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

This paper re-examines the issue of mean-reversion in Indian equity market. Unlike earlier studies, the present paper carries out multiple structural breaks test and uses new and disaggregated data set. The study found significant structural breaks in the returns series of all selected indices and thus provide evidence of mean-reverting tendency in the Indian stock returns. This implies violation of efficient market hypothesis in India. The endogenously searched significant structural breaks occurred in the years 2000, 2003, 2006, 2007 and 2008 for most of the indices indicating respectively rise in international oil prices, global recession, erratic fluctuations in exchange rates, and sub-prime crisis followed by global meltdown. The evidences of structural breaks and mean-reverting tendency indicate possibility to predict the future returns. Further, it is observed that small indices with less liquidity and lower market capitalization are more vulnerable to external events than the liquid indices. The results call for appropriate policy and regulatory measures particularly external shocks to improve the efficiency of the market. [ABSTRACT FROM AUTHOR]

The permission to Foreign Institutional Investors (FIIs) in 1992, to invest in Indian stock market was the first major step of government towards the implication of the globalization policies regarding Indian financial system. Since then, FIIs have been contributing significantly and emerged as one of the main sources of equity capital flows to Indian stock markets. Present paper provides a glimpse of the latest investment trends of FIIs during year 2008-09 and 2009-10 (so far). The paper also provides an overview of FIIs related regulatory environment and recent policy changes to attract outgoing FIIs capital from Indian stock markets after global financial crisis. [ABSTRACT FROM AUTHOR]

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

This paper examines the random walk hypothesis in the emerging Indian stock market using daily data on individual stocks. The statistical evidence in this paper rejects the random walk hypothesis. The results suggest that daily returns earned by individual stocks and by an equally weighted portfolio show significant non–linear dependence and persistent volatility effects. The non–linear dependence takes the form of ARCH–type conditional heteroskedasticity and does not appear to be caused by nonstationarity of underlying economic variables. Though conditional volatility is time varying, it does not explain expected returns. [ABSTRACT FROM AUTHOR]

Foreign institutional investors (FIIs) play a vital role in the stock market of a country and Indian stock markets are no exception to this. FIIs bring liquidity, buoyancy and growth in stock markets but at the same time they also enhance the level of volatility and instability. Over past few years the stock markets in India have shown an impressive growth. The stock market indices are making new strides and increasing number of shares are making new highs. Following India's impressive growth story, increasing corporate profitability and competitiveness, and better integration with the world economy, the investment by foreign institutional investors (FIIs) in the stock markets of India has gone up tremendously. Investment decisions of foreign institutional investors in India are affected by so many factors. Investment behavior of domestic institutional investors (DIIs) is one such important factor. This research paper is an attempt to analyze the impact of domestic institutional investors on the investment decision of foreign institutional investors in India. In other words, this study explores whether Domestic Institutional Investors affect the investment decisions of Foreign Institutional Investors in India or not. For this purpose, researchers have used regression analysis. Mutual fund investments have been taken as proxy for investment by DIIs. Investment patterns of FIIs and DIIs have been divided into eight variables i.e. FII Equity Purchases, FII Equity Sales, FII Debt Purchases, FII Debt Sales, MF Equity Purchases, MF Equity Sales, MF Debt Purchases and MF Debt Sales respectively. The study reveals that investment decisions of DIIs affect the investment decisions of FIIs. [ABSTRACT FROM AUTHOR]

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

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

Purpose: Informed trading has a strong liaison with the options market, as the risk in the options market is limited to the premium, leverage is high and the transaction cost is less. The purpose of this paper is to analyze the effect of options availability on the informed trading, occurring well before the merger and acquisition (M&A) announcements along with the crisis period and regulation effect. Design/methodology/approach: The study employs event study methodology for 864 M&A announcements done by Indian acquiring companies in order to compute the abnormal returns and also examine the implied volatility and volume of call, putting options for the robustness check. Findings: The results indicate that option listing status increases the possibility and magnitude of informed trading in the M&As, which gets more/less pronounced during and immediately after the crisis period when new regulatory reforms are introduced. Originality/value: This study contributes to the efficient market theory and affirms that stock market of acquiring companies in India follow a semi-strong form of market efficiency around M&A announcements in the presence of options market. [ABSTRACT FROM AUTHOR]

Purpose: The purpose of this paper is to study the impact of ownership structure and corporate governance on dividend policy in emerging markets, like India. The study also analyses the moderation effects of board independence between ownership and dividend payout. Design/methodology/approach: The data set of 1,546 Indian firms over the period of 2006-2017 has been used in this study. Tobit and logistic regression methods has been used. The data used in this study are collected from the Centre for Monitoring Indian Economy (CMIE) Prowess database. The sample firms are listed on Bombay Stock Exchange (BSE) and National Stock Exchange (NSE). Findings: First, the study finds a significant positive influence of corporate governance on the decision to pay dividend and is an important determinant of the payout decision. Second, the study finds a significant negative relationship of family ownership with dividend payout decisions which indicates that family firms pay lower dividend. Finally, the result from the interaction effect of board independence with family ownership has significant positive influence on dividend policy. Originality/value: This is one of the first attempt to show that there is an interaction between independent board and ownership structure. It shows that more independent and non-executive directors in the board of family controlled firms are likely to pay more dividends. [ABSTRACT FROM AUTHOR]

In this paper, we explore the problem of establishing a network among the stocks of a market at high frequency level and give an application to program trading. Our work uses high frequency data from the National Stock Exchange, India, for the year 2014. To begin, we analyse the spectrum of the correlation matrix to establish the presence of linear relations amongst the stock returns. A comparison of correlations with pairwise mutual information shows the further existence of non-linear relations which are not captured by correlation. We also see that the non-linear relations are more pronounced at the high frequency level in comparison to the daily returns used in earlier work. We provide two applications of this approach. First, we construct minimal spanning trees for the stock network based on mutual information and study their topology. The year 2014 saw the conduct of general elections in India and the data allows us to explore their impact on aspects of the network, such as the scale-free property and sectorial clusters. Second, having established the presence of non-linear relations, we would like to be able to exploit them. Previous authors have suggested that peripheral stocks in the network would make good proxies for the Markowitz portfolio but with a much smaller number of stocks. We show that peripheral stocks selected using mutual information perform significantly better than ones selected using correlation. [ABSTRACT FROM AUTHOR]

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This paper attempts to explore the possible impact of corporate announcement such as dividend on stock prices in Indian stock market. To find the empirical evidences of dividend announcement 20 listed companies were selected based on the market trading volumes and had announced in over the period January 2015 through December 2015.A standard event study methodology is adopted in this paper surrounding sixty days of the announcement dates. Abnormal Returns of the stock are calculated by using Capital Asset Pricing Model (CAPM). The results of t-test for means have shown that there are significant differences on share prices after announcement except Bank of Baroda. The Average Abnormal Returns (AAR) and Cumulative Average Abnormal Return (CAAR) of the event days are not equal to zero, though investors do not gain significant returns in pre or announcement day but gain in post announcement period as there are positive incidences of abnormal return noticed around two days post announcement for most of the companies having positive dividend announcement and a few companies have post negative returns. An investor can take the marginal returns by investing in companies with dividend event but can't expect speculative returns. [ABSTRACT FROM AUTHOR]

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

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

This paper presents an empirical analysis of the relationship between trading volume and stock return volatility in the Indian stock market. The initial analysis focus upon the volume-price change relationship. The relationship between price change and trading volume, irrespective of the direction of the price change, is significant across three alternative measures of daily trading volume for the aggregate market and individual stocks. Furthermore, evidence is found supporting the hypothesis that the volume-price change slope for negative returns is smaller than the slope for positive returns, thereby supporting an asymmetric relationship. Trading volume is then examined in the context of conditional volatility using a GARCH framework. The findings show a reduction in the significance and magnitude of the conditional variance equation coefficients, and a reduction in the persistence of variance when trading volume is added as an exogenous variable. Hence, there is prima facie evidence that if trading volume proxies for the rate of information arrival, then ARCH effects and much of the persistence in variance can be explained. [ABSTRACT FROM AUTHOR]

In this paper, a comparative study has been done on the returns of four equity trading strategies viz. Momentum Strategy, Contrarian Strategy, Value Stocks and Growth stocks during recent recovery of the Indian equity market. The main finding is that the returns from Value Stocks have been highest amongst these four. In Finance literature, the returns from pre-defined rules of making investments in equity have been an interesting topic for research. Returns from different trading rules have been an important part of the study of finance literature. Although The EMH ( Efficient Market Hypothesis) neglects any unusual returns from trading strategies which are based on the past information related to stock prices and financials, many researchers have proved otherwise and shown abnormal returns by implementing simple trading rules. [ABSTRACT FROM AUTHOR]

Purpose – Indian initial public offering (IPO) market has witnessed huge fluctuations in the post-Securities Exchange Board of India era. Although several new issues have entered the market during this period, only a few of them have managed to survive well. A lot of researchers have examined the aftermarket performance of such IPOs; however the phenomenon of IPO’s survival has remained a neglected issue in India. Hence, the need arises to investigate the factors behind the success and failure of new issues in the market. The purpose of this paper is to critically analyze the journey of IPOs in terms of their survival in the aftermarket. Design/methodology/approach – This study examines the survival profile of 3,374 IPOs in India from 1992 to 2011 across the issue, market and company-specific variables using “Logistic Regression” and “Survival Analysis” methodologies. Findings – The study reveals that IPOs of older firms, backed by reputed lead managers and with high demand are more likely to survive longer, whereas IPOs with high initial returns, higher risk and more delay in listing are less likely to survive longer in the market. Further, it has been found that increase in the size of IPOs accelerates their survival duration whereas high market level as well as high IPO activity decelerates such duration on the exchange. The survival probability and the duration of IPOs are negatively affected in case of agriculture, administration and support activities sectors, whereas positively affected in case of mining, construction, wholesale and retail, accommodation, information and communication, finance and insurance, and others sectors. Practical implications – The findings of this study have fruitful implication for the issuers, investors and the regulators as they can evaluate the future prospects of IPOs and can take the rational decisions accordingly. Originality/value – The study provides new evidences of the influence of certain factors on the subsequent survival of newly listed issues which has not been extensively explored in India. [ABSTRACT FROM AUTHOR]

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

This paper analyzes the impact of Union budget on NSE's CNX NIFTY Index. The impact is measured in terms of daily average returns and volatility over the short term, medium term and long term period in pre and post budget period. The data has been collected for five budget periods from 2011 to 2015. The statistical tools used are paired T-test and F-test. Paired T-test is conducted on average returns and F-test is conducted on variances over the period i.e., 3, 10 and 30 days in pre and post budget period. The maximum impact of budget is seen in short term then it gradually decreases in medium term and finally diminishes in the long term. The implication of this paper is that the investor should fear from investing in the stock market around the budget period. [ABSTRACT FROM AUTHOR]

Purpose – This paper aims to investigate factors which drive firms to disclose whistleblowing policies in one of the emerging markets, i.e. India. Design/methodology/approach – A sample of 200 Bombay Stock Exchange-listed Indian firms is analyzed using Tobit regression. Findings – Promoter shareholding, proportion of independent directors and specific positions like chief ethical officer influence disclosure of whistleblowing policies. Originality/value – This paper presents the first empirical study where principal-principal conflict theory is extended to explain drivers of whistleblowing policy disclosure and, hence, brings new insights to the literature on whistleblowing policy disclosure. [ABSTRACT FROM AUTHOR]

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

Indian capital market has evolved much in the last two decades. In this research paper it is explored, whether certain financial parameters differ significantly with respect to IPO Grade. The Analysis showed, that four parameters namely, Current Ratio, Debt to Equity Ratio, Return on Assets and Return on Equity of the IPO bound companies differ significantly with IPO Grade. This study is done on IPOs in the context of Indian capital market, in the time period of 2007 to 2013. [ABSTRACT FROM AUTHOR]

In this paper, we experiment if returns on micro stocks have any pattern showing significant mean excess returns and we also test whether stock returns are better captured by one factor CAPM and two factor model. Empirical results show that there is a strong size (Micro stocks) effect in stock returns. The results also reveal that size effect is pervasive in all alternative size measures such as total assets and enterprise value. Further, we observe that two factor model is better than CAPM in explaining the stock returns. [ABSTRACT FROM AUTHOR]

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

Initial public offerings (IPOs) have a special place in finance, probably because they are the first opportunity to value a number of financial assets of company by variousparticipants of capital market. In India, initial public offerings (IPOs) have attracted many investors. Because companies coming out with IPOs are new and have no historical data to analyze. The success of IPO is critical for stockholders, companies, and the economy. Objectives: 1. To Study different IPOs during 2020-22 2. To analyze performance of Indian IPOs in short Run time frame. Research Approach The work in this research paper is carried out on the basis of empirical evidence. The study encompasses 33 IPOs which got listed on NSE of India for the period between 2020-2022. Thework is based on data collected from sources which are secondary in nature. The data required for research work is taken from website of National stock Exchange of India in the form of price quotes of shares and Nifty values. Themarket adjusted short term performance model, wealth relative index model along with other statistical measures is used for the study. Scope of work- The research work is restricted to companies which came out with public issues during the above specified period and got listed on NSE of India. Period -Year 2020-2022 Limitations of Study-The study covers external factors which affects the IPO performance. Originality-This research work is original and examines stock's listing profit or loss and its performance after the listing on recognized stock exchange. [ABSTRACT FROM AUTHOR]

Volatility forecasting is an important area of research in financial markets and immense effort has been expended in improving volatility models since better forecasts translate themselves into better pricing of options and better risk management. In this direction, the present paper attempts to model and forecast the volatility (conditional variance) of the S&P CNX Nifty index returns of Indian stock market, using daily data for the period from January 1, 1996 to January 29, 2010. The forecasting models that are considered in this study range from the simple GARCH(1, 1) model to relatively complex GARCH models, including the Exponential GARCH(1, 1) and Threshold GARCH(1, 1) models. Based on out-of-sample forecasts and a majority of evaluation measures, the results show that the asymmetric GARCH models do perform better in forecasting conditional variance of the Nifty returns rather than the symmetric GARCH model, confirming the presence of leverage effect. The findings are consistent with those of Banerjee and Sarkar (2006) that relatively asymmetric GARCH models are superior in forecasting the conditional variance of Indian stock market returns rather than the parsimonious symmetric GARCH models. [ABSTRACT FROM AUTHOR]

Purpose - The purpose of this paper is to survey managers of dividend-paying firms listed on the National Stock Exchange (NSE) in India to learn their views about the factors influencing dividend policy, dividend issues, and explanations for paying cash dividends and repurchasing shares. The authors compare the results to other dividend surveys based on firms in Indonesia, Canada, and the USA. Design/methodology/approach - The authors use questionnaire to gather primary data from a sample of 500 firms listed on the NSE. Findings - The most important determinants of dividends involve earnings (the stability of earnings as well as the level of current and expected future earnings) and the pattern of past dividends. Comparing the overall rankings of the 21 factors by respondents from Indian firms to those of Indonesian, Canadian, and US firms reveals statistically significant correlations. Respondents also perceive that dividend policy affects firm value. Respondents also view maintaining an uninterrupted record of dividends as important. The most highly supported explanations for paying cash dividends concern signaling, the firm life cycle, and catering. Although none of the theories of repurchasing shares is dominant, respondents provide little support for the agency explanation. Research limitations/implications - Although the tests suggest that the sample does not suffer from non-response bias, the findings should be viewed as suggestive rather than definitive because of the relatively low response rate. Originality/value - The paper presents new evidence about dividend policy of Indian firms. To the knowledge, this is the most comprehensive survey of Indian firms to date that captures managerial perceptions on both cash dividends and share repurchases. [ABSTRACT FROM AUTHOR]

Purpose - The purpose of this paper is to empirically investigate whether call auctions which batch orders for simultaneous execution, may restrain stock market volatility. Design/methodology/approach - The authors use high-frequency data to investigate volatility changes following the suspension of opening and closing call auctions on the National Stock Exchange (NSE) of India in 1999. The authors evaluate this issue by considering both modelled and realised volatility. Using a GARCH approach the authors model intra-day volatility for the trading days preceding and succeeding the auction suspension. The authors also scrutinise return distributions to look for volatility changes during different parts of the day. Findings - When interpreted collectively, the empirical results suggest that the auction suspension was followed by reduced volatility particularly in the middle of the trading day and at the closing. Practical implications - Given that auctions are often incorporated in trading systems with the aim of curtailing volatility, the main conclusion, that the auction suspension was followed by lower volatility, has important practical inferences. Auctions cannot be automatically relied on to reduce volatility. The intricacies of the auction protocol and their interaction with ancillary market microstructure features may impact on auction efficacy. Originality/value - The paper adopts a novel approach towards assessing the effectiveness of auctions by considering an unusual occurrence of an auction suspension. The empirical setting enables a clear comparison of the respective regimes since these periods do not materially differ in other subsidiary aspects. This is a noteworthy factor, since the empirical contexts considered in prior studies, often feature several simultaneous changes. [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]

Retail participation in Indian markets has remained at very low levels due to the perception about market risk. This academic research paper to evaluate and understand the level of risk involved in Indian equity market and to make retail investing community understand its impact on returns when invested for a long tenure. Paper is not intended to motivate retail investor to take more risk in stock market but is about informing and educating with the help of various statistical and financial tools, to understand how the negative impact of volatility gets reduced over a period of time. Retail investment decisions are often based on market noise, ad-hoc and short term in nature. Negative impact due to high volatility can not only result in losses for small investor but it takes away their courage and motivation to invest further. Study is to understand the necessity to switch to the decisions which are economic fundamental focused and long term in nature, so as the fruits of economic growth are more evenly distributed and are enjoyed by small and retail investors. [ABSTRACT FROM AUTHOR]

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

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

The paper has discussed momentum in stock index and empirically examined various factors contributing in generation of momentum. The relative importance of momentum as a factor in the CAPM asset pricing model is also discussed. Momentum return is estimated from the National Stock Exchange of India. The empirical findings of the paper indicate inverse relationship of Price-Earnings Ratio, Dividend Yield, Index of Industrial Production and Terms Spread with momentum returns. Using Vector Autoregressive (VAR) methodology, it is also observed that momentum is an inherent factor in the pricing of capital asset. The methodology also used the Impulse Response Function (IRF) to articulate the response of momentum to any change in the macroeconomic and firm-specific factors. Along with Price-Earnings Ratio, Price-Book Ratio and Dividend Yield, Momentum Payoffs is added as a fourth factor to test the Fama-French unconditional CAPM. The present study included momentum as an additional factor to empirically test the Chordia and Shivakumar (2002) 4-Factor model in the Indian context. The study also estimated the ARCH effect to understand the "Momentum Clustering" in the obtained momentum series. [ABSTRACT FROM AUTHOR]

This paper applies multi-criteria decision making algorithms to arrive at the financial health of commercial banks in India, both in the public sector and the private sector. The various performance parameters considered arise out of the Basel guidelines, and we feel that our study will facilitate the regulator in monitoring the performance of banks over time. We also investigate whether the stock market has taken cognizance of these regulatory variables and valued banks accordingly. Our results indicate that while relative performance of private sector banks has not undergone much change, some public sector banks have improved over time. The results also reveal that the stock market does not attach much importance to these regulatory variables in the valuation of banks. [ABSTRACT FROM AUTHOR]

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

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

This paper examines both the linear and nonlinear causal relationship between crude oil price changes and stock market returns in India. In particular, the study applies alternative unit root tests with and without structural break to ascertain the shifts in crude oil price changes and stock market returns for the period 1991:01 to 2013:08. The linear and nonlinear causality tests are conducted using the standard Vector Autoregression (VAR) and the Diks and Panchenko (2006) frameworks respectively. The results from the unit root tests indicate that crude oil price changes and stock market returns are stationary. The results from the standard VAR model provide evidence of unidirectional causality from stock returns to crude oil price changes. The results of the Diks-Panchenko causality test, however, support nonlinear bidirectional causality between the two variables. [ABSTRACT FROM AUTHOR]

Indian capital market regulator, Security Exchange Board of India(SEBI) introduced many path breaking rules and regulations in the Indian equity market in last two decades. Book building of Initial Public Offers (IPO) and IPO Grading are two such things. In the Indian context, book built IPOs, provide different quotas for different types of investors. Thus, it is possible to capture the appetite of the retail as well as the institutional investors, separately. Gain in any script at the close of first day's trading compared its issue price, adjusted for market movement is called under pricing. In this research paper, it is investigated, whether under pricing in any company's IPO has any relationship with the retail and also the institutional investors' subscription level. All the IPOs in the time frame, when IPO Grading was mandatory, are chosen for the study. The analysis shows that only retail investor's subscription level affect under pricing. [ABSTRACT FROM AUTHOR]

The aim of the research paper is to analyse the impact of crude oil price and exchange rate volatility affect the performance of stock return in India. Auto Regressive Distributed Lag Bound Test Model helps to analyse the dynamic relationship between oil prices, exchange rate and stock market return in India during 1995 to 2018.The estimated results suggest that there exist along run co-integrationor relationship between crude oil price, exchange rate and Indian stock market return. The impact of crude oil rice and exchange rate volatility significantly negative contribution to the performance of Indian stock market. The Error Correction Model (ECM) provides a framework for establishing links between the short-run and long-run approaches to econometric modelling. The equilibrium correlation coefficient is estimated -0.85 is highly significant at one percent. This result confirm the existence of bound test. The co-efficient of ECM is highly significant with negative sign, which confirms the result of Bound Test for co-integration. In short the speed of adjustment towards long run equilibrium at the rate of 85 percent monthly. [ABSTRACT FROM AUTHOR]

Purpose: Previous empirical evidence scrutinizing the impact of the institutional ownership on the firm performance has produced inconclusive results and mostly concentrated in the developed market. Hence, the purpose of this paper is to assess the impact of the ownership engagement by pressure-resistant, pressure-sensitive and foreign institutions on the corporate financial performance in a developing market like India post US financial crisis. Design/methodology/approach: This study considers a panel data set of 361 Indian listed firms from National Stock Exchange (NSE) 500 index for a period of eight years from financial year (FY) 2008-2009 to FY 2015-2016. The panel data regression (pooled ordinary least square [OLS], fixed-effect [FE] and random-effect [RE]) and simultaneous equation modeling are used by considering the institutional ownership engagement as both exogenous and endogenous variable. Findings: The test results show that institutional ownership engagement by the pressure-resistant and foreign institution have a robust and positive effect, while ownership engagement by the pressure sensitive institution has an adverse impact on the financial performance of the Indian listed firms. Research limitations/implications: The findings will boost the monitoring activities of the institutional owners in the developing markets. The investment from pressure-resistant and foreign institutions needs to be augmented in Indian firms to improvise their governance functions and performance. Originality/value: This research will enrich the governance literature of the developing economies as the studies on institutional ownership engagement are limited in the developing world. Further, this study adds value by capturing two emerging institutional ownership category such as the pressure-resistant and pressure-sensitive, which are still untouched in the Indian context. Next, the consideration of the institutional ownership as both exogenous and endogenous is also novel to the Indian literature. [ABSTRACT FROM AUTHOR]

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

The study examines the approach followed by financial analysts for the appraisal of equity shares in India. The Primary focus of the paper is on the usefulness of fundamental analysis and technical analysis. A comprehensive questionnaire instrument was designed based on the unstructured interviews of five financial advisors in the first round. A survey was then conducted on a group of 56 financial analysts. It is observed that Fundamental analysis is a more preferred approach to equity appraisal compared to technical analysis. The analysts also believe that Indian markets are weak-form efficient, which can be one possible reason for the preference for fundamental analysis. The financial analysts in India mostly use the ratio analysis and P/E ratio as a tool for stock valuation and consider technical analysis as a risky tool to be mostly used by the day traders and short-term investors. Investors in any stock market do not operate in isolation and mostly rely on the information and reports provided by the financial analysts. In this context, the study is of great importance as the study provides the perspective of financial analysts. However, the relatively small sample size is a limitation of the study. [ABSTRACT FROM AUTHOR]

Purpose The purpose of this paper is to examine the behavior of the stock market returns in the different days of the week and different months of the year in accordance with the Islamic calendar. Further, the study estimates the risk-adjusted returns to test the performance of the indices during the Ramadan and non-Ramadan days. Finally, the study investigates the impact of Ramadan on the returns and the volatility of the stock market indices in India.Design/methodology/approach Initially, the study applies the Ordinary Least Square method to test the day-of-the-week and the month-of-the-year effect of the common and Shariah indices. Next, the study employs the risk-adjusted measurement to examine the underperformance and over-performance of the indices for both the periods. Finally, the study estimates the GARCH (1,1) and GJR-GARCH (1,1) models to observe the impact of Ramadan on the returns and the volatility of the Shariah indices in India.Findings The study finds that an average return of the indices during the Ramadan days are higher than non-Ramadan days. Further, the average returns of the Shariah indices are significantly higher on Wednesday than other days of the week. In addition, the highest and significant mean returns and mean risk-adjusted returns of the indices during the Ramadan days are observed. Finally, the study finds an evidence of the Ramadan effect on the returns and volatility of the indices in India.Originality/value The study observes evidence that the Ramadan effect influences the Shariah indices, but not the common indices in the stock market of the non-Muslim countries. It indicates that the Ramadan creates the positive mood and emotions in the investors buying and selling activities. The study suggests that investors can buy the shares before Ramadan period and sell them during the Ramadan days to get an abnormal return in the emerging markets. [ABSTRACT FROM AUTHOR]

Purpose: The study seeks to capture the small-cap value-premia and to examine the risk-return trade-off in the small cap space in the Indian stock market. Research Design/Methodology: Based on the monthly-adjusted closing prices of 26 small-cap stocks, constituting the NSE Nifty Small Cap 50, alpha stock return and underlying volatilities were captured in this study using the simple linear regression analysis. Returns variability and volatilities were further used to examine the underlying ex-post risk-reward trade-off in terms of the Sharpe, Treynor and Jensen measures during the period of April 2005 - March 2018. Findings: The present study was unable to document pervasiveness of much-talked-about small-size value premia in the Indian market. The study has revealed that the risk-reward trade-off drift in the small cap market indices as the small-cap value was noticed in the bottom of the small-cap universe. This drift was explained by 'big money chasing smaller universe of quality small-cap stocks' phenomenon. Originality/value: This study adds value to the personal finance and investment literature by proposing that the investors should focus on the good quality micro cap stock selection over allocating the resources to the chased portfolios of small-cap stocks in their quest for wealth maximisation. Policy Implications: The findings of the study show that the risk-bearing is rewarded more by micro-stock selection, instead of the market forecasting in the emerging markets. This is what makes this study curious! Limitations: Study outcomes reported in this paper are based on a smaller universe (sample) for the April 2005 - March 2018 period. This universe missed the new investible opportunities from digital space as such stocks still are not listed on the bourses thus far in India. [ABSTRACT FROM AUTHOR]

This research is an extension of our previous work [Debnath and Srivastava (2021)]. In that paper, we designed a portfolio based on data taken from National Stock Exchange (NSE), India, during 1 January 2020 to 31 December 2020 and performance of that portfolio in real-life situation was examined during 1 January 2021 to 21 May 2021 assuming investments were made according to the proposed model. We observed that our proposed portfolio was efficient enough in that period to beat the performance of most of the in-demand mutual funds. It was also conjectured that this portfolio would be sustainable post the second wave of COVID-19 in India. In the present paper, our aim is to validate this conjecture. Here, we examine the performance of this portfolio during the period 1 January 2021 to 18 October 2021 using the same previous data set. We also investigate the performance of this portfolio if it was blindly adopted without applying the stock selection methodology during 1 January 2019 to 31 December 2019. Using paired t-test between the difference of means of the performances in the year 2019 and the year 2021, we show that the performance in 2021 was significantly enhanced because of selecting the stocks applying our proposed model. [ABSTRACT FROM AUTHOR]

The Markowitz portfolio optimization model, popularly known as the Mean-Variance model, assumes that stockreturns follow normal distribution. But when stock returns do not follow normal distribution, this model wouldbe inadequate as it would prescribe sub-optimal portfolios. Stock market literature often deliberates that stock returns are non-normal. In such context the Markowitz model would not be sufficient to estimate the portfolio risks. The purpose of this paper is to expand the original Markowitz portfolio theory (mean-variance) via adding the higher order moments like skewness (third moment about the mean) and kurtosis (fourth moment about the mean) in the return characteristics. The research paper investigates the impact of including higher moments using multi-objective programming model for portfolio stock selection and optimization. The empirical results indicate that the inclusion of higher moments had a considerable impact in estimating the returns behavior of portfolios. The portfolios optimized using all the four moments, generated higher returns for the given level of risk in comparison to the returns of the Markowitz model during the study period 2000-2011. The results of this study would be immensely useful to fund managers, portfolio managers and investors as it would help them in understanding the Indian stock market behavior better and also in selecting alternative portfolio selection models. [ABSTRACT FROM AUTHOR]

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