Jul'19


The IUP Journal of Applied Finance

ISSN: 0972-5105

A 'peer reviewed' journal indexed on Cabell's Directory, and also distributed by EBSCO and Proquest Database

It is a quarterly journal that showcases empirical research in applied finance. It provides research papers on Business environment, Trade and free trade agreements, Tariff liberalization, Imports and exports, FDI, Equity markets, Debt markets, Corporate finance, Financial services, Financial risk management, Portfolio management, International finance, Bank efficiency and regulation, Structural transformation, Regulatory efficiency, etc.

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Focus Areas
  • Business Environment
  • Regulatory Environment
  • Equity Markets
  • Debt Market
  • Corporate Finance
  • Financial Services
  • Portfolio Management
  • International Finance
  • Risk Management
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Article   Price (₹) Buy
The Impact of High-Frequency Trading on Market Quality: Testimony from Indian Equity Derivatives Market
50
Pricing Efficiency and Trading Characteristics of Exchange Traded Funds: The Case of Indian Index ETFs
50
A Study on the Inter-Market Relationship Between Indian Stock Markets and Global Stock Markets
50
Stock Market Integration: A Review of Literature from a Global Perspective
50
     
Contents : (Jul 2019)

The Impact of High-Frequency Trading on Market Quality: Testimony from Indian Equity Derivatives Market
Shalini Agnihotri and Aishwarya Nagpal

Algorithmic Trading (AT) or High-Frequency Trading (HFT) has lately turned out to be a buzzword in the current trading ecosystem. In developed economies, the bulk of such technology-driven transactions has significantly increased over the years. The Indian market has also been gradually embracing the Algo or High Frequency Trading since 2009 as more and more transactions are being routed through this platform. A technology in financial markets is considered to be good if it helps in increasing the market quality. The present study attempts to investigate the impact of HFT on the market quality. The impact of HFT on market quality is tested via three important pillars of market dynamics, i.e., market liquidity, volatility, and hedging efficiency, using a sample of daily and intra-day prices of National Stock Exchange (NSE) securities during the year 2017. The results highlight that HFT has a significant impact on liquidity enhancement, whereas no conclusive evidence regarding its impact on the volatility has been witnessed. Further, the impact of HFT on hedging efficiency has been observed, though it has not been a strong one to validate it in general.


© 2019 IUP. All Rights Reserved.

Article Price : ? 50

Pricing Efficiency and Trading Characteristics of Exchange Traded Funds: The Case of Indian Index ETFs
Aakanksha Sethi and Vanita Tripathi

The present study investigates the pricing efficiency and the trading characteristics of index ETFs in India. Theoretically, ETF prices are expected to closely track their NAVs. The deviations, if any, are expected to be eliminated quickly due to the arbitrage mechanism in place. In this study, we use daily price and NAV to test the hypothesis that ETF prices can deviate significantly and persistently from their NAVs. Further, a trading profile is constructed to examine the level of trading activity in ETFs and to investigate the impact of risk management and arbitrage activities on trading volume. The findings indicate that a majority of ETFs in India exhibit large mispricing which persists over extended periods of time. There is an acute liquidity problem for a majority of the funds in the market. Finally, the study finds that trading is positively affected by market volatility, while price-NAV deviations have a negative impact on the trading volume for most of the funds. The results strongly suggest the existence of major inefficiencies in the arbitrage mechanism of ETFs.


© 2019 IUP. All Rights Reserved.

Article Price : ? 50

A Study on the Inter-Market Relationship Between Indian Stock Markets and Global Stock Markets
Ayesha Javeriya Khanum, Vedashree N, Suresh G and Lijeesh P

The paper investigates the possibility of classifying all the developed economies’ stock markets as having an influence on the Indian stock markets and vice versa. To examine the validity of the above statement, the difference between Indian stock markets and the stock markets of developed and developing economies is ascertained using OLS regression analysis. Further, for the Granger causality test and the impulse response test, five developed economies, viz., US, UK, Hong Kong, Japan and Spain, and five developing economies, viz., Sri Lanka, Pakistan, Kenya, China, and Indonesia, are selected. The selection was made based on the GDP rates, and the countries with the highest GDP were selected. The study is conducted using 10 years’ data relating to the stock index prices of the selected countries. The study concludes that not all the developed economies have an impact on India, as Japan is found not to influence Indian stock markets, whereas all the developing economies’ stock markets are found to be affected by India.


© 2019 IUP. All Rights Reserved.

Article Price : ? 50

Stock Market Integration: A Review of Literature from a Global Perspective
Guntur Anjana Raju and Velip Suraj Pavto

The relaxation of the various rules and regulations and opening the doors of financial markets to foreign capital has helped in the global financial integration. This paper is an attempt to assemble the various literature available in the field of stock market integration across the world. This paper has gathered around 223 research papers from various sources for a period ranging from 1972 to September 2018. From the study, it has been observed that the stock market integration has been accelerated over a period of time, especially after the two major crises, viz., Asian financial crisis of 1999 and 2008 subprime global financial crisis. Further, from the previous studies it is noted that researchers concentrated mainly on the integration between developed and emerging stock markets, while frontier and standalone markets received less focus. Overall, the present paper will be a guide to the researchers to carry out future research in this area and to the various practitioners in these markets to arrive at faster and better decisions.


© 2019 IUP. All Rights Reserved.

Article Price : ? 50

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