Day-of-the-Week Effect and Market Efficiency
in the Italian Stock Market: An Empirical Analysis
--Francesco Guidi
This paper examines the presence of the day-of-the-week effect in the Italian stock market index (MIB) sub-sectoral returns. The study,
by using GARCH-M (1,1) models, did not find evidence of the day-of-the-week effect in mean equations, while some evidence was present
in variance equations. The study also investigates the validity of random walk hypothesis for all the MIB sub-sectoral returns. The
results indicate that almost all sub-sectoral returns did not follow a random walk process as required by market efficiency hypothesis.
© 2010 IUP. All Rights Reserved.
Trading Behavior of Institutional Investors
Across Weekdays: An Indian Evidence
--Ashish Garg,
--Sangeeta Chhabra
The paper examines the trading pattern of Foreign Institutional Investors (FIIs) and the Indian Mutual Funds (IMFs) across the days
of the week for a period of nine years from January 2000 to January 2009. A set of parametric and econometric tests were employed
to test the equality of daily mean investment of FIIs and IMFs. The findings of the study show that net investment made by the FIIs
follow Friday effect, while the investments made by the IMFs are equally distributed among the various days of the week. As far as
their relation with stock market trend is concerned, day anomalies in Indian share market return somehow correlated with the
investment pattern of foreign institutional investment, as they behave in the same manner as the market is behaving.
© 2010 IUP. All Rights Reserved.
Service Sector Pricing Decisions:
A Real Options Approach
--Luke T Miller,
--Eric L Huggins
Revenue management in the service sector requires a market-based, proactive treatment of pricing decisions. A real options
framework is proposed as a technique to value the strategic flexibility implicit/explicit to the service sector pricing decision. More specifically,
a unifying taxonomy of service pricing practices is discussed in a real options context, and the standard option valuation tools are
applied to the strategic service sector pricing decisions.
©2010 IUP. All Rights Reserved.
The Determinants of Corporate Debt Maturity:
A Study of Indian Firms
--Raju Majumdar
The study examines the determinants of debt maturity structure decisions, using a sample of companies chosen from two broad
indices, viz., the BSE 500 and the CNX 500 index. The study results suggest that collateralizable assets and leverage are the
important determinants of debt maturity choice. Size and firm quality have the predicted effect on debt maturity; however, results are
statistically significant only in the case of fixed effect firm and time model. It finds no evidence of the impact of effective tax rate, asset maturity,
and growth prospects on debt maturity in the Indian context.
© 2010 IUP. All Rights Reserved.
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