Purpose – The purpose of this paper is to study the empirical relationship between order imbalance and returns in the backdrop of structural changes in the Indian market. Design/methodology/approach – The study makes use of hypothesis testing and dummy variable regression to investigate the...

Purpose – The purpose of this paper is to study the empirical relationship between order imbalance and returns in the backdrop of structural changes in the Indian market. Design/methodology/approach – The study makes use of hypothesis testing and dummy variable regression to investigate the...

Traditional time series or cross-sectional regression procedures yield mixed evidence on maintained hypotheses about the determinants of international equity returns. This paper re-examines how three theory-suggested factors affect equity returns and how the test results may differ between...

Daily price limits are criticized for their role in disrupting price adjustment process. We propose a flexible price limits mechanism as an alternative to daily price limit rules. First, we identify volatility spill-over and consecutive price limit hits as the source for disrupting informed...

We document the effects of group affiliation on the initial performance of 2,713 initial public offerings (IPOs) in India under three regulatory regimes during the period 1990-2004. We distinguish between two competing hypotheses regarding group affiliation: the "certification" and the...

This study examines securities price reaction to announcements of rights issues by listed Indian firms during the period 1997-2005. We document a positive but statistically insignificant price reaction to such announcements. The price reaction is significantly more negative for firms with a...

In the year 2007, Indian capital market regulator-SEBI, introduced a unique certification mechanism for IPOs whereby all IPOs have to undergo mandatory quality grading by independent rating agencies. In this paper we argue that such objective, independent and exogenous certifying mechanism...