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.

One of the institutional arrangements common to Initial Public Offerings (IPOs) to produce the desired information by the informed investors, is the investment banking syndicate (Chowdhry and Nanda, 1996; and Pichler and Wilhelm, 2001). Empirical support for a variety of functions for syndicates include: incremental certification (Beatty and Welch, 1996), analyst coverage (Chen and Ritter, 2000; Corwin and Schultz, 2005; and Das et al., 2006), stabilizing and market-making (Benveniste et al., 1996; and Chowdhry and Nanda, 1996). Aftermarket analyst coverage is considered as the most cited function of IPO syndicate (Krigman et al., 2001). The larger the IPO syndicate, the more will be the analyst coverage for the IPOs in the aftermarket (Bradely et al., 2008), hence more information can be generated for initial valuation as well as aftermarket price performance for IPOs. Despite these and other studies on broad functions of IPO syndicate, the determinants of Syndicate Size (SS) still remains unresolved.

Certification hypothesis argues that the syndicate structures (both composition and magnitude) prove to be an important certification tool for the investors. In an organized syndicate, the investment banks communicate the business story to the prospective investor community, as well as provide the feedback regarding the response of the investors to the Book Running Lead Manager (BRLM), including the issuer. Conceptually, the more the number of syndicate members, the more effective will be the communication of information to the investors. Chen and Ritter (2000) studied the composition of the syndicate for the US IPOs during the period 1985-98. They found that the proportion of large syndicates has considerably increased from 28% to 51% for large IPOs during the period 1995-98. From a broader market and distribution perspective, a large syndicate is more effective. However, an inclusion of additional investment bank in the syndicate bears extra cost for the issuing firm. Hence, there is an imperative need for doing a cost-benefit analysis for evaluating the effective magnitude of the syndicate. The present study focuses on investigating the key drivers for estimating the syndicate magnitude.

The objective of this research is to evaluate the SS for the IPOs issued in India during the period 2002-07. The frequency of the syndicate of each IPO is considered as the predicting variable, while the explanatory variables are lead Investment Bank’s Prestige (IBP), Offer Size (OS), Leverage (LEV), Initial Return (IR), and aftermarket pricing risk (ex ante). Each of the explanatory variables is selected on the basis of proven empirical merit. Using multivariate OLS regression, the study explores the predictive relationship between SS and the chosen independent variables. Distribution of SS with respect to subscription level, underpricing, age of the firm, post-issue promoter group holding, and offer price is also investigated. Oneway between groups ANOVA is used to estimate the variances across SS for all the sample IPOs issued during 2002-07.

Applied Finance Journal, Syndicate Size, Structure and Performance, An Empirical Investigation, Indian IPOs, Initial Public Offerings, Extant Literature, Explanation of Variables, Investment Bank Prestige, OLS Regression Model.