We find evidence of significant volatility co-movements and/or spillover from different financial markets to the forex market in India. Among a large number of variables examined, volatility spillovers from domestic stock, government securities, overnight index swap, Ted spread and international...

We find evidences of significant volatility co-movements and/ or spillover from different financial markets to forex market for Indian economy. Among a large number of variables examined, volatility spillovers from stock market, government securities market, overnight index swap, Ted spread and...

In this paper we empirically investigate the relationship between capital flows and exchange rates in India based on a new index of real effective exchange rates for the Indian Rupiah. Instead of using consumer price indices we deflate exchange rates by MSCI asset price indices. The...

The paper investigates whether the effects of monetary policy on firm investment can be transmitted through leverage. The findings indicate that monetary contractions reduce investment for highly leveraged firms. The estimates imply that a 1 percentage point tightening of liquidity reduces...

The paper investigates whether the effects of monetary policy on firm investment can be transmitted through leverage. The findings indicate that monetary contractions reduce investment for highly leveraged firms. The estimates imply that a 1percentage point increase in leverage reduces...

In the literature, the underperformance of IPOs is a well-documented empirical anomaly. This study concentrates on IPOs from the banking sector of an emerging economy, India. In a developing country, the role of the banking sector for economic development is undisputed. In view of its importance...

This paper attempts to identify the factors explaining underpricing of initial public offerings (IPOs) in an emerging economy, India, using 1,842 companies that got listed on the Bombay Stock Exchange from 1993 to 2001. It is found that uncertainty played a role in perverse underpricing in the...

This study uses a GARCH model to estimate conditional volatility in the Indian overnight money market during the period 1999-2006. It finds that the bid-ask spread in the overnight market was positively related to conditional volatility during 1999-2002. This relationship, however, has undergone...

In this paper we empirically investigate the relationship between capital flows and exchange rates in India based on a new index of real effective exchange rates for the Indian Rupee. Instead of using consumer price indices we deflate exchange rates by MSCI asset price indices. The cointegration...