This study examines the dynamics of the relationship between institutional investment flow and stock returns for India using daily data over the period of 1st Jan 2002 to 31st July 2012. The analysis has been conducted in a two and three factors vector autoregression framework in which we...

This study examines the dynamics of the relationship between institutional investment flow and stock returns for India using daily data over the period of 1st Jan 2002 to 31st July 2012. The analysis has been conducted in a two and three factors vector autoregression framework in which we...

This paper estimates and compares various efficiencies, namely, business, profit, and Z-Score efficiencies for private and publicly owned Indian banks. It uses the data envelopment analysis (DEA) following variable returns to scale, under input and output orientation, for measuring efficiency....

The aim of the paper is to explore the Indian derivatives market and show that why options are most important for the risk management and volatility estimate. The study demonstrated that investor prefer more options than the futures in hedging strategies. The inverse relation between Nifty index...

The study investigates the relationships between the Indian stock market index (BSE Sensex) and five macroeconomic variables, namely, industrial production index, wholesale price index, money supply, treasury bills rates and exchange rates over the period 1994:04–2011:04. Johansen's...

This study empirically reexamines the impact of stock market development on economic growth using data on twenty-seven emerging market economies over the period 1995-2012. We use market capitalization, trade value and turnover ratio as indicators of stock market development. Also, we construct...

This study examines the dynamic interaction among institutional investment (FII and Mutual Funds) and the stock market returns for India in a three factor vector autoregression (VAR) framework. The data set used in this study are in daily frequency spanning from 1st Jan 2002 to 31st July 2012...

An attempt has been made in this paper to explain the stock market volatility at the individual script level and at the aggregate indices level. The empirical analysis has been done by using Autoregressive conditional heteroscedasticity model (ARCH), Generalised autoregressive conditional...

The purpose of this article is to investigate the effect of the introduction of stock index futures on the volatility of the spot equity market and to test the impact of the introduction of the stock index futures contracts, a GARCH model is modified along the lines of GJR-GARCH and EGARCH...

The measure of variability that is based on past prices that conforms to the present variability has been conceptualized as volatility in financial market. Thus, volatility as a concept can be treated as synonymous with variability in general or variance in particular. In this paper an attempt...