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Evolution of security transaction tax in India

Sinha, Pankaj; Mathur, Kritika - Volkswirtschaftliche Fakultät, … - 2012

Securities Transaction Taxes have received much attention over the last few years with countries and global organizations trying to control the level of speculations, especially since the Global Financial Crisis. This study examines the impact of an increase in the level of securities...

Persistent link: https://www.econbiz.de/10011107269

Influence of Foreign Institutional Investments (FIIs) on the Indian stock market

Vardhan, Harsh; Sinha, Pankaj - Volkswirtschaftliche Fakultät, … - 2014

The study examines influence of FIIs on the Indian equity market and its role in integration with US equity market. It provides insight for policy formulation in order to move towards greater liberalized FII’s policy regime for regaining FIIs confidence in the Indian equity market. The time...

Persistent link: https://www.econbiz.de/10011259596

Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization

Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014

This paper investigates sensitivity of the VaR models when return series of stocks and stock indices are not normally distributed. It also studies the effect of market capitalization of stocks and stock indices on their Value at risk and Conditional VaR estimation. Three different market...

Persistent link: https://www.econbiz.de/10011109117

Securities transaction tax and the stock market– an Indian experience

Sinha, Pankaj; Mathur, Kritika - Volkswirtschaftliche Fakultät, … - 2012

This paper studies the effect of Securities Transaction Tax (STT) on the behavior of the returns on the Indian stock market using a switching first order autocorrelation model. It is found that an increase in STT doesn’t influence the return on American Depository Receipts (ADRs) which are...

Persistent link: https://www.econbiz.de/10011259967

Price, Return and Volatility Linkages of Base Metal Futures traded in India

Sinha, Pankaj; Mathur, Kritika - Volkswirtschaftliche Fakultät, … - 2013

In this study the price, return and volatility behaviour of base metals (aluminium, copper, nickel, lead and zinc) which are traded on Indian commodity exchange - Multi Commodity Exchange (MCX) and International commodity exchange – London Metal Exchange (LME) are analysed. The time period...

Persistent link: https://www.econbiz.de/10011260331

Impact of Commodities Transaction Tax on Indian Commodity Futures

Sinha, Pankaj; Mathur, Kritika - Volkswirtschaftliche Fakultät, … - 2015

The Commodity Futures Market is an instrument to achieve price discovery of commodities. The Government of India introduced the Commodities Transaction Tax of 0.01 per cent payable on seller for derivative transactions on 1 July 2013. This tax in line with the earlier tax imposed on transactions...

Persistent link: https://www.econbiz.de/10011261161

Empirical analysis of the forecast error impact of classical and bayesian beta adjustment techniques

Sinha, Pankaj; Jayaraman, Prabha - Volkswirtschaftliche Fakultät, … - 2012

The paper presents a comparative study of conventional beta adjustment techniques and suggests an improved Bayesian model for beta forecasting. The seminal papers of Blume (1971) and Levy (1971) suggested that for both single security and portfolio there was a tendency for relatively high and...

Persistent link: https://www.econbiz.de/10011112188

Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH

Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014

Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different … financial market. In this study, the joint dynamics is investigated with the help of bivariate GJR-GARCH methodology given by … information arrival measured by IDV(Intra-day volatility) is found to be a significant source of the conditional …

Persistent link: https://www.econbiz.de/10011114116

Algorithm for construction of portfolio of stocks using Treynor’s ratio

Sinha, Pankaj; Goyal, Lavleen - Volkswirtschaftliche Fakultät, … - 2012

The aim of the paper is to implement the algorithm for selecting stocks from a pool of stocks listed in a single market index like S&P CNX 500(say) and finding the corresponding weights of the stocks in the optimized portfolio using Treynor’s ratio, on the basis of historical data of Indian...

Persistent link: https://www.econbiz.de/10011258412