Oct' 21
The IUP Journal of Applied Economics
Focus
In the second paper, "Financial Integration Within and Across the Markets: Evidence from India", the authors, Ajay Prasad Adepu, Nagaraju Thota and Niranjan Swain, examine the financial markets' integration within and across the markets in India for the sample period April 2006-March 2020 using the autoregressive distributed lag methodology. The results of the study indicate that there exists financial integration only in money, short-term, government and forex markets. On the other hand, in terms of across the markets, it is observed that all the money market and short-term credit market instruments other than IMF lending rate and bank rate are cointegrated with government securities, long-term debt, futures, foreign exchange and real estate markets. The study also reveals that equity market is cointegrated only with money, short-term credit and futures markets. The authors opine that the equilibrium adjustment speed is not uniform across the markets, and in general, it is lower within the markets compared to across the markets.
In the third paper, "Explosivity in the Cryptocurrency Market: A Panel GSADF Approach", the authors, Anoop S Kumar, Hafsal K and S Anandarao, study the synchronized explosive behavior in six major cryptocurrency prices for the period August 7, 2015 to May 31, 2020 using the Augmented Dickey-Fuller (ADF) unit root test method. The unit root test results suggest that individual cryptocurrency prices exhibit explosive behavior. On the other hand, the results of Backwards Supremum ADF (BSADF) date-stamping procedure indicate significant exogenous as well as endogenous events coinciding with periods of explosive behavior. The study presents evidence suggesting synchronization in the cryptocurrency market during the periods of turbulence. The study does not recommend investing in a cryptocurrency portfolio.
In the fourth paper ,"A Critical Analysis of Indian Mutual Funds: Equity and Debt Schemes", the authors, Joy Chakraborty, Ishani Roy and Arkaprabha Das, examine the performances of equity and debt-oriented mutual fund schemes covering the period 2015-2019 using risk-adjusted performance measures and Capital Asset Pricing Model (CAPM). The results of the risk-adjusted performance analyses indicate that the selected equity schemes have performed better than their debt counterparts, though the equity returns of HDFC Mutual Fund were found to be trailing behind that of SBI Mutual Fund. The authors opine that more than 50% of the equity schemes were overperforming which can really boost the confidence of the existing and prospective mutual fund investors. The study also reveals that the selected equity and debt schemes of the public sector player SBI Mutual Fund displayed superior risk-return performance than the private sector player HDFC Mutual Fund during the observed period.
Consulting Editor
The Monetary Policy Transmission Mechanism in Papua New Guinea: A Structural Vector Autoregressive (SVAR) Approach
This paper examines the monetary policy transmission mechanism in Papua New Guinea (PNG) and its impact on the business cycle using quarterly data from 1980Q1 to 2016Q3. The paper explains the short-run dynamic relationship amongst key macroeconomic variables using a Structural Vector Autoregressive (SVAR) model in an open economy setting. The paper confirms that changes in global economic conditions are a material cause of fluctuations in the business cycle in PNG. In contrast, domestic monetary policy shocks play a smaller role in generating business cycle variations in PNG. The paper finds that oil price shocks are more important than commodity price shocks or foreign monetary policy shocks in driving domestic fluctuations. Money supply matters in the transmission of monetary policy, while interest rates contribute modestly to explaining changes in output and inflation in PNG. Monetary policy essentially acts as a stabilizer in limiting the contagion effects of external shocks.
Financial Integration Within and Across the Markets: Evidence from India
Using monthly data on money, short-term credit, foreign exchange, government securities, long-term debt, futures, and real estate market instruments' returns, the paper examines the financial-markets' integration (i.e., long-term relationship or cointegration) within and across the markets in India for the sample period April 2006 to March 2020 by employing the autoregressive distributed lag methodology. In terms of within the markets, the study found that there exists financial integration only in money, short-term, government and forex markets. On the other hand, in terms of across the markets, it is found that all the money market and short-term credit market instruments other than IMF lending rate and bank rate are cointegrated with government securities, long-term debt, futures, foreign exchange and real estate markets. Equity market is cointegrated only with money, short-term credit and futures markets. Similarly, 10-year government security is cointegrated with money, short-term credit and forex markets. The equity futures market is cointegrated with money, short-term credit and long-term debt markets only, while the corporate bond market is cointegrated with all the markets other than futures. On the other hand, neither the commodity futures market nor the real-estate market is cointegrated with any other markets. The equilibrium adjustment speed is not uniform across the markets and in general it is lower within the markets compared to across the markets.
Explosivity in the Cryptocurrency Market: A Panel GSADF Approach
The paper studies the synchronized explosive behavior in six major cryptocurrency prices by employing a recursive panel Generalized Supremum Augmented Dickey-Fuller (GSADF) unit root test method. Towards this purpose, daily log prices of six cryptocurrencies-Bitcoin, Ethereum, Ripple, Nem, Dash and Litecoin-are employed for the period August 7, 2015 to May 31, 2020. Using the GSADF unit root test, the study finds strong evidence in favor of explosivity in the individual currencies and the panel. Employing the recursive Backwards Supremum ADF (BSADF) date-stamping procedure, significant periods of explosive behavior in the individual cryptocurrencies are identified. In the next stage, the possible exogenous and endogenous reasons behind the explosive price movements are identified. Finally, the panel GSADF analysis is employed and a common turbulent period during 2017-18 is identified, coinciding with the cryptocurrency boom and the subsequent crash of 2018 January. The study presents evidence suggesting synchronization in the cryptocurrency market during the periods of turbulence. Based on the results, the study does not recommend investing in a cryptocurrency portfolio.
A Critical Analysis of Indian Mutual Funds: Equity and Debt Schemes
The present paper examines the performances of equity and debt-oriented mutual fund schemes covering the period from 2015 to 2019, concurrent to the implementation of demonetization and GST in India. A total of eight schemes, with four each from the equity and debt funds, of SBI and HDFC Asset Management Companies (AMCs), have been considered in the present study. Based on the risk-adjusted performance analyses, particularly the Treynor ratio, the selected debt schemes of HDFC Mutual Fund have outperformed the debt schemes of SBI Mutual Fund.