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This paper examines the stock return behaviour in two premier Indian stock markets using Chow-Denning multiple variance ratio and Hinich bicorrelation tests. The former test overcomes size distortion of conventional variance ratio test. The latter test is capable of detecting linear and...
Persistent link: https://www.econbiz.de/10013128872
This paper examines non-linear dependence in Indian stock returns using a set of non-linearity tests. The daily data between 1997 and 2009 for eight indices from National Stock Exchange (NSE) and six indices from Bombay Stock Exchange (BSE) are used. The results suggest strong evidence of...
Persistent link: https://www.econbiz.de/10013128880
An attempt is made here to investigate the relationship between stock market volatility and trading activity (trading volume and open interest) in Nifty futures market using the GARCH framework. The study uses daily closing price of Nifty and trading volume, and open interest for Nifty index...
Persistent link: https://www.econbiz.de/10013144796
The present study investigates the role of information in price discovery function and volatility spillover in Nifty and S&P CNX Nifty futures by employing two-step TGARCH procedures. First, the study examines short and long-run relationship between S&P CNX Nifty index and Nifty index futures in...
Persistent link: https://www.econbiz.de/10013145099
A New Keynesian AD-AS Model for India, Incorporating the effect of Covid-19 Pandemic -- Indian Economics: Tragedy of a … Enterprises in India: Need And Progress -- Fiscal Stimulus and the Ghost of Keynes: An Evolutionary Chronicle -- The Global … aggregate level macro model for India with a new Keynesian perspective, balance of payments, service sector exports, foreign …
Persistent link: https://www.econbiz.de/10013170829
attempts to empirically examine the nature and strength of monetary policy influence on inflation and real activity in India … Bank of India adopted ‘multiple indicator approach' in the conduct of monetary policy since April 1998, the present paper …
Persistent link: https://www.econbiz.de/10013065825
This paper empirically investigates the behavior of stock returns of two premier stock markets in India, namely, the …
Persistent link: https://www.econbiz.de/10013066091
Indian stock returns.This implies the violation of the efficient market hypothesis in India. The endogenously searched …
Persistent link: https://www.econbiz.de/10013067818
Persistent link: https://www.econbiz.de/10013348651
This paper examines the volatility pattern in Indian stock markets during the time period January 1, 2011 to March 31, 2014 using the daily closing prices of two stock indices, S&P BSE Sensex and CNX Nifty. This paper uses asymmetric GARCH models like Exponential GARCH (EGARCH) and Threshold...
Persistent link: https://www.econbiz.de/10013015878