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Some Further Evidence on Behaviour of Stock Returns in India

Hiremath, Gourishankar S. - 2011

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

Non-Linear Dependence in Stock Returns : Evidences from India

Hiremath, Gourishankar S. - 2011

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

Futures Trading and Spot Market Volatility : A Case of S&P CNX Nifty Index

Kamaiah, Bandi - 2010

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

Price Discovery and Volatility Spillover between Spot and Futures Markets : Evidence from India

Sakthivel, P. - 2010

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

Studies in International Economics and Finance : Essays in Honour of Prof. Bandi Kamaiah

Yoshino, Naoyuki (ed.); Paramanik, Rajendra Narayan (ed.); … - 2022

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

An Empirical Analysis of Monetary Transmission in India in the Post-Reform Period : Relevance of the Banking Channel

Samantaraya, Amaresh - 2014

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

Do Stock Returns in India Follow a Random Walk?

Sadat, Anver - 2014

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

Do Stock Returns in India Exhibit a Mean-Reverting Tendency? Evidence from Multiple Structural Breaks Test

Hiremath, Gourishankar S. - 2014

Indian stock returns.This implies the violation of the efficient market hypothesis in India. The endogenously searched …

Persistent link: https://www.econbiz.de/10013067818

Financial cycle, business cycle, and policy uncertainty in India : an empirical investigation

Paramanik, Rajendra Narayan; Bhandari, Avishek; … - In: Bulletin of economic research 74 (2022) 3, pp. 825-837

Persistent link: https://www.econbiz.de/10013348651

Estimating Volatility Pattern in Stock Markets : The Indian Case

Das, Saheli - 2015

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