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Performance
of Mutual Funds in India: An
Empirical Study
--Navdeep
Aggarwal and Mohit Gupta
While
the global mutual fund industry continues to grow by leaps
and bounds, the research on mutual funds has been confined
to only a few developed markets, with USA always getting a
special attention. Although emerging markets such as India
have attracted the attention of investors all over the world,
they have remained devoid of much systematic research, especially
in the area of mutual funds. In an effort to plug this gap,
the present study sought to check the performance of mutual
funds operation in India. In this regard, quarterly returns
performance of all the equity-diversified mutual funds during
the period from January 2002 to December 2006 was tested.
Analysis was carried out with the help of Capital Asset Pricing
Model (CAPM) and Fama-French Model. Amidst contrasting findings
from the application of the two models, the study calls for
further research and insights into the interplay between the
performance determinant factor portfolios and their effect
on mutual fund returns.
©
2007 IUP . All Rights Reserved.
Long-run
Dynamic Equilibrium between S&P CNX Nifty and the Corresponding
Three
Index Futures
--Aayush
Dhawan and Prabina Rajib
This
study models and explains the long-run dynamic equilibrium
relationships between S&P CNX Nifty index and corresponding
near month futures, next month futures and far month futures.
These relationships have been formulated based on cost-of-carry
model using the Johansen's cointegrating framework. All the
three stock index futures have been included simultaneously
in the econometric model, along with the stock index spot
price, which enables the model to capture the long-run equilibrium
relationships more realistically as compared to pair-wise
cointegration. Three cointegrating relationships have been
identified between spot index and the three index futures
and the relative importance of these relationships in the
Vector Error Correction Model (VECM) has been compared based
on their speed of adjustment back to the equilibrium.
©
2007 IUP . All Rights Reserved.
Managing
Risks Embedded in Mortgage Contract: A Baseline Study of MBS
in USA and Germany
-- Ravindhar
Vadapalli
Why
are housing finance systems different in different countries?
What role does a micro structure of mortgage finance industry
play in managing risks embedded in mortgage contract and in
determining broader market outcomes? What lessons can be drawn
from the experience of other countries if one plans to reform
its own system? The current study aims to shed light on these
questions by comparing the system of two developed economies—the
United States and Germany—and suggests a few measures
to one of the fast-emerging economies, India.
©
2007 IUP . All Rights Reserved.
Impact
of Stock Futures on the Stock Market Volatility
--
Afsal E M and T Mallikarjunappa
In
India, derivatives were launched mainly with the twin objective
of risk transfer and increasing liquidity in order to ensure
better market efficiency. Therefore, it is important, from
theoretical and practical points of view, to examine how far
these objectives have been materialized. This paper attempts
to study the volatility implications of the introduction of
futures for the stock market in India. The data set covers
spot market returns of nine individual stocks which have been
available for trade in the futures segment of the NSE from
November 9, 2001 when stock futures were introduced. The period
analyzed is from October 1995 through June 2006. To account
for the non-constant error variance in the return series,
the study applies GARCH model for incorporating futures dummy
variable in the conditional variance equation. The study finds
persistence and clustering of volatility in general and little
or no impact of the futures trading on the market volatility
in majority of the cases. But the volatility is found mean
reverting in all the stocks examined. Of the nine, seven stocks
were found affected by domestic market returns and three stocks
by global market returns.
©
2007 IUP . All Rights Reserved.
Relevance
of CAPM to Indian Stock Market
--
Raj S Dhankar and Rakesh Kumar
Modern
portfolio theory began with the postulation of Capital Asset
Pricing Model (CAPM). It provides how a risky security is
priced in competitive capital market. It is the theory of
equilibrium between risk and return. It postulates a positive
and linear relationship between risk and return, and maintains
that non-market risk successively declines with the process
of diversification. The study examines the monthly return
of composite portfolio of 100 stocks of BSE 100 for the period
from June 1996 to May 2005. It involves the testing of relationship
between risk and return of stocks of 100 companies and a set
of ten portfolios. The empirical findings are in favor of
the model by asserting a positive and linear relationship
between risk and return. The study also reports that as diversification
is carried out, non-market risks successively decline. These
findings support CAPM in Indian stock market in establishing
a trade-off between risk and return.
©
2007 IUP . All Rights Reserved.
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