Download or read book Indian Derivatives Market An Empirical Study written by O. P. Gupta and published by . This book was released on 2009-01-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Assessing Risks in Indian Equity Forex and Derivative Markets An Empirical Study written by Shah Aarav and published by . This book was released on 2023-03-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The beginning of the twentieth century witnessed radical changes in the structure and nature of business operations of both financial and non-financial companies on account of phenomenal liberalisation, globalisation and privatisation concepts since 1990s in the Indian economy. Along with this, financial markets developed at an exponential rate with new financial instruments, to provide uninterrupted access to the financial requirements of the business corporations in India. The total number of business corporations, volume of transactions, capital requirements, and market capitalisation of the companies in the financial markets have alarmingly increased in the last five decades due to the rapid progress of technological revolution. Added to this, economic factors (like interest rate changes, inflation rates, tax incentives, investors or shareholders expectations, etc.), political factors (economic system, rules and regulations of trade policies, environmental issues, changing patterns of employment, overlaps between government departments, licensing etc.) social factors (customer demands and expectations, growth in the consumer awareness, trade unions etc.) and internal factors (vision and mission of the corporations, culture of the industry, etc.) greatly influence and pose a threat to the functioning of the business operations. These factors in turn give rise to various elements of risk.

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 Impact of Derivatives on the Volatility and Liquidity of the Underlying written by Saurabh Kumar and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: It has been almost one year since exchange-based option trading on individual stocks began in the Indian market. Considering that this is a structural change, it would be interesting to note its impact on the spot market. An analysis suggests that in certain stocks both volatility and returns in the spot market have declined after options trading began. Volumes in the spot market declined in most cases, post listing. Regulators and market participants have been interested in observing the impact of the listing of options on the spot market, especially in terms of volatility. For instance, the 1987 crash is widely blamed on the excessive use of financial derivatives. Therefore, a fundamental concern is whether speculation in the option market gives rise to higher volatility in the underlying asset market. Another concern among empirical researchers has been the effect of introduction of options on volumes. The options market provides an alternative arena for speculators. For instance, assuming that speculators move from the spot to the options markets, there could be a drop in traded volumes in the former, assuming that other demand factors do not change. An empirical study of the Indian stock markets to examine the effects of derivatives on the liquidity and volatility of the underlying asset over the period of the last twelve months suggests that there is nothing to support the theory that the introduction of options has led to a rise in trading interest in the spot market.

Download or read book Information Flow and Price Comovements written by Dr. Kedar Nath Mukherjee and published by . This book was released on 2005 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates how the comovement of stock price in both spot as well as derivative market depends upon the flow of information in those markets and how it varies over a period of time. The price comovements in both spot and futures market have been studied at the index level, industry level and also at the stock level. This study applies Engle and Granger's (Engle and Granger, 1987) test of causality and cointegration, and Geweke [J. Am. Stat. Assoc. 76(1982) 304] measure of feedback to empirically investigate the hypothesis that there is instantaneous flow of information among spot and futures market and there is no such cause and effect relationship among the stock prices in those markets.We employ daily data for NIFTY spot index, NIFTY futures index, and also the daily prices of some selected stocks listed in both the spot as well as the derivative market, over a period from January 2002 to June 2004.It is found that both the spot and futures price series possess unit root and both of them are cointegrated in almost all the cases (i.e. at index level and also at stock level). But as far as the flow of information is concerned, it shows some mixed evidence. The direction in the flow of information from one market to another keeps changing over a periods of time. It varies also from one underlying stock to another.

Download or read book Signaling in Indian Derivatives Market written by B. Prasanna Kumar and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A Theoretical Model is developed.

Download or read book Indian Capital Market written by Shirin Rathore and published by . This book was released on 2003-01-01 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Indian Capital Market Has Witnessed Major Transformation And Structural Change During The Past One Decade As A Result Of On Going Economic Reforms Initiated By The Government Of India Since 1991. These Reforms Have Been Aimed At Improving Market Efficiency, Enhancing Transparency, Checking Unfair Trade Practices And Bringing The Indian Capital Market Up To International Standards. The Reforms Have Brought About Changes In Institutional Character Of The Market; Regulatory Environment In Which It Functions; Investors Profile And Technology Of The Market.This Volume Has Brought Together Empirical Researches Carried Out On Various Aspects Of The Indian Capital Market During The Past Decade. It Includes, Inter- Alia Research Studies Relating To " Ipos" Corporate Governance" E-Marketplaces For Financial Products" Market Efficiency And Anomalies " Market Micro Structure" Mutual Funds Performance" Financial DerivativesThe Papers Have Been Contributed By Well-Known Persons From Both Academia And Industry. The Book Will Be Useful Of Research Scholars, Students Pursuing Professional Courses Such As M.B.A., M.F.C., M.B.E., M.I.B. And Other Related Programmes, Practitioners And Policy Makers.

Download or read book Futures Market Determinants of Indian Futures Market written by Babu Jose and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: Futures Market movement always depends on the fluctuation of the spot market. Elements of the futures market such as Open Interest, Trade volume, Volatility of futures return and Turn over are having direct link with futures return. Underlying Market return is the major influencing factor of the futures market, but the uncertain events of the futures market can be explained by observing the different relation ships of variables in the futures market.Market Depth, Market Volatility and market Trends are having causal relationship with futures return. Market responses and reflections are explained by the study with the help of econometric models like VAR Granger Causality/Block Exogeniety test, Impulse Response Function and Variance Decomposition.Indian stock and derivative markets are so speculative and volatile, the prediction of the movement is very difficult. Daily return series of S&P CNX Nifty and its underlying index from 2000 to 2010 are taken for the analysis. The whole study period is divided in to five stages as per the market movement and structural break of the data series. The empirical results of the study reveals the determinants of the futures market in India.

Download or read book A Study on the Derivatives Market in India written by Toopalli Sirisha and published by . This book was released on 2020 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derivatives market a significant role to play in a country's economic development. The study's objective is to investigate the effect on the underlying market volatility of financial derivatives (futures and options). Currently, financial derivatives have become increasingly popular and utmost frequently used in the world of finance. This has grown with an extraordinary speed all over the world that now it is called as the derivatives revolution. In India, the emergence and growth of the derivatives market is relatively more derivative. This article aims to study futures and options by considering a company derivative from Indian stock market. This paper aims at suggesting the best possible ways to investors to gain more profits in derivative markets.

Download or read book Performance Of Commodity Derivatives Market In India An Analytical Study written by Dr. Shaik masood 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 Herding Behavior in Futures Market written by Ameet Kumar Banerjee and published by . This book was released on 2017 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study tries to explore the existence of herding behavior of investors in an entirely new asset class, futures, in Indian futures market. For empirical analysis, it uses data of exchanged traded equity futures contracts, a part of futures and options segment of National Stock Exchange (NSE, India) from January 2011 to June 2016. Applying generalized least squares (GLS) regression model, the study found supporting evidences for existence of herd behavior for the study period, especially during macroeconomic news releases, in periods of extremely low (high) trading volume and spillovers from other markets. This analysis of herd behavior is key in understanding the bandwagon effect of investors, which results in inefficient asset pricing. As a policy implication, it is highly relevant to regulatory institutions responsible for efficient functioning of the financial system.

Download or read book Market Efficiency in India written by Satish kumar and published by . This book was released on 2018 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: As long as financial markets are concerned, for many years' economists, statisticians and financial analyst have been interested in developing and testing models of stock price behaviour and their forecast. This study examines whether the Indian stock market is efficient if the stock returns follow a random walk. The study employs daily closing prices of NSE Midcap 50 Index for a time period of 15 Sept 2010 - 28 Nov 2014. The existence of random walk for NSE Midcap Index has been examined through autocorrelation, Q-statistics and the run test and finds that the Indian stock market was not efficient in the weak form during the testing period. The results suggest that the stock prices in India do not reflect all the information in the past stock prices and abnormal returns can be achieved by investors through exploiting the market inefficiency.

Download or read book An Integrated Study of Financial Markets in India written by P. Ram and published by . This book was released on 2017 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The flow of information between financial markets is an issue that has attracted considerable attention in the empirical finance literature. In order to examine interrelation among different types of financial markets i.e. Capital Market, derivative market, Money Market and Foreign Exchange market in short run, the basic data used in the study consist of four variables which are spot equity index rates, 3 month future equity index rates, repo rate, dollar/rupee exchange rate for the financial year 2014-2015. This paper has made an attempt to study the impact of Equity Spot Market on Forex, Money and Index Futures Market by using a simple regression analysis. The result indicates that the Spot Market has a significant impact on the Futures Market and Future Market is highly dependent on the Spot market. But the result of the regression analysis does not suggest the presence of significantly strong impact of Spot Market on Forex and Money Market. The study has also made an attempt to understand the causal link between Capital Market, Monet Market, Forex and Futures Market using univariate Granger Causality, but did not find any evidence for the existence of causal link between these segments of the Financial Market.

Download or read book Market Efficiency in India written by Dr. Satish Kumar and published by . This book was released on 2015 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: As long as financial markets are concerned, for many years' economists, statisticians and financial analyst have been interested in developing and testing models of stock price behaviour and their forecast. This study examines whether the Indian stock market is efficient if the stock returns follow a random walk. The study employs daily closing prices of NSE Midcap 50 Index for a time period of 15 Sept 2010-28 Nov 2014. The existence of random walk for NSE Midcap Index has been examined through autocorrelation, Q-statistics and the run test and finds that the Indian stock market was not efficient in the weak form during the testing period. The results suggest that the stock prices in India do not reflect all the information in the past stock prices and abnormal returns can be achieved by investors through exploiting the market inefficiency.

Download or read book An Empirical Examination of the Process of Information Transmission in India s Agriculture Futures Markets written by Sanjay Sehgal and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the process of information transmission in India's agriculture commodity futures market by investigating the price discovery and direction of volatility spillovers between futures and spot prices of nine agricultural commodities viz., Barley, Cardamom, Castor seed, Chana (Chickpea), Chili, Mentha oil, Pepper, Soybean and Refined Soya, traded on Multi-Commodity Exchange (MCX) and National Commodity & Derivatives Exchange (NCDEX). The study uses the daily data from January 01, 2009 to May 31, 2013. The empirical results confirm the price discovery between futures and spot prices, indicating strong information transmission. The volatility spillover results indicate that in the short-run, there is strong volatility spillover from spot to futures market whereas in the long-run it is exactly opposite. Further, the study applies the directional spillover method pioneered by Diebold and Yilmaz (2012) to analyze the direction of informational spillover. The estimated results suggest that the magnitude of volatility based information spillover is low in agri-futures market. With the exception of Soybean and Refined Soya, the spillovers are basically intra-commodity and not inter-commodity. Finally, the study concludes that India's agriculture commodity derivatives market is evolving in the right direction as futures market has started playing pivotal role in the information transmission process.

Download or read book Developing an Effective Model for Detecting Trade Based Market Manipulation written by Jose Joy Thoppan and published by Emerald Group Publishing. This book was released on 2021-05-05 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developing an Effective Model for Detecting Trade-Based Market Manipulation determines an appropriate model to help identify stocks witnessing activities that are indicative of potential manipulation through three separate but related studies.

Download or read book Long Memory in the Volatility of Indian Financial Market An Empirical Analysis Based on Indian Data written by Dilip Kumar and published by diplom.de. This book was released on 2014-04-01 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the long memory characteristics in the volatility of the Indian stock market, the Indian exchange rates and the Indian banking sector. This book also reviews the chain of approaches to estimate the long memory parameter. The long memory characteristics of the financial time series are widely studied and have implications for various economics and finance theories. The most important financial implication is related to the violation of the weak-form of market efficiency which encourages the traders, investors and portfolio managers to develop models for making predictions and to construct and implement speculative trading and investment strategies. In an efficient market, the price of an asset should follow a random walk process in which the price change is unaffected by ist lagged price changes and has no memory.