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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
The present paper endeavours to study the trading behaviour of foreign institutional investors (FIIs) and domestic institutional investors (DIIs) in Indian stock market. The study ascertains whether the purchase trade and sale trade behaviour of foreign institutional investors is different from...
Persistent link: https://www.econbiz.de/10012949470
The poor empirical record of the CAPM paved the way towards the development of multi-factor asset pricing models. The three-factor model of Fama and French (1993) is regarded as a ground-breaking multi-factor asset pricing model. This paper examines the performance of the three-factor model of...
Persistent link: https://www.econbiz.de/10013031649
Despite more than a decade of reforms, Indian stock markets have not been able to mobilize and allocate capital effectively. While Indian corporate sector depends predominantly on debt to raise finance, the Indian household depends primarily on banks to invest its savings. A possible explanation...
Persistent link: https://www.econbiz.de/10013243138
This paper applies the multi-scale beta estimation approach based on wavelet analysis to all stocks comprising BSE-Sensex. Betas are calculated based on the wavelet decomposition from the Maximal overlap discrete wavelet transform (DWT). It is shown that the multi-scale beta estimation approach...
Persistent link: https://www.econbiz.de/10013103832
This paper applies the multi-scale beta estimation approach based on wavelet analysis to all stocks comprising BSE-Sensex. Betas are calculated based on the wavelet decomposition from the Maximal overlap discrete wavelet transform (DWT). It is shown that the multi-scale beta estimation approach...
Persistent link: https://www.econbiz.de/10013104218
This study investigates the nature of relationship between price and trading volume for 50 Indian stocks. Firstly the contemporaneous and asymmetric relation between price and volume are examined. Then we examine the dynamic relation between returns and volume using VAR, Granger causality,...
Persistent link: https://www.econbiz.de/10013149666
Using a large representative sample of Indian retail equity investors, many of them new to the stock market, we show that recent investment experiences affect portfolio composition. Because investors are imperfectly diversified, cross-sectional variation in their investment experiences allows us...
Persistent link: https://www.econbiz.de/10013065058
, betas are estimated where the risk free rate is the intercept term. The results show that for the State Bank of India (SBIN …
Persistent link: https://www.econbiz.de/10013076267
behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically …
Persistent link: https://www.econbiz.de/10013047873