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| Author | : Dr GangineniDhanaiah |
| Publisher | : Archers & Elevators Publishing House |
| Total Pages | : |
| Release | : |
| Genre | : Antiques & Collectibles |
| ISBN | : 9386501899 |
| Author | : Dr. Ashwin G. Modi |
| Publisher | : |
| Total Pages | : 16 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
The twenty-first century may well be the time when the balance of power shifts to Brazil, Russia, India and China, nations collectively referred to as BRICs economies. These nations constitute the shape of the future, giving rise to a new world economy. Leaders in BRICs are frenetically laying the groundwork for decades of new growth. Foreign Investors are investing considerably in the emerging economies with mainly two objectives; (1) To enhance the portfolio growth and; (2) To reduce portfolio risk through efficient international portfolio diversification. This paper studies various alternative techniques for recognizing co-movement resulting among the selected developed stock markets and the emerging stock markets of the world. The leading indices of the selected stock markets are considered as proxies of the markets. Using the daily Index data from July 1, 1997 to June 30, 2008, authors examine the stock market indices of India (SENSEX), Hong Kong (HANGSENG), Mexico (MXX), Russia (RTS), Brazil (BVSP), UK (FTSE-100) and US (DJIA and NASDAQ). Co-integration technique has been employed to study the short term and long-term relationships between the market pairs. The paper explores the issues like contributions of national market volatilities, external world market volatility, and some other factors influencing the correlation between stock market returns.
| Author | : Sarod Khandaker |
| Publisher | : |
| Total Pages | : 19 |
| Release | : 2015 |
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| ISBN | : |
In this paper, we analyse historical stock market volatility and co-movement behaviour of three emerging markets and three developed economies from January 2001 to December 2012. We find evidence that the sample of emerging economies exhibits higher stock market volatility during the study period and these volatilities increases during the global financial crisis (GFC). There is also evidence that our sample of the emerging economies exhibit higher level of stock market co-movement behaviour during the study period, for example Indonesia and Malaysia exhibit higher R-square values during 2007-2012. However, we do not find any evidence of a statistically significant correlation coefficient between the volatility measures and the co-movement measures for our sample developed and emerging countries, except for Indonesia. Therefore, it is concluded that both these market models capture different aspects of stock market behaviour.
| Author | : Greg N. Gregoriou |
| Publisher | : CRC Press |
| Total Pages | : 654 |
| Release | : 2009-04-08 |
| Genre | : Business & Economics |
| ISBN | : 1420099558 |
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
| Author | : Aravind M |
| Publisher | : |
| Total Pages | : 16 |
| Release | : 2016 |
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Creating a profitable investment portfolio seems to be the challenging query faced by any investor. In an emerging economy like India, investors believe that picking an investment option is tedious as we have a wide variety of stocks from various sectors which witness sharp price movements resulting in volatility. The National Stock Exchange of India has formed several sectoral indices in order to provide a rational outlook to investors on the performance of various sectors. All these sectoral indices were created with high quality stocks from the respective sectors, which is extremely useful in identifying profitable investment opportunities for investors. This study is intended to form some investment strategies based on sectoral performance of stocks. Contrarian and momentum strategies are two major investment strategies widely debated by investment strategists across the world. All sectoral indices provided by N S E have been considered for the study. The period of study is between April 2009 and March 2015. The sectoral indices were studied on the notion that the test result will give a clear cut picture on the investment strategies to be adopted with stocks of various sectors. Results of the study confirm that short term contrarian effect exists in Metals, Auto, Banking and Energy sectors. So the investors should employ adequate are while investing with such sectors for the short term. In case of long term investments, due care should be employed while selecting stocks from the media sector. In addition to these observations, the test results produced evidence on the subsistence of momentum effect in the Indian stock market. Here buy 'past winners' and sell 'past losers' can generate extra profit.
| Author | : Aravind M |
| Publisher | : |
| Total Pages | : 18 |
| Release | : 2018 |
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The sectoral indices will act as a bench marking indicator for observing the performance stocks from a particular sector. An in depth examination on causal impact of a sector on the other sectors and the market index can assist the investors and portfolio managers to a great extent in addressing some key issues relating to portfolio revision. In this study we explore the co-movements of twelve NSE sectoral indices and Nifty on a daily basis from January 2012 to December 2016. The Granger causality test produced the evidence of strong bidirectional linkage between private banking sector and nifty. With respect to IT and FMCG sectors a significant unidirectional causal affiliation was reported with Nifty. The cross sectoral examination results confirmed that irrespective of share holding pattern a strong bidirectional relation can be observed with banking stocks.
| Author | : Dr. Arpit Sidhu |
| Publisher | : |
| Total Pages | : 8 |
| Release | : 2020 |
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| ISBN | : |
The present study analyses the attributes of randomness in Indian securities exchange. Unpredictability in the NSE and its underlying indices show highlights of mean reversion and a reasonable level of volatility perseverance, evaluations of which give a thought of the effect and length of a specific information stun to the market. The profits unpredictability is found to show huge leverage impact and uneven reaction. The present study revolves around the idea of volatility in stock market of India, to look at the amount of volatility persistence in the National stock exchange (NSE), and to inspect the presence of leverage impact in the NSE. The daily closing prices data of selected NSE indices from 1 April, 1995 to 31, December, 2018 are collected to examine the extentof asymmetric effect in Indian stock market. Through the present investigation we came to realize that CNX IT is increasingly unstable and furthermore shows abnormal conduct as it is progressively influenced by positive news though CNX 200 shows most elevated leverage effect and asymmetric reaction, additionally CNX SERVICE which is a record with high instability perseverance, and among all indices CNX FMCG shows least volatility persistence. Results will be helpful to market participants and all other stakeholders for future investments and further research on volatility can be extended to other segments (derivatives, swaps and other macroeconomic variables) using quintile regression and other advanced GARCH family models.
| Author | : Suresh N. |
| Publisher | : |
| Total Pages | : |
| Release | : 2017 |
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This article investigates the effects of interest rates volatility on stock market returns and volatility using weekly returns on the 15 selected public sector Banks namely Allahabad Bank, Andhra Bank, Bank of Baroda, Bank of India, Canara Bank, Corporation Bank, Dena Bank, Indian Overseas Bank, Oriental Bank of Commerce, Punjab National Bank, State Bank of India, Syndicate Bank, UCO Bank, Union Bank of India, and Vijaya Bank over the period from 1st April 2004 to 31st Dec 2005.The 'market model' is a standard framework for measuring the sensitivity of an individual stock to fluctuations in the market index. In this paper, we have used an 'augmented market model' which estimates, the elasticity of returns on the stock against returns on the index. This regressor used in this model can be interpreted as the return on a portfolio where the long bond is purchased, using borrowed funds at the short rate. Augmented model with interest rates and assuming a student's t-distribution for error terms is used to test these relationships.The return on selected banks and market return required for the study are obtained from the National Stock Exchange website. We created time-series of notional bond returns on the 28-day and the 10-year zero coupon bond, priced off the NSE Zero Coupon Yield Curve for short tem and long term returns respectively.The results indicate that interest rates have a strong positive power for stock returns and. weak predictive power for volatility. We find that for 9 of the 15 banks in our sample, over 25% of equity capital would be gained or lost in the event of a 200 bps move in the yield curve. The stock market sensitivities suggest that there is strong heterogeneity across banks in India in their interest rate exposure. The stock market is unaware of interest rate risk when valuing bank stocks. i.e. a weak predictive power for volatility.
| Author | : Sumathi D. |
| Publisher | : |
| Total Pages | : 9 |
| Release | : 2019 |
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| ISBN | : |
Economic status of India is greatly imitated by the introduction of new economic policy in 1991. The Indian Capital Market has perceived a marvelous progression. There was an outburst of investor interest during the nineties and an equity cult emerged in the country. Foreign Exchange Regulations Act is one such legislation in this direction. An important recent development has been the entry of Foreign Institutional Investors as participants in the primary and secondary markets for industrial securities. In the past several years, investments in developing countries have increased remarkably. Among the developing countries, India has received considerable capital inflows in recent years. We apply the GARCH (1, 1) (General Autoregressive Conditional Heteroscedasticity) framework to on selected representative stock indices. The findings reveal that the GARCH (1, 1) model successfully captures nonlinearity and existence of volatility. The analysis suggests indicates a long persistence of volatility in Indian stock market especially National Stock Exchange (NSE) of India. The preliminary analysis of data set suggests that volatility in the Indian stock market is time varying in nature, persist to form clusters and has a long memory process. These findings of the data characteristics have been consistent with previous studies of Indian markets and justify the application of GARCH type models. The detailed analysis shows that the TGARCH (1,1) model outperforms in estimating, predicting and forecasting the stock market volatility.
| Author | : Mitesh Patel |
| Publisher | : |
| Total Pages | : 8 |
| Release | : 2015 |
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The Bombay stock exchange, Hong Kong Stock Exchange, Tokyo Stock Exchange & Shanghai Stock Exchange are among the oldest exchanges in Asia. The Study was carried out with objective to examine the causal linkages among equity markets to better understand how shocks in one market are transmitted to other markets. The study was done by taking data from 1/3/2000 to till 4/6/2011. The study was done by taking stock price data of BSE, HANGSENG, TSE & SSE. Various analytical tools such as correlation, unit root test (ADF test) and granger causality test were applied in study to find co movement & dependency of Indian market over selected markets. The correlation of daily prices gives an outcome that BSE is highly correlated with Hangseng & SSE. The granger causality test reveals an outcome that BSE is not granger cause by any of the selected market. Over all it can conclude that the selected markets are not much depending on each other.
