An Analysis of Relationship Between Corporate Governance of Firms and Their Capital Market Performance
-- Debasis Bagchi
Earlier research works documented that a portfolio constructed on the basis of good corporate governance firms has earned
more return in comparison to the return of a portfolio which included low corporate governance firms. In our research, we found that
there has been no abnormal return earned by the different portfolios constructed on the basis of corporate governance index. The
impulse response analysis shows that the portfolios of both low and high governance firms as well as only low governance firms have
similar impulse response on Nifty return. This phenomenon signifies that the impact of economic shocks on the stock market performance of
the higher governance index firms is similar to that of the low and moderate governance indexed firms.
© 2011 IUP. All Rights Reserved.
Financial Liberalization and Services Sector Growth:
Empirical Evidence from Pakistan
-- Qazi Muhammad Adnan Hye and Shahida Wizarat
The paper focuses on the relationship between financial liberalization and services sector growth in Pakistan, capturing the impact
of financial liberalization using the Financial Liberalization Index (FLI) first developed by Hye and Wizarat (2010). The results
suggest that in the short run both FLI and the
real interest rate (RIR) positively impact the services sector growth, but in the long run, FLI
and RIR are negatively related to services sector growth.
© 2011 IUP. All Rights Reserved.
Estimation of Constant and Time-Varying Hedge Ratios for
Indian Stock Index Futures Market: Evidence from the National
Stock Exchange
-- P Srinivasan
This paper investigates the hedging effectiveness of the S&P CNX Nifty index futures by employing four competing models, viz.,
the simple Ordinary Least Squares (OLS) method, the Bivariate Vector Autoregressive (BVAR) model, the Vector Error Correction
Model (VECM), and the multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) with error correction model.
The hedge performances obtained from the different econometric models for the in-sample and out-of-sample periods are compared
in terms of variance minimization criterion.
© 2011 IUP. All Rights Reserved.
Winter Blues, Investor Mood and Stock Market Returns: Evidence from the Tunisian Stock Exchange
-- Fatma Hammami and Ezzeddine Abaoub
Previous research has recognized strong and robust links between seasonal variation in length of day, seasonal depression
risk aversion and stock market returns. The influence of Seasonal Affective Disorder (SAD) on market returns is known as the SAD
effect. We study the SAD effect in the context of the Tunisian stock exchange. Using the daily return data of the Tunisian stock market
indices—BVMT and TUNINDEX—for the period January 1998 to December 2008, we do not confirm the presence of the SAD effect on
the market returns. Our results may be explained by the geographic location of Tunis city at latitudes closer to the equator line (36°
North), where SAD effect becomes generally less significant.
© 2011 IUP. All Rights Reserved.
Determination and Use of a Hurdle Rate in the Capital Budgeting Process: Evidence from Listed Australian Companies
-- Baliira Kalyebara and Abdullahi D Ahmed
This paper reports the results of a questionnaire survey about the investment appraisal practices of the top 500 companies listed on
the Australian Stock Exchange (ASX) and the internal and external factors which impact on the managers' decisions. For the
companies which responded (41%), the results show that the majority of respondents predominately use
discounted cash flow (DCF) techniques. Respondents use more than one technique to make investment appraisal decisions. The use of the non-DCF techniques such as
payback period in the preliminary stages is a common practice. More often than not, non-DCF techniques are complemented by DCF
techniques as NPV and IRR as the primary techniques.
© 2011 IUP. All Rights Reserved.
Do Indian Mutual Fund Managers Select
the Stock and Time the Market Correctly?
-- Manju Punia Chopra
The study measures the performance, on the parameters of `Stock Selection' and `Market-Timing' ability, of mutual fund
managers, using Jensen's alpha and, Merton-Henriksson model, on a sample of 36 Indian mutual fund schemes, for the period January 2001
to September 2009, with S&P CNX Nifty as a benchmark. Findings suggest that, on an average, fund managers are not able to
predict security prices well enough to outperform a buy-the-market-and-hold policy. There was very little evidence of any individual fund
being able to do significantly better than expected from random chance. No evidence of curvature of the characteristic lines,
indicating superior timing skill, is found for any of the funds.
© 2011 IUP. All Rights Reserved.
|
