Macroeconomic Fundamentals as Determinants of Equity Prices:
An Empirical Analysis for India
-- Pushpa Trivedi and Samir Ranjan Behera
This study is an attempt to examine the interlinkages between equity prices of Bombay Stock Exchange Sensex (BSE Sensex) and select macroeconomic variables in India in a time series framework. In the first stage of the empirical investigation, the study tries to investigate both the long-run and short-run relationship of equity price (BSE Sensex) with macroeconomic variables, viz., Index of Industrial Production (IIP), Wholesale Price Index (WPI), interest rates (3-month T-bill rate), money supply (M3), Foreign Institutional Investments (FIIs) as well as Morgan Stanley Capital International (MSCI) world index in a cointegration and vector error-correction framework. In the next stage of the empirical investigation, the study explores the dynamic interrelationship of equity prices (BSE Sensex) with different macroeconomic indicators in a cointegrated Vector Autoregressive (VAR) framework by analyzing the impulse response functions and variance decomposition results.
© 2012 IUP. All Rights Reserved.
Portfolio Selection Revisited: Evidence from the Indian Stock Market
-- Kushankur Dey and Debasish Maitra
This paper is an attempt to examine the reliability and usefulness of ex ante measures of portfolio formulation by selecting securities from a well-defined sampling frame. Four indices are employed to achieve the objectives of the study, namely, Sharpe index, Treynor index, Jensen index and Sortino index. Incorporation of the four indices helps in understanding theoretical underpinnings of both modern and post-modern portfolio theories. The study is conducted in the Indian context with special reference to S&P500 CNX NIFTY index, wherein the selection of the security for constructing the index is subject to three criteria: liquidity, market capitalization, and floating stocks. Using the Sharpe’s algorithm, cut-off is calculated to formulate the portfolio of 26 stocks out of 50 stocks. A comprehensive analysis of each individual stock, portfolio, and index is presented with respect to their annualized returns, annualized standard deviations, betas, residual variances or deviations. This study provides a basis for a large section of investors, especially retail investors, for analyzing, selecting, and evaluating their portfolios as an index tracker onto some specific reference point.
© 2012 IUP. All Rights Reserved.
Empirical Relationship Between Index Futures Prices, Volume
and Open Interest: Evidence from Indian Futures Market
--Moonis Shakeel and Shahid Ashraf
This paper examines the relationship between the returns volatility, volume and open interest of the futures market. Both volume and open interest are broken down into their respective expected and unexpected components to understand as to which is able to explain the volatility. The study is conducted on daily closing index futures prices, volume and open interest for the near-month contract of the Nifty Futures Index on National Stock Exchange (NSE). GARCH-type models are used to model the volatility.
© 2012 IUP. All Rights Reserved.
Syndicate Size, Structure and Performance:
An Empirical Investigation of Indian IPOs
-- Seshadev Sahoo
This paper examines the relationship between the returns volatility, volume and open interest of the futures market. Both volume and open interest are broken down into their respective expected and unexpected components to understand as to which is able to explain the volatility. The study is conducted on daily closing index futures prices, volume and open interest for the near-month contract of the Nifty Futures Index on National Stock Exchange (NSE). GARCH-type models are used to model the volatility.
© 2012 IUP. All Rights Reserved.
Contagion Effect of Dollar and Euro on the Indian Stock Market
-- Santosh Kumar, Raju G and Tanveer Shahab
The study investigates the interactions between changes in the exchange value of Indian rupee for dollar and euro, and returns on different indices of National Stock Exchange (NSE) in the Indian stock market using daily data of the last ten years. Sensitivity of dollar and euro is computed using Adler and Dumas (1984) model, along with impulse response function with some modifications.
© 2012 IUP. All Rights Reserved.
Resilience of Indian Equity Versus Derivatives Markets:
An Analysis Using VaR Approach
-- Tanupa Chakraborty
This paper examines the resilience displayed by the spot indices S&P CNX Nifty, and two sectoral indices—CNX IT and Bank Nifty—of National Stock Exchange (NSE), one of the major stock exchanges in India, versus their respective futures contracts using Value-at-Risk (VaR) concept during dotcom and subprime mortgage crises over 2000-10 period. The study finds that losses based on one-day VaR at 95% confidence interval have been greater in the futures market than in their respective underlying spot markets, thereby implying that Indian derivatives market displays less resilience than its equity market.
© 2012 IUP. All Rights Reserved.
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