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Article
Publication date: 5 June 2017

Rakesh Kumar and Raj S. Dhankar

The purpose of this paper is to examine the short- and long-run spillover effect of international financial instability on emerging South Asian stock markets. The paper…

Abstract

Purpose

The purpose of this paper is to examine the short- and long-run spillover effect of international financial instability on emerging South Asian stock markets. The paper also investigates the financial integration regionally.

Design/methodology/approach

Granger causality test is used for short-run causal relations. Since results of preliminary test highlight the significant autocorrelations in stock returns, GARCH class models with extreme shocks in international financial market are utilized to test the long-run spillover impact on stock returns.

Findings

Results indicate significant short- and long-run spillover impacts of international financial instability on the stock returns. They highlight the significant co-integration of South Asian stock markets with the international market. Significant correlations in stock returns and volatility reveal the degree of regional integration to be high between India, Pakistan and Sri Lanka.

Research limitations/implications

Business, political and market conditions of South Asian stock markets are fundamentally different from each other. These economies were liberalized at different time, which in turn may affect the degree of integration with international equity markets and regionally alike.

Practical implications

Financial liberalization has linked the South Asian stock markets to the rest of the world. Stock prices move in the same line with the emergence of global expected and unexpected economic shocks. The benefits that arise from the diversification of funds will be eradicated in the long run. Investors with long investment horizons will not actually benefit from portfolio diversification in South Asian equity markets. The Bangladesh stock market does not respond to volatility in international market in the short run and may be a good destination for short-term investment.

Originality/value

Pioneer efforts are made by utilizing a novel approach with the use of net volatility change in world financial instability for measuring the short- and long-run impacts. Given the emergence of South Asian stock markets, new insights into their vulnerability to world financial shocks provide interesting findings for portfolio diversification.

Details

South Asian Journal of Business Studies, vol. 6 no. 2
Type: Research Article
ISSN: 2398-628X

Keywords

Article
Publication date: 15 August 2016

Raj S. Dhankar and Devesh Shankar

The purpose of this paper is to discuss the relevance and evolution of adaptive markets hypothesis (AMH) that has gained traction in the recent years, as it provides a…

Abstract

Purpose

The purpose of this paper is to discuss the relevance and evolution of adaptive markets hypothesis (AMH) that has gained traction in the recent years, as it provides a dynamic perspective to the concept of informational efficiency.

Design/methodology/approach

This paper discusses several issues related to the concept of informationally efficient markets that have indicated efficient market hypothesis to be an incomplete portrayal of stock market behavior.

Findings

The authors find that a strict and perpetual adherence to informational efficiency is highly unlikely, and AMH provides a much more plausible description of the behavior of stock markets.

Originality/value

The authors provide a description of studies that examine the testable implications of AMH.

Article
Publication date: 14 April 2022

Mosab I. Tabash, Fatima Muhammad Abdulkarim, Mustapha Ishaq Akinlaso and Raj S. Dhankar

The paper examines the relationship between Islamic banking and the growth of the economy in Nigeria in both the short run and long run.

Abstract

Purpose

The paper examines the relationship between Islamic banking and the growth of the economy in Nigeria in both the short run and long run.

Design/methodology/approach

The study employs quarterly secondary time series data for Islamic banking as well as major macroeconomic variables to study the contribution of Islamic banking to the economy of Nigeria. It employs autoregressive distributed lags (ARDL) and error correction model (ECM) approaches from 2013 quarter 1 up to 2020 quarter 2.

Findings

The results show that Islamic banking has a positive contribution to Nigeria's economy in both short run and long run, but this contribution is insignificant.

Practical implications

Policymakers should endeavor to redesign the country's financial architecture and come up with policies that can support the growth of Islamic finance sector. This will significantly strengthen Nigeria's position as one of the leading Islamic finance hubs in Africa.

Originality/value

This is the first study to examine the contribution of Islamic banking to the Nigerian economy according to the best knowledge of the authors.

Details

African Journal of Economic and Management Studies, vol. 13 no. 4
Type: Research Article
ISSN: 2040-0705

Keywords

Article
Publication date: 6 February 2017

Supriya Maheshwari and Raj Singh Dhankar

The purpose of this paper is to provide insights into the profitability of momentum strategies in the Indian stock market. This study further evaluates whether the…

Abstract

Purpose

The purpose of this paper is to provide insights into the profitability of momentum strategies in the Indian stock market. This study further evaluates whether the momentum effect is a manifestation of size, value or an illiquidity effect.

Design/methodology/approach

Monthly stock return data of 470 BSE listed stocks over the sample period from January 1997 to March 2013 were used to create extreme portfolios (winner and loser). The returns of extreme portfolios were evaluated using t-statistics and a risk-adjusted measure. Further checks were imposed by controlling for other potential sources of risk including size, value and illiquidity.

Findings

The study provides support in favor of momentum profitability in the Indian stock market. In contrast to the literature, momentum profitability is driven by winning stocks, and hence, buying past winning stocks generates higher returns than shorting loosing stocks in the Indian stock market. Strong momentum profits were observed even after controlling for size, value and trading volume of stocks. This suggests that the momentum effect in the Indian stock market is not a manifestation of small size effect, value effect or an illiquidity effect.

Practical implications

From the practitioner’s perspective, the study indicates that a momentum-based investment strategy in the short run is still persistent and can generate potential profits in the Indian stock market.

Originality/value

There is little empirical evidence on the momentum profitability, especially in the Indian stock market. The study contributes toward the literature by analyzing the momentum profitability even after controlling for size, value and an illiquidity effect. Some aspects of the momentum effect were observed to be dissimilar from those observed in literature for the USA and other countries. Such findings justify the need for testing the momentum profitability in stock markets other than the USA.

Details

Journal of Advances in Management Research, vol. 14 no. 1
Type: Research Article
ISSN: 0972-7981

Keywords

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