding slightly over time. Although the options market leads the cash overall, there is some feedback between the two with the underlying index leading at times. Further, it is found that the index call options lead the index futures more strongly than futures lead calls, while the futures lead puts more strongly than the reverse. Practical implications - The results imply that the derivative contracts on NSE Nifty lead the underlying cash market. Thus, the derivative markets are indicative of futures price movements and this will certainly be helpful to potential investors to design their risk-return portfolio while investing in stocks and derivatives contracts. - Originality/value - This paper is an original piece of work towards exploring the lead-lag relation between NSE Nifty and the derivative contracts. The issue of price discovery on futures and spot markets and the lead-lag relationship are topics of interest to traders, financial economists, and analysts. [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]

Using monthly data on money, short-term credit, foreign exchange, government securities, long-term debt, futures, and real estate market instruments' returns, the paper examines the financial-markets' integration (i.e., long-term relationship or cointegration) within and across the markets in India for the sample period April 2006 to March 2020 by employing the autoregressive distributed lag methodology. In terms of within the markets, the study found that there exists financial integration only in money, short-term, government and forex markets. On the other hand, in terms of across the markets, it is found that all the money market and short-term credit market instruments other than IMF lending rate and bank rate are cointegrated with government securities, long-term debt, futures, foreign exchange and real estate markets. Equity market is cointegrated only with money, short-term credit and futures markets. Similarly, 10-year government security is cointegrated with money, shortterm credit and forex markets. The equity futures market is cointegrated with money, short-term credit and long-term debt markets only, while the corporate bond market is cointegrated with all the markets other than futures. On the other hand, neither the commodity futures market nor the real-estate market is cointegrated with any other markets. The equilibrium adjustment speed is not uniform across the markets and in general it is lower within the markets compared to across the markets. [ABSTRACT FROM AUTHOR]

This paper studies the feasibility of rainfall risk market in India. Perceptional studies on feasibility of creation of rainfall risk market are essential to understand the ecosystem of our capital markets to design, develop and trade rainfall-risk products like rainfall futures and options. The study is exploratory in nature because no research has been done on the feasibility of rainfall risk market based on stakeholders'/experts' perceptions. It is based on the primary data collected through a structured questionnaire and circulated among the selected sample of 208 respondents. The respondents are academicians, executives working in insurance/reinsurance companies, professionals working in commodity/stock exchange, stockbroking, and practicing CA/CMA/CS/CFA professionals. The findings indicate that there exists scope for creating rainfall risk markets in India. However, creating awareness amongst the stakeholders is a prerequisite for creation of such markets. The results of the study are likely to chart a road map that lays down a clear path for design and development of rainfall risk markets. [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]

In this paper, the concept of life insurance as distinguishable from other financial assets and investments is clearly differentiated. The objective is to study Market Microstructure (MM) pertaining to the Indian Life Insurance market which has not been studied so far. The paper provides a framework of MM and delves deeper into the origin; market participants, market form and organizational structure, pricing, legal framework, role of information, impact of technology, recent market trends and future prospects. Using semi-log regression equation, growth rates of new life insurance business, total premium and channel-wise businesses are estimated to analyze the market trends. The current penetration and density are found to be low and thus the Indian life insurance market could at the best be described as an emerging market and hence the market still has huge potential for growth. We have therefore analyzed the MM of Indian life insurance market which is not found in the strands of literature on economic theory, finance theory and life insurance literature. It becomes evident that we need a different approach while studying life insurance as opposed to stock markets. [ABSTRACT FROM AUTHOR]

The Human Resource (HR) disclosure in annual report is voluntary in nature in India. Therefore, it creates inconsistency in the HR disclosure practices across companies as well as industries. The purpose of the present paper is to look at the nature and level of HR disclosure and study the effect of company characteristics on HR disclosure in annual reports of public sector companies in India. This research is motivated by the dearth of studies on HR disclosure among companies in developing countries. Initially, an 86-item Human Resource Disclosure Index (HRDI) has been constructed for a set of 500 companies listed on National Stock Exchange. From that point onward, the effect of various explanatory variables on HRDI is analyzed. Finally, HRDI has been regressed against the independent variables to find the important elements of HRDI. The outcomes of the descriptive statistics, correlation analysis and multivariate analysis reveal that the total number of pages of annual report is positively associated with HR disclosure. Company size and profitability are partly associated, while other variables like leverage, ownership concentration, liquidity and globalization have no association with HR disclosure. [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]

FIIs and DIIs are the two dominant investment categories in the Indian stock market with enough clout to move the market. Though the inflow of FIIs is crucial for an emerging economy like India. they have often been blamed for large reversal of capital from countries in times of crisis leading to herding behavior in other investors, particularly, domestic institutional investors (DIIs). As a result, these flows tend to make financial markets vulnerable and may end up landing the country in a crisis (Rakshit, 2006). To neutralize the destabilizing nature of FII trading, it is critical to have powerful DIIs that would provide a cushion against this adverse effect of FIIs. However, this function of DIIs depends on the relationship between FIIs and DIIs. Therefore, the present paper attempts to understand the relationship between foreign institutional investments (FIIs) and domestic institutional investors (DIIs) in India, using the most recent high frequency data. Employing correlation, Granger Causality and VAR technique, the study finds that FIIs and DIIs follow a different trading strategy in the market. Importantly, the study shows that DIIs negatively affect the FII flows, whereas they are not affected by the FII flows. This suggests that DIIs indeed act as a cushion against the significant withdrawal by FIIs, thereby maintaining stability in the stock market. [ABSTRACT FROM AUTHOR]

The purpose of this paper is to estimate the effectiveness of technical trading strategies and examine the extent to which trading profitability using technical analysis indicators explains the 'risk premium' or 'risk compensation' for investing in equity markets as against assets that are relatively risk-free using multiple regression analysis. The technical indicators selected for the analysis are Bollinger bands (volatility indicator), moving average (trend indicator), Relative Strength Index (momentum indicator), and Elliot wave theory (mass psychology indicator). The paper finds evidence for risk premium being explained by technical indicators. The technical trading strategy based on trend, momentum, volatility indicators, including the Elliot wave theory has the ability to explain the excess return of a stock. The findings have important implications for traders and practitioners. A positive relationship implies that technical indicators can be explored while evaluating strategies for investment. So, it suggests that traders, retail investors and fund managers, while evaluating portfolios, can rely on technical indicators-based trading strategies other than fundamental analysis. [ABSTRACT FROM AUTHOR]

The purpose of this study is to explore the nature of the association and the possible existence of a shortrun and long-run relationship between the stock-market indices of South Africa, India and the USA. The idea behind this combination is to know how the stock markets of these three prominent countries are related to each other. The study employs monthly data from the stock indices, namely JALSH (South Africa), NIFTY (India) and NASDAQ (USA) composite from April 2004 to March 2014. After testing for the normality of the data distribution and the stationarity of the time series data, this paper discovered a strong correlation between the stock market indices of South Africa, India and the USA. The correlation among the stock markets is high, particularly between South Africa and India. In addition, the paper attempts to discover the presence of any predictive ability among these markets by applying the Granger causality test. The result indicates that the NASDAQ index has no predictive ability as far as the JALSH and NIFTY indices are concerned. However, the JALSH index has a predictive ability on the NIFTY index. After testing the Granger cause relationship, the existence of a long-run and short-run relationship is tested. The long-run relationships among the stock market indices are analysed, following the Johansen and Juselius multivariate cointegration approach. The result suggests the absence of a long-run relationship among the three stock market indices. Short-run relationship is investigated with the Vector Autoregression (VAR) model, and the outcome obtained shows that both the USA and the South African stock markets are predicted only by their own past lags. However, the Indian stock market is seen to be a function of its own past lags and the past lags of the South African stock index. [ABSTRACT FROM AUTHOR]

Purpose – This paper aims to investigate whether the use of conditional and unconditional Fama and French (1993) three-factor and Carhart (1997) four-factor asset pricing models (APMs) captures the role of asset pricing anomalies in the context of emerging stock market like India. Design/methodology/approach – The first step time series regression approach has been used to drive the risk-adjusted returns of individual securities. For examining the predictability of firm characteristics or asset pricing anomalies on the risk-adjusted returns of individual securities, the panel data estimation technique has been used. Findings – Fama and French (1993) three-factor and Carhart (1997) four-factor model in their unconditional specifications capture the impact of book-to-market price and liquidity effects completely. When alternative APMs in their conditional specifications are tested, the importance of medium- and long-term momentum effects has been captured to a greater extent. The size, market leverage and short-term momentum effects still persist even in the case of alternative unconditional and conditional APMs. Research limitations/implications – The empirical analysis does not extend for different market scenarios like high and low volatile market or good and bad macroeconomic environment. Because of the constraint of data availability, the authors could not include certain important anomalies like net operating assets, change in gross profit margin, external equity and debt financing and idiosyncratic risk. Practical implications – Although the active investment approach in stock market shares a common ground of semi-strong form of market efficiency hypothesis which also supports the presence of asset pricing anomalies, less empirical evidence has been explored in this regard to support or repute such belief of practitioners. Our empirical findings make an attempt in this regard to suggest certain anomaly-based trading strategy that can be followed for active portfolio management. Originality/value – From an emerging market perspective, this paper provides out-of-sample empirical evidence toward the use of conditional Fama and French three-factor and Carhart four-factor APMs for the complete explanation of market anomalies. This approach retains its importance with respect to the comprehensiveness of analysis considering alternative APMs for capturing unique effects of market anomalies. [ABSTRACT FROM AUTHOR]

Purpose – The purpose of this paper is to empirically examine the performance of socially responsible stocks portfolio vis-à-vis portfolios of general companies in the Indian stock market. Design/methodology/approach – The study has used absolute rate of return as well as various risk adjusted measures like Sharpe ratio, Treynor ratio, Jensen’s α, Information ratio, Fama’s decomposition measure and dummy regression model to evaluate the performance of various portfolios. Findings – Socially responsible stocks portfolios are found to have lower relative risk despite having higher systematic risk. Further the authors find that during crisis and post-crisis period, socially responsible stocks portfolio generated significantly higher return as compared to other portfolios in the Indian stock market. Environmental, social and governance (ESG) Index and GREENEX Index provided positive net selectivity returns in all the three sub periods, especially during crisis period. GREENEX and ESG outperformed NIFTY and SENSEX even on net selectivity basis. This indicates that the compromise made with respect to diversification by investing in socially responsible stocks portfolios was well rewarded in terms of higher returns in Indian context. Practical implications – The findings lend support to the case of socially responsible investing (SRI) in India and are relevant for companies, regulators, policy makers and investors at large. Mutual funds and other investment funds should launch schemes which invest in socially responsible stocks so as to provide the benefits of SRI even to small investors in India. Originality/value – The study contributes to the related literature by analysing the performance of socially responsible stocks portfolios in Indian stock market which is one of the emerging markets. [ABSTRACT FROM AUTHOR]

Stock markets around the world experienced a massive collapse during the first wave of COVID-19. Roughly in the month of January 2021, the second wave of COVID-19 struck in India, reaching its peak in May, and by the end of May, the active cases started to decline. A third wave is again predicted by the end of 2021, and as such, the COVID-19 pandemic seems to have become a periodic phenomenon over the last couple of years. Therefore, the study of the behavior of the stock market as well as that of the investors becomes very interesting and crucial in this highly volatile and vulnerable market trend. Motivated by these facts, in the present paper, the researcher develops a model for portfolio management, using curve-fitting techniques and shows that this model can encounter the market volatility efficiently in the context of the Indian stock market. The portfolio is designed based on data taken from the National Stock Exchange (NSE), India, during 1 January 2020 to 31 December 2020. The performance of the portfolio in real-life situation during 1 January 2021 to 21 May 2021 is examined, assuming investments are made according to the proposed model. [ABSTRACT FROM AUTHOR]

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The epidemic of COVID-19 has impacted the entire global stock market in an unforeseen manner. Due to the uncertainties that occurred in the global economy; the financial market of India also responded to the pandemic and experienced significant volatility. This study empirically explores the effect of COVID-19 on the Indian stock market, considering the COVID-19 scenario. This research explores, employing the regular closing prices of indices like Nifty, the volatility of these indices over the period from 3 September 2019 to 10 July 2020. In addition, the report sought to make a quantitative review of the stock market return in the pre-COVID-19 and COVID-19 situations. The volatility of the indexes is captured using the GARCH model. The results indicate that the Indian stock market has encountered uncertainty during the pandemic era. When c the findings are compared with those of the pre-COVID-19 phase, the author found that before the COVID-19 phase, the returns were higher than during COVID-19.During the first lockout period, from 24 March to 6 April, the returns of both stock markets touched the bottom line. [ABSTRACT FROM AUTHOR]

Dividend policy contributes significantly to the company's performance as well as its survival and growth. Formulation of such policy is a challenging task to the firm as it conveys positive signal about the company to its investors. In India, the impact of dividend announcement has been examined extensively, but its impact on the service sector companies is relatively unobserved. The purpose of this study is to conduct a detailed and systematic review of dividend announcement and analyze the effect of dividend announcement on stock prices of the service providing companies listed on National Stock Exchange of India. The study employs the event study methodology with an event window of 31 days. The study is carried out for a period ranging from January 1, 2018 to December 31, 2019. The findings of the study revealed that the stock prices react towards the dividend announcement event of the companies and thus there is a significant impact of dividend announcement on the stock prices during the event window which led to generation of abnormal returns. [ABSTRACT FROM AUTHOR]