Download or read book Empirical Analysis of the Causality Between Indian and U S Stock Markets Conditional Volatility written by Rakesh Kumar and published by . This book was released on 2016 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is an attempt to investigate the dynamic relationship between U.S. and Indian stock markets through the conditional volatility of two stock markets, during the 1995-2007 period, using the monthly data of BSE listed BSE 100 and NYSE listed S & P 500 indices. The research methodology employed includes testing of stationarity with Dickey Fuller test, the use of two stages GARCH (1,1) model wherein in first stage conditional volatility of both stock markets is estimated, and then it is used as exogenous variable to estimate further conditional volatility of both stock markets. The study also employs linear regression model to test the relationship between conditional volatilities of two markets, and finally Granger causality test to find out the causal relationship between conditional volatilities of two stock markets. The study confirms the interdependency of Indian stock market on U.S stock market by reporting strong relationship between conditional volatilities of two markets. The study highlights the interdependency among the stock markets in question and facilitates the investors for diversification of funds. In fact, in the age of globalization, stock markets integration has become a matter of great importance for fund managers and investors, which facilitate to scale down the portfolio risk through diversification of funds across the stock markets.

Download or read book An Empirical Study on the Dynamic Relationship Between Oil Prices and Indian Stock Market written by Tarak Nath Sahu and published by . This book was released on 2017 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Purpose- This study aims to investigate the dynamic relationships between oil price shocks and Indian stock market.Design/methodology/approach- The study used daily data for the period starting from January 2001 to March 2013. In this study, Johansen's cointegration test, vector error correction model (VECM), Granger causality test, impulse response functions (IRFs) and variance decompositions (VDCs) test have been applied to exhibit the long-run and short-run relationship between them.Findings- The cointegration result indicates the existence of long-term relationship. Further, the error correction term of VECM shows a long-run causality moves from Indian stock market to oil price but not the vice versa. The results of the Granger causality test under the VECM framework confirm that no short-run causality between the variables exists. The VDCs analysis revealed that the Indian stock markets and crude oil prices are strongly exogenous. Finally, from the IRFs, analysis revealed that a positive shock in oil price has a small but persistence and growing positive impact on Indian stock markets in short run.Originality/value- The study would enhance the understandings of the interaction between oil price volatilities and emerging stock market performances. Further, the study would enable foreign investors who are interested in Indian stock market helps in understanding the conditional relationship between the variables.

Download or read book The Empirical Investigation of Relationship Between Return Volume Volatility in Indian Stock Market written by Gurmeet Singh and published by . This book was released on 2016 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the empirical relationship between return, volume and volatility dynamics of stock market by using data of the NIFTY index of NSE during the period from Jan 2007 to March 2014. The volatility in the Indian stock market exhibits characteristics similar to those found earlier in many of the major developed and emerging stock markets. It is shown that ARCH family models outperform the conventional OLS models. We find that, the TARCH model is better fit, when we compare the GARCH, EGARCH and TARCH models, on the basis of AIC and SC criteria. Causality from volatility to volume can be seen as some evidence that new information arrival might follow a sequential rather than a simultaneous process. Moreover, in the GARCH model, ARCH and GARCH effects remain significant, which highlights the inefficiency in the market. In addition, EGARCH and TARCH models indicate the presence of leverage effect and positive impact of volatility on returns. Finally, the findings of granger causality test records the evidence of one way causality from volatility to trading volume and from return to volume.

Download or read book Indian Stock Market written by Gourishankar S. Hiremath and published by Springer Science & Business Media. This book was released on 2013-10-28 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: India is one of the major emerging economies of the world and has witnessed tremendous economic growth over the last decades. The reforms in the financial sector were introduced to infuse energy and vibrancy into the process of economic growth. The Indian stock market now has the largest number of listed companies in the world. The phenomenal growth of the Indian equity market and its growing importance in the economy is indicated by the extent of market capitalization and the increasing integration of the Indian economy with the global economy. Various schools of thought explain the behaviour of stock returns. The Efficient Market Theory is the most important theory of the School of Neoclassical Finance based on rational expectation and no-trade argument. The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.

Download or read book Capital Inflows and Real Exchange Rate Appreciation in Latin America written by Guillermo A. Calvo and published by . This book was released on 1992 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Capital Markets and Investment Decision Making written by Raj S. Dhankar and published by Springer. This book was released on 2019-04-25 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses capital markets and investment decision-making, focusing on the globalisation of the world economy. It presents empirically tested results from Indian and Southwest Asian stock markets and offers valuable insights into the working of Indian capital markets. The book is divided into four parts: the first part examines capital-market operations, particularly clearance and settlement processes, and stock market operations. The second part then addresses the functioning of global markets and investment decisions; more specifically it explores calendar anomalies, dependencies, overreaction effect, causality effect and stock returns volatility in South Asia, U.S. and global stock markets as a whole. Part three covers issues relating to capital structure, values of firm and investment strategies. Lastly, part four discusses emerging issues in finance like behavioral finance, Islamic finance, and international financial reporting standards. The book fills the gap in the existing finance literature and helps fund managers and individual investors make more accurate investment decisions.

Download or read book Multivariate Time Series Analysis written by Ruey S. Tsay and published by John Wiley & Sons. This book was released on 2013-11-11 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible guide to the multivariate time series tools used in numerous real-world applications Multivariate Time Series Analysis: With R and Financial Applications is the much anticipated sequel coming from one of the most influential and prominent experts on the topic of time series. Through a fundamental balance of theory and methodology, the book supplies readers with a comprehensible approach to financial econometric models and their applications to real-world empirical research. Differing from the traditional approach to multivariate time series, the book focuses on reader comprehension by emphasizing structural specification, which results in simplified parsimonious VAR MA modeling. Multivariate Time Series Analysis: With R and Financial Applications utilizes the freely available R software package to explore complex data and illustrate related computation and analyses. Featuring the techniques and methodology of multivariate linear time series, stationary VAR models, VAR MA time series and models, unitroot process, factor models, and factor-augmented VAR models, the book includes: • Over 300 examples and exercises to reinforce the presented content • User-friendly R subroutines and research presented throughout to demonstrate modern applications • Numerous datasets and subroutines to provide readers with a deeper understanding of the material Multivariate Time Series Analysis is an ideal textbook for graduate-level courses on time series and quantitative finance and upper-undergraduate level statistics courses in time series. The book is also an indispensable reference for researchers and practitioners in business, finance, and econometrics.

Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel

Download or read book A Study On Volatility And Co Movement Of Selected Sectoral Indices Of National Stock Exchange Of India written by Dr GangineniDhanaiah and published by Archers & Elevators Publishing House. This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Price Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.

Download or read book Macroeconomic Variables and Security Prices in India during the Liberalized Period written by Tarak Nath Sahu and published by Springer. This book was released on 2016-01-01 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: The liberalization and globalization of the Indian economy has made India more vulnerable to macro issues. This book provides a comprehensive analysis of the dynamic relationship between macroeconomic variables and stock prices in India. The research findings and policy implications discussed here may also be relevant for other emerging economies.

Download or read book Food Price Volatility and Its Implications for Food Security and Policy written by Matthias Kalkuhl and published by Springer. This book was released on 2016-04-12 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.

Download or read book Returns Volatility of Sectoral Indices of Nifty written by Dr. T. Peddanna and published by Readworthy. This book was released on with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Generally, the fund managers prefer to include Nifty-listed securities in their portfolio, because they are the leading stocks of the nation, using these companies constructed 11 sectors of stock indices. On the whole, the analysis of 12-year data starting from April 2002 to March 2014 established two phases of sectoral indices of Nifty; they are pre and post-recession periods in the light of sub-prime financial crisis that cropped up across the globe during 2008-09. As this study revealed sector-wise return exposure under different economic conditions, it helps investors to diversify their funds to various sectors which give average return to their portfolios and at lower risk element. However, this study is helped in understanding the risk-return relationship between different sectors of Nifty, as well as ARCH and GARCH models to estimate the volatility in the near future in great detail. The direction of the Nifty index is mainly determined by a few sectors in the long run like Bank, Pharma and Capital Goods indices. Finally, this study is enabled the investors to understand the risk and returns of sectoral indices of Nifty to make effective portfolio decisions under different economic conditions to sustain the portfolio with the same objectives till its tenure. This book is useful for Portfolio Managers, Fund Managers, Investment Managers and Policy makers, Academicians, Research scholars; Post graduate students and other commerce and Management students those working on Returns and volatility of stock market indices and securities."

Download or read book Behavioural Finance written by Singh Shuchita & Bahi Shilpa and published by Vikas Publishing House. This book was released on with total page 261 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theories and concepts of behavioural finance are not widely studied. In many countries, the acceptance level of behavioural theories is quite low. However, the increasing instances of various anomalies of financial markets have forced many researchers to look closer to this modern field of finance. Behavioural Finance seeks to bring together all the concepts and theories developed by renowned international and national researchers and practitioners in financial markets. An in-depth study has been made to explain the current economic downturn and the role of behavioural finance in it. KEY FEATURES • Interviews: Latest industry views by various asset-class experts • Facts: Important factual information in boxes titled 'Do You Know?' • Abbreviations: Important and relevant abbreviated terms • Model Test Papers: For practice • Summary: Given as 'Key Learning Points' for revision

Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-02-26 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.

Download or read book McMillan on Options written by Lawrence G. McMillan and published by John Wiley & Sons. This book was released on 2011-02-15 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: Legendary trader Larry McMillan does it-again-offering his personal options strategies for consistently enhancing trading profits Larry McMillan's name is virtually synonymous with options. This "Trader's Hall of Fame" recipient first shared his personal options strategies and techniques in the original McMillan on Options. Now, in a revised and Second Edition, this indispensable guide to the world of options addresses a myriad of new techniques and methods needed for profiting consistently in today's fast-paced investment arena. This thoroughly new Second Edition features updates in almost every chapter as well as enhanced coverage of many new and increasingly popular products. It also offers McMillan's personal philosophy on options, and reveals many of his previously unpublished personal insights. Readers will soon discover why Yale Hirsch of the Stock Trader's Almanac says, "McMillan is an options guru par excellence."

Download or read book Risk Return Relationship and Portfolio Management written by Raj S. Dhankar and published by Springer Nature. This book was released on 2019-10-24 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers all aspects of modern finance relating to portfolio theory and risk–return relationship, offering a comprehensive guide to the importance, measurement and application of the risk–return hypothesis in portfolio management. It is divided into five parts: Part I discusses the valuation of capital assets and presents various techniques and models used in this context. Part II then addresses market efficiency and capital market models, particularly focusing on measuring market efficiency, which is a crucial factor in making correct investment decisions. It also analyzes the major capital market models like CAPM and APT to determine to what extent they are suitable for use in developing economies. Part III highlights the significance of risk–return analysis as a prerequisite for investment decisions, while Part IV examines the selection and performance appraisals of portfolios against the backdrop of the risk–return relationship. It also examines new tools such as the value-at-risk application for mutual funds and the applications of the price-to-earnings ratio in portfolio performance measurement. Lastly, Part V explores contemporary issues in finance, including the relevance of Islamic finance in the increasingly volatile global financial system.