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Volatility Characteristics of Indian Midcap Index Using GARCH and EGARCH
Sharma, Meera - 2015
This paper studies volatility characteristics of the Indian CNX midcap index and contrasts with the large cap Nifty. An EGARCH model is fitted to daily returns for 2010 and is subjected to an out-of-sample back test. The study finds differences in volatility behavior of the indices. The Midcap...
Persistent link: https://www.econbiz.de/10014040484
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An Evidence of Speculation in Indian Commodity Markets
Varadi, Vijay Kumar - 2012
global crisis in India …
Persistent link: https://www.econbiz.de/10014041005
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Calendar Return Seasonality Across Sectors, Sizes and Styles – Evidence From the Indian Equity Markets
Mohanty, Subhransu - 2019
As literature shows, market anomalies in their various forms exist in different markets around the globe. Evidence of seasonality of returns in any form, whether based on time period such as over specific days, weeks and months, or over size, such as large, medium or small or over different...
Persistent link: https://www.econbiz.de/10014111221
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Board Composition, Ownership Structure and Firm Performance : New Indian Evidence in a Unique Regulatory Environment
Ganguli, Santanu K. - 2016
The paper explores the impact of board composition and ownership structure on firm performance of Indian firms from 2009-2013 in presence of certain unique statutory provisions relating to independent directors and limits on ownership concentration. The results show that after controlling for...
Persistent link: https://www.econbiz.de/10012996933
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Call Auction and Market Quality : Evidence from Bombay Stock Exchange
Harish, S. N. - 2016
The Securities and Exchange Board of India (SEBI) introduced opening call auction (CA) on 18th October 2010 to S&P BSE …
Persistent link: https://www.econbiz.de/10012998620
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An Empirical Assessment of Islamic Index : A Case Study of India
Islam, Khalid Ul - 2016
To meet the mounting demand for Shariah Compliant Investment Avenues in equity markets, hundreds of Islamic Indices have been launched world over. Dow Jones and FTSE Global were the first to launch the Shariah Compliant Index namely DJIMI and FTSE Global Islamic Index Series (GIIS). While a...
Persistent link: https://www.econbiz.de/10013001826
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An Empirical Model of India's Nifty VIX Index
Slivka, Ronald T. - 2016
volatility clusters in India's implied volatility index (Nifty VIX) daily closing levels for the Nifty VIX were gathered covering … with both clusters and periodic behavior and one with near-white noise. The likely origins of major clusters in India …'s Nifty implied volatility index appeared linked to important global financial events external to India during the study …
Persistent link: https://www.econbiz.de/10013004111
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Fourier Analysis of India's Implied Volatility Index
Slivka, Ronald T. - 2016
The objective of this study was to analyze and model periodic behavior observed in India's Nifty VIX Index and to seek … India's earnings release cycle …
Persistent link: https://www.econbiz.de/10013005753
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Idiosyncratic Volatility and Cross-Section of Stock Returns : Evidences from India
Sharma, Prashant - 2016
The present study examines the cross-sectional pricing ability of idiosyncratic volatility (IV) in Indian stock market and investigates the relationship amongst expected idiosyncratic volatility (EI), unexpected idiosyncratic volatility (UI), and cross-section of stocks returns. The study uses...
Persistent link: https://www.econbiz.de/10013005946
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Wealth Effects and Macroeconomic Dynamics – Evidence from Indian Economy
Swamy, Vighneswara - 2017
macroeconomic dynamics of wealth effects in India and examines the nexus between the changes in housing wealth, financial wealth …
Persistent link: https://www.econbiz.de/10012963050