This study examines the dynamic causal (linear as well as non-linear) relationship between trading volume and return and between volatility and returns. We have used the vector autoregression based Granger causality framework to examine the linear causality, while the non-linear causality have...

The purpose of this paper is to develop and identify the best hybrid model to predict stock index returns. We develop three different hybrid models combining linear ARIMA and non-linear models such as support vector machines (SVM), artificial neural network (ANN) and random forest (RF) models to...

The short term and long term stock price volatility changes around bonus and rights issue announcements have been examined using historical volatility estimation and time varying volatility approach. The results show that the historical volatility has increased after bonus and rights issue...

The short term and long term stock price volatility changes around bonus and rights issue announcements have been examined using historical volatility estimation and time varying volatility approach. The results show that the historical volatility has increased after bonus and rights issue...

This study investigates the effect of macroeconomic factors on the conditional volatility of developed and emerging bond markets using ARMA-GARCH model and examines the effect of macroeconomic factors themselves rather than the effect of announcement of macroeconomic factors. The findings show...

The extent to which movements in nominal interest rates change with anticipated inflation has been keenly researched ever since Fisher (1930) first pointed out that efficient capital markets should compensate for changes in the purchasing power of money. In the Indian context, this relationship...

Forecasting interest rates is of great concern for financial researchers, economists and players in the fixed income markets. The purpose of this study is to develop an appropriate model for forecasting the short-term interest rates i.e., commercial paper rate, implicit yield on 91 day treasury...

There exists vast research articles which predict the stock market as well pricing of stock index financial instruments but most of the proposed models focus on the accurate forecasting of the levels (i.e. value) of the underlying stock index. There is a lack of studies examining the...

In this paper, we have studied the stock market's impact to public announcement of strategic decisions of Indian companies. We have used the event study methodology to assess whether there is an increase in firm value surrounding the days of such public announcements. The corporate strategic...