In recent years, there has been renewed interest in the yield curve as a predictor of future economic activity. In this paper, we re-examine the evidence for this predictor for the Indian market. The paper tries to indicate how the yield curve spread in a government securities market may be used...

Using data from 65 of the most actively traded stocks from the National Stock Exchange of India we study the relationship between impact cost and three indicators of market efficiency under different settlement regimes. Our data is uniquely suited for this study because it encompasses a...

Computing accurate volatility is an important element in market safety. Investigating the volatility pattern using high frequency data has become a popular area. Six different types of volatility have been estimated for Indian market for the period from January '99 to December '03 using high...

The present study examines empirically the day of the week effect anomaly in the Indian equity market for the period from 1999 to 2003 using both high frequency and end of day data for the benchmark Indian equity market index Samp;P CNX NIFTY. Using robust regression with biweights and dummy...

The gradual shift to market related rates of interest on government borrowing has now made it possible to estimate the term structure in the Indian debt markets. Estimates of term structure provide the basis for valuation and risk measurement of sovereign and non-sovereign securities. It gives...