Search results

1 – 10 of 211

Abstract

Details

The Impacts of Monetary Policy in the 21st Century: Perspectives from Emerging Economies
Type: Book
ISBN: 978-1-78973-319-8

To view the access options for this content please click here
Book part
Publication date: 24 October 2019

Venkataramanaiah Malepati, Madhavi Latha Challa and Siva Nageswara Rao Kolusu

This study is intended to investigate the volatility patterns in Bombay Stock Exchange Limited Sensitivity Index (BSE Sensex) based on time series data collected for 10…

Abstract

This study is intended to investigate the volatility patterns in Bombay Stock Exchange Limited Sensitivity Index (BSE Sensex) based on time series data collected for 10 years period of time. To reach out the predefined objectives of the study, the authors have employed generalized autoregressive conditional heteroscedastic models. The study revealed that the presence of heteroscedasticiy is found in BSE Sensex. Further, the model produced highly accurate results when the researchers compared the estimated results from actual. Furthermore, the volatility of BSE Sensex has shown the features of clustering and significant time varying. Moreover, the model has indicated that there is a positive correlation between daily stock returns and the BSE Sensex volatility.

Abstract

Details

Dynamic Linkages and Volatility Spillover
Type: Book
ISBN: 978-1-78635-554-6

To view the access options for this content please click here
Article
Publication date: 2 November 2020

Nikhil Yadav, Priyanka Tandon, Ravindra Tripathi and Rajesh Kumar Shastri

The purpose of the study is to investigate the long-run and short-run dynamic relationship between crude oil prices and the movement of Sensex for the period of 2000–2018.

Abstract

Purpose

The purpose of the study is to investigate the long-run and short-run dynamic relationship between crude oil prices and the movement of Sensex for the period of 2000–2018.

Design/methodology/approach

The study uses the augmented Dickey–Fuller test for the presence of unit root, Johansen cointegration test for estimating the cointegration among the variables. Further, in the case of no cointegration found, the study employed the vector autoregression (VAR) model to estimate the long-run relationship and the Granger causality/Wald test for short-run relationship. The study also conducted tests for the prerequisites of the model: serial correlation, heteroskedasticity and normality of data.

Findings

The study found that both the variables, crude oil prices and Sensex are integrated of order 1, that is, I (1), and there is no cointegration between them. Further, the results proliferated from the VAR model unfold the marked effect of previous month crude oil prices (lag 1) on the movement of Indian stock market represented by Sensex considered as the benchmark index. Furthermore, VAR–Granger causality/block exogeneity Wald tests results indicated that there is a causal relationship between the crude oil prices and Sensex under the VAR environment. The model does not have any serial correlation and heteroskedasticity indicating toward the unbiased and robust estimates.

Research limitations/implications

The study is conducted till the year 2018, and data for the present period (post-2018) is excluded due to ongoing trade issues between the USA and oil-exporting countries such as Iran. The current COVID-19 outbreak has also put serious issues. Due to limited time and availability of standardized data, researchers have considered Sensex as equity index only, but for more generalized research outcome few other equity indexes could have been taken for study.

Originality/value

The study is completely original in nature and is an extensive study of the relationship between the crude oil price and Indian stock market with reference to causality between the variables.

Details

Benchmarking: An International Journal, vol. 28 no. 2
Type: Research Article
ISSN: 1463-5771

Keywords

To view the access options for this content please click here
Article
Publication date: 10 June 2014

Santu Das, Jamini Kanta Pattanayak and Pramod Pathak

The main purpose of this research study is to investigate the impact of quarterly earnings announcements on stock price movement of the firms constituting the SENSEX under…

Abstract

Purpose

The main purpose of this research study is to investigate the impact of quarterly earnings announcements on stock price movement of the firms constituting the SENSEX under two different market conditions – booming followed by recessionary. Analysis of price effect of quarterly earnings announcements during the five-year period prior to trading suspension, which is also characterized by a booming market condition have been made. Similar analysis during the five-year period following the trading suspension and marked by recessionary market condition has also been carried out side by side.

Design/methodology/approach

Event study methodology using daily returns and market model has been used for the purpose of analyzing the quarterly earnings announcement effects on the security prices of the firms. A sign test has also been used along with the event study.

Findings

The study reveals that quarterly earnings announcement does not have statistically significant effect on stock returns during the booming as well as the recessionary market conditions. The impact of quarterly earnings announcements on stock price movement of firms constituting the SENSEX has been similar for both periods undertaken in the study.

Research limitations/implications

The study has been undertaken using the firms listed in BSE SENSEX. The effect of the quarterly earnings announcement with reference to firms listed in other indices, if covered, may provide different sets of results.

Originality/value

The paper identifies the informational value of quarterly earnings announcement of BSE-SENSEX.

Details

Journal of Indian Business Research, vol. 6 no. 2
Type: Research Article
ISSN: 1755-4195

Keywords

To view the access options for this content please click here
Article
Publication date: 17 August 2018

Narinder Pal Singh and Sugandha Sharma

The purpose of this paper is to investigate the dynamic relationship among Gold, Crude oil, Indian Rupee-US Dollar and Stock market-Sensex (gold, oil, dollar and stock…

Abstract

Purpose

The purpose of this paper is to investigate the dynamic relationship among Gold, Crude oil, Indian Rupee-US Dollar and Stock market-Sensex (gold, oil, dollar and stock market (GODS)) in the pre-crisis, the crisis and the post-crisis periods in the Indian context.

Design/methodology/approach

The authors use Johansen’s cointegration technique, Vector Error Correction Model (VECM), Vector Auto Regression, VEC Granger Causality/Block Exogeneity Wald Test, and Granger Causality and Toda Yamamoto modified Granger causality to study long-run relationship and causality.

Findings

Johansen’s cointegration test results indicate that there is a long-run equilibrium relationship among the variables in the pre-crisis and the crisis periods but not in post-crisis period. VECM results report that none of four models of the variables show long-run causality in the pre-crisis period. During the crisis period, both crude oil and Sensex models show long-run causality. However, in some cases, results indicate short-run causality. The authors find one-way causality from USD and Sensex to crude oil, and from gold and Sensex to USD. Thus, the authors conclude that the relationship among GODS is dynamic across global financial crisis.

Practical implications

The research findings of this study are vital to the large group of stakeholders and participants of gold, crude oil, US dollar and stock market in emerging economies like India. The results are useful to importers, exporters, government, policy makers, corporate houses, retail investors, portfolio managers, commodity traders, treasury and fund managers, other commercial traders, etc.

Originality/value

This study is one of its kinds as it investigates the relationship among GODS in India in different sub-periods like before, during and after the global financial crisis of 2008. None of the studies compare phase-wise relationship among GODS in the Indian context. The study contributes to the economic theory and the body of knowledge. It highlights the need to revisit the economic theory to explain the interplay mechanism among GODS.

Details

Journal of Advances in Management Research, vol. 15 no. 4
Type: Research Article
ISSN: 0972-7981

Keywords

To view the access options for this content please click here
Article
Publication date: 10 September 2018

Muneer Shaik and Maheswaran S.

The purpose of this paper is twofold: first, to propose a new robust volatility ratio (RVR) that compares the intraday high–low volatility with that of the intraday…

Abstract

Purpose

The purpose of this paper is twofold: first, to propose a new robust volatility ratio (RVR) that compares the intraday high–low volatility with that of the intraday open–close volatility estimator; and second, to empirically test the proposed RVR on the cross-sectional (CS) average of the constituent stocks of India’s BSE Sensex and US’s Dow Jones Industrial Average index to find the evidence of “excess volatility.”

Design/methodology/approach

The authors model the proposed RVR by assuming the logarithm of the price process to follow the Brownian motion. The authors have theoretically shown that the RVR is unbiased in the case of zero drift parameter. Moreover, the RVR is found to be an even function of the non-zero drift parameter.

Findings

The empirical results show that the analysis based on the RVR supports the existence of “excess volatility” in the CS average of the constituent stocks of India’s BSE Sensex and US’s Dow Jones index. In particular, the authors have observed that the CS average of individual constituent stocks of BSE Sensex is found to be more excessively volatile than the US’s Dow Jones index during the period of the study from January 2008 to September 2016, based on multiple k-day time window analysis.

Practical implications

The study has implications for the policy makers and practitioners who would like to understand the volatility behavior in the asset returns based on the RVR of this study. In general, the proposed model can be used as a specification tool to find whether the stock prices follow the random walk behavior or excessively volatile.

Originality/value

The authors contribute to the existing volatility literature in finance by proposing a new RVR based on extreme values of asset prices and absolute returns. The authors implement the bootstrap technique on RVR to find the estimates of mean and standard error for multiple k-day time windows. The RVR can capture the excess volatility by comparing two independent volatility estimators. This is possibly the first study to find the CS average of all the constituent stocks of BSE Sensex based on the RVR.

Details

Journal of Economic Studies, vol. 45 no. 4
Type: Research Article
ISSN: 0144-3585

Keywords

To view the access options for this content please click here
Article
Publication date: 1 March 2011

Karam Pal and Ruhee Mittal

The purpose of this paper is to examine the long‐run relationship between the Indian capital markets and key macroeconomic variables such as interest rates, inflation…

Abstract

Purpose

The purpose of this paper is to examine the long‐run relationship between the Indian capital markets and key macroeconomic variables such as interest rates, inflation rate, exchange rates and gross domestic savings (GDS) of Indian economy.

Design/methodology/approach

Quarterly time series data spanning the period from January 1995 to December 2008 has been used. The unit root test, the co‐integration test and error correction mechanism (ECM) have been applied to derive the long run and short‐term statistical dynamics.

Findings

The findings of the study establish that there is co‐integration between macroeconomic variables and Indian stock indices which is indicative of a long‐run relationship. The ECM shows that the rate of inflation has a significant impact on both the BSE Sensex and the S&P CNX Nifty. Interest rates on the other hand, have a significant impact on S&P CNX Nifty only. However, in case of foreign exchange rate, significant impact is seen only on BSE Sensex. The changing GDS is observed as insignificantly associated with both the BSE Sensex and the S&P CNX Nifty. The paper, on the whole, conclusively establishes that the capital markets indices are dependent on macroeconomic variables even though the same may not be statistically significant in all the cases.

Originality/value

This study emphasises on the impact of macroeconomic variables on the stock market performance of a developing economy, whose performance is measured by these variables.

Details

The Journal of Risk Finance, vol. 12 no. 2
Type: Research Article
ISSN: 1526-5943

Keywords

To view the access options for this content please click here
Article
Publication date: 28 May 2021

Saffet Akdag, Hakan Yildirim and Andrew Adewale Alola

The recent dynamics of trade policy, especially that is associated with the United States of America (USA) and China, has not only triggered policy adjustments in two…

Abstract

Purpose

The recent dynamics of trade policy, especially that is associated with the United States of America (USA) and China, has not only triggered policy adjustments in two economies, it has also implied an uncertainty spillover to other economies across the globe. Consequently, the current study attempts to examine the effect of uncertainties in the USA–China trade policies on stock market indexes. In addition, the cointegration evidence between the USA–China trade policy uncertainty index and of the leading Global South fragile quintet (Brazil, Indonesia, South Africa, India and Turkey) stock market indices is investigated.

Design/methodology/approach

Mainly, the FMOLS and DOLS Granger causality analysis with cointegration coefficient estimators were employed for the dataset over the monthly data period of March 2003 and July 2019.

Findings

Accordingly, the study found a long-term relationship between the USA–China Trade Policy Uncertainty index and the stock exchange indexes. In addition, a causal relationship was established from the change in the USA–China Trade Policy Uncertainty index to the change in the stock market indexes of almost all of the examined countries (Brazil, Indonesia, South Africa, India and Turkey). In addition, the nonlinear Autoregressive Distributed Lag approach further offers evidence of asymmetric relationship among the examined indicators.

Originality/value

Moreover, this study contributed to the existing literature because it employed the indexes of BIST100, BOVESPA, BSE Sensex 30, IDX Composite and South Africa 40 in a novel approach. Thus, the study posited a useful policy guideline for associated economic uncertainties arising from the trade dispute, such as the case of the world’s two largest trading giants or partners (i.e. the USA and China).

Details

Journal of Economic and Administrative Sciences, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1026-4116

Keywords

To view the access options for this content please click here
Book part
Publication date: 11 August 2016

Kousik Guhathakurta, Basabi Bhattacharya and A. Roy Chowdhury

It has long been challenged that the distributions of empirical returns do not follow the log-normal distribution upon which many celebrated results of finance are based…

Abstract

It has long been challenged that the distributions of empirical returns do not follow the log-normal distribution upon which many celebrated results of finance are based including the Black–Scholes Option-Pricing model. Borland (2002) succeeds in obtaining alternate closed form solutions for European options based on Tsallis distribution, which allow for statistical feedback as a model of the underlying stock returns. Motivated by this, we simulate two distinct time series based on initial data from NIFTY daily close values, one based on the Gaussian return distribution and the other on non-Gaussian distribution. Using techniques of non-linear dynamics, we examine the underlying dynamic characteristics of both the simulated time series and compare them with the characteristics of actual data. Our findings give a definite edge to the non-Gaussian model over the Gaussian one.

Details

The Spread of Financial Sophistication through Emerging Markets Worldwide
Type: Book
ISBN: 978-1-78635-155-5

Keywords

1 – 10 of 211