Drinking water being the basic requirements of life plays an integral role in maintaining and promoting public health. To meet the targets of Millennium Development Goals India needs roughly Rs.380 billion. Given pattern of investments, State is making large investment. However, due to lack of...

This paper applies Autoregressive Conditional Heteroskedasticity (ARCH) methodology to model volatality and its persistence based on daily returns(1992-96) of 30 blue-chip securities traded in Bombay Stock Exchange. The results of the Study show that the variance of returns varies over time and...

This paper shows that globalization of securities markets exacerbates the volatility of capital flows by strengthening incentives for herding behavior. This is a prediction of a mean-variance portfolio optimization model with imperfect information, in which investors acquire country-specific...

This paper addresses the important question of what happened to the Indian stock market following financial liberalisation. Considering three stock market indicators, viz., size, liquidity and volatility, and applying two time series trend break techniques of Perron (1989, 1997) on monthly data...

This paper attempts to test the stock market efficienty (in a semi-strong form) by investigating the relationsship between aggregate stock returns and a number of important macro variables including fiscal and monetary policy actions using the VAR methodology. This exercise is carried out using...

We find support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH-M model modified by allowing (i) seasonal patterns in volatility, (ii) positive and negative innovations to returns having different impacts on...

Using U.S. data it is shown that as the stock market goes into a period of high volatility, nondurables consumption is unaffected but durables consumption falls substantially. It is argued that a plausible explanation for this is that consumers face irreversibilities when adjusting their...