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The IUP Journal of Applied Finance

Jan'17

Focus Areas
Business Environment Regulatory Environment Equity Markets Debt Market Corporate Finance	Financial Services Portfolio Management International Finance Risk Management

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Application of Machine Learning Tools in Predictive Modeling of Pairs Trade in Indian Stock Market

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Generator Estimation for Transition Matrices with Applications to Credit Ratings

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Day-of-the-Week Effect in Fear Gauge: Evidence from India

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Service Sector IPOs – Factors Influencing Underpricing: An Indian Perspective

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Capital Budgeting Decisions in India: Manufacturing Sector Versus Non-Manufacturing Sector

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Application of Machine Learning Tools in Predictive Modeling of Pairs Trade in Indian Stock Market

--Tamal Datta Chaudhuri, Indranil Ghosh and Priyam Singh

The paper applies machine learning tools in pairs trading. Three different algorithms, namely, Support Vector Machine (SVM), Random Forest (RF) and Adaptive Neuro Fuzzy Inference System (ANFIS), have been used for predictive modeling of the value of the ratio of share prices of pairs of companies. The study considers nine different independent variables/features for forecasting. The analytical framework combines the mean reverting property of the movement of a pair of prices along with technical indicators. We also use feature selection algorithms for justification of the nine independent variables. The results support our methodology and also selection of the features for prediction.

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Generator Estimation for Transition Matrices with Applications to Credit Ratings

--Sohaan Shah, Varun Chotia and N V Muralidhar Rao

The major objective of this paper is to identify conditions under which a true generator can or cannot exist for an empirically observed transition matrix. In this study, an approach to finding a valid generator has been presented and the signs to look for, when trying to choose the ‘correct’ generator, have been forwarded. Conditions for the estimation of an approximate generator when a true generator does not exist have also been explored in this paper. Finally, we have given illustrations using transition matrices published by CRISIL.

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Day-of-the-Week Effect in Fear Gauge: Evidence from India

--Samreen Akhtar, Valeed Ahmad Ansari and Saghir Ahmad Ansari

This study tests the presence of day-of-the-week effect with respect to the VIX (fear gauge) and its underlying market index Nifty 50 in India for a period from March 2009 to February 2016 using OLS and GARCH(1, 1) framework. Investors can use the day-of-the-week effects information to avoid and reduce the risk when investing in Indian stock market. The results report the presence of strong positive Monday effect and negative Tuesday and Thursday effects in the Volatility index of India, while in the case of Nifty Monday effect is not found but a weak positive Wednesday effect is present. In order to obtain robust results, the analysis is also presented for sub-periods.

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Service Sector IPOs – Factors Influencing Underpricing: An Indian Perspective

--C Vijaya Chandra Kumar

Initial Public Offering (IPO) has been one of the most popular routes chosen for raising funds by any growing company. It is a common experience that many IPOs are underpriced. This paper attempts to find out the factors which influence the underpricing decision. Earlier researchers had found the influence of financial factors like ownership retention, size of the issue, age of the firm, Debt-equity ratio, NAV and non-financial factors like underwriter’s reputation, venture capital funding. An attempt is made to find out if Net-worth to Total Assets, Qualified Institutional Buyers allotment, Earnings per share, Return on Net-worth and IPO Grading, Green-shoe option also would influence the degree of underpricing of IPOs in the Indian context. Data relating to April 2003 to March 2012 have been studied with reference to the infrastructure sector.

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Capital Budgeting Decisions in India: Manufacturing Sector Versus Non-Manufacturing Sector

--Divya Gupta and B B Pradhan

The purpose of this paper is to confirm the impact of various variables which influence the capital budgeting decisions in India. The analysis is done on the basis of types of industries. All companies are divided into two parts: manufacturing sector and non-manufacturing sector. The factors affecting capital budgeting decisions in both the sectors are analyzed separately. This paper is based on the primary data. Using a sample size of 75 companies, with the support of factor analysis and regression analysis, this study finds that out of four factors—Size, Risk, Social Cost Benefit Analysis (SCBA) and Trait—Size and SCBA are significant and influence the decision of acceptance of the Type of Capital Budgeting Technique (TCBT) used by the companies in manufacturing and non-manufacturing sectors in India.

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Automated Teller Machines (ATMs): The Changing Face of Banking in India

Bank Management

Information and communication technology has changed the way in which banks provide services to its customers. These days the customers are able to perform their routine banking transactions without even entering the bank premises. ATM is one such development in recent years, which provides remote banking services all over the world, including India. This paper analyzes the development of this self-service banking in India based on the secondary data.

The Information and Communication Technology (ICT) is playing a very important role in the progress and advancement in almost all walks of life. The deregulated environment has provided an opportunity to restructure the means and methods of delivery of services in many areas, including the banking sector. The ICT has been a focused issue in the past two decades in Indian banking. In fact, ICTs are enabling the banks to change the way in which they are functioning. Improved customer service has become very important for the very survival and growth of banking sector in the reforms era. The technological advancements, deregulations, and intense competition due to the entry of private sector and foreign banks have altered the face of banking from one of mere intermediation to one of provider of quick, efficient and customer-friendly services. With the introduction and adoption of ICT in the banking sector, the customers are fast moving away from the traditional branch banking system to the convenient and comfort of virtual banking. The most important virtual banking services are phone banking, mobile banking, Internet banking and ATM banking. These electronic channels have enhanced the delivery of banking services accurately and efficiently to the customers. The ATMs are an important part of a bank’s alternative channel to reach the customers, to showcase products and services and to create brand awareness. This is reflected in the increase in the number of ATMs all over the world. ATM is one of the most widely used remote banking services all over the world, including India. This paper analyzes the growth of ATMs of different bank groups in India.

International Scenario

If ATMs are largely available over geographically dispersed areas, the benefit from using an ATM will increase as customers will be able to access their bank accounts from any geographic location. This would imply that the value of an ATM network increases with the number of available ATM locations, and the value of a bank network to a customer will be determined in part by the final network size of the banking system. The statistical information on the growth of branches and ATM network in select countries.

Indian Scenario

The financial services industry in India has witnessed a phenomenal growth, diversification and specialization since the initiation of financial sector reforms in 1991. Greater customer orientation is the only way to retain customer loyalty and withstand competition in the liberalized world. In a market-driven strategy of development, customer preference is of paramount importance in any economy. Gone are the days when customers used to come to the doorsteps of banks. Now the banks are required to chase the customers; only those banks which are customercentric and extremely focused on the needs of their clients can succeed in their business today.

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