This paper examines the resilience displayed by the spot indices S&P CNX Nifty, and two sectoral indices—CNX IT and Bank Nifty—of National Stock Exchange (NSE), one of the major stock exchanges in India, versus their respective futures contracts using Value-at-Risk (VaR) concept during...

The present study attempts to examine the random movements in stock indices in the Indian equity market. It tests the random walk hypotheses in daily, weekly and monthly returns of six Indian stock market indices from January 2000 to October 2009. The indices considered for the purpose of the...

This study aims at examining the long-run cointegration relationship for Malaysian stock and bond market indices in the period surrounding the Asian financial crisis based on the Breitung (2001) rank test procedures. The paper argues that the standard cointegration tests do not allow for breaks...

The study investigates the syndicates for 154 Initial Public Offerings (IPOs) issued during the period 2002-07. The findings indicate that the syndicate size is significantly influenced by the prestige of the investment banks, initial day return, leverage, offer size, and ex ante uncertainty....

In recent years, private equity has emerged as an important destination for investments in India. This paper examines the effect of private equity placements on shareholder value, changes in liquidity and changes in ownership structure around the announcement of private equity deals. We find...

The paper examines the impact of the developed world market on the Indian industrial portfolios’ return by taking returns of Dow Jones Index and Morgan Stanley Composite Index (MSCI) as representatives of the developed world markets’ returns, and returns of various sectoral indices,...

This paper examines the impact of changes in aggregate market liquidity on stocks in which derivative trading is allowed. Though the liquidity of the market declines after the introduction of derivative trading, the impact of changes in market liquidity on stocks is critical in asset pricing. We...

In this paper, we have developed models to find out as to what factors are important in determining the bond ratings of the non-financial firms which are included in S&P 500 index. Our analysis is different from other analyses in the literature because we have used the more recent data, i.e.,...

This paper examines the role of corporate governance as a determinant of dividend policy with Canadian data over the period 1997-2004. It finds that firms with large board favor higher dividend payments. Further, the ratio of option over cash in CEO’s compensation negatively affects dividend...

This paper examines the relationship between the returns volatility, volume and open interest of the futures market. Both volume and open interest are broken down into their respective expected and unexpected components to understand as to which is able to explain the volatility. The study is...