This paper aims to explore links between the Indian stock market and three developed Asian markets (i.e. Hong Kong, Japan and Singapore) using cointegration methodologies in order to explore interdependence. We further estimate the time-varying conditional correlation relationships among these...

With changing global financial environment and emergence of new economic powers in recent decades, diversification of investment portfolios at country and sector levels assumed additional significance. Optimum portfolio selection within a capital market is primarily based on the best risk-return...

This study aims to test the influence of the introduction of derivative contracts on the volatility of the underlying asset. This study uses the introduction of single stock futures (SSF) listed on the National Stock Exchange of India to test the influence on the volatility of the underlying...

Using Indian index options, this paper investigates the effect of short-sales restrictions on the pricing and informational efficiency of derivative markets in emerging countries. Results indicate that there are violations of the put-call parity as well as the boundary conditions, indicating...

This study aims to provide an in-depth understanding of the BRICs’ ADR markets with respect to their linkages with the corresponding economic fundamentals. Specifically, the paper attempts to explore the (a) long run relationship and (b) short run lead-lag relationship between the ADR market...