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Role of size and risk effects in value anomaly : evidence from the Indian stock market

Sharma, Mehak; Jain, Anshul - In: Cogent economics & finance 8 (2020) 1, pp. 1-12

Value Anomaly exists in India, but with growth portfolios outperforming value. A critical analysis reveals possible linkages …

Persistent link: https://www.econbiz.de/10013179656

Symmetrical cointegrating relationship between money supply, interest rates, consumer price index, terroristic disruptions, and Karachi stock exchange : does global financial crisi...

Sheikh, Umaid A.; Asad, Muzaffar; Israr, Aqeel; Tabash, … - In: Cogent economics & finance 8 (2020) 1, pp. 1-24

The study is intended to investigate the symmetrical relationship between macroeconomic variability and KSE-100 indexes by employing the ARDL model with bound testing procedure and error correction model. Authors have also examined whether the linkages between macroeconomic variability and...

Persistent link: https://www.econbiz.de/10013179670

A comprehensive study on bid-ask spread and its determinants in India

Pan, Aritra; Misra, Arun Kumar - In: Cogent economics & finance 9 (2021) 1, pp. 1-23

Determinants of bid-ask spread have been explored significantly for low-frequency datasets in many developed markets. Researchers have identified share price, traded volume, market-capitalization, return volatility, and number of trades as the prime spread drivers. However, the validity of these...

Persistent link: https://www.econbiz.de/10013183849

Does trade openness affect economic growth in India? Evidence from threshold cointegration with asymmetric adjustment

Mallick, Lingaraj; Ranjan Behera, Smruti - In: Cogent economics & finance 8 (2020) 1, pp. 1-26

This paper investigates the long-run equilibrium relationship between economic growth and trade openness in India … evidence of asymmetric cointegration between economic growth and trade openness in India during the period under evaluation and … speed of adjustment in comparison to deviations caused by a corresponding decrease in economic growth in India. …

Persistent link: https://www.econbiz.de/10012482965

Testing capital structure theories using error correction models : evidence from China, India, and South Africa

Kannadhasan, M.; Thakur, Bhanu Pratap Singh; Gupta, … - In: Cogent economics & finance 6 (2018) 1, pp. 1-19

structure choice made by the firms that are operating in China, India, and South Africa. The study tests the capital structure … using a large data-set of firms in China, India, and South Africa that has not been done so far. …

Persistent link: https://www.econbiz.de/10011901881

Effect of mutual funds characteristics on their performance and trading strategy : a dynamic panel approach

Kaur, Inderjit - In: Cogent economics & finance 6 (2018) 1, pp. 1-17

Investors search for criteria that are systematically related to performance of mutual funds so as to maximize their personal return. The present study is on effect of selected fund characteristics on performance of the mutual funds. The data on Indian equity mutual funds for the period...

Persistent link: https://www.econbiz.de/10012023053

Commercial bank capital and risk in India : does financial crisis matter?

Mohanty, Seba; Mahakud, Jitendra - In: Cogent economics & finance 6 (2018) 1, pp. 1-23

This study investigates the relationship between bank capital and risk in the Indian banking sector. The sample consists of 68 commercial banks including public-sector banks, private-sector banks and foreign banks. We employ panel granger causality test to find out the relationship between risk...

Persistent link: https://www.econbiz.de/10012023171

Liquidity-adjusted CAPM : an empirical analysis on Indian stock market

Kumar, Gaurav; Misra, Arun Kumar - In: Cogent economics & finance 7 (2019) 1, pp. 1-15

This article examines the impact of various sources of systematic liquidity risk and idiosyncratic liquidity risk on expected returns in the Indian stock market. The study tested the liquidity-adjusted capital asset pricing model (LCAPM) which is previously tested on developed markets....

Persistent link: https://www.econbiz.de/10012023356

Stock market and its liquidity : evidence from ARDL bound testing approach in the Indian context

Bhattacharya, Sharad Nath; Bhattacharya, Mousumi; Basu, … - In: Cogent economics & finance 7 (2019) 1, pp. 1-12

This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures using Autoregressive Distributed-lag (ARDL) Bounds Testing Approach. We consider depth, breadth, tightness, immediacy and resiliency dimensions of market liquidity using suitable...

Persistent link: https://www.econbiz.de/10012023365

FDI, technical efficiency and spillovers : evidence from Indian automobile industry

Sur, Abhisek; Nandy, Amarendu - In: Cogent economics & finance 6 (2018) 1, pp. 1-18

Exchange rate volatility has been identified as one of the drivers of export diversification. Previous studies have assumed a symmetric relationship between the two variables. However, because volatility could be positive or negative and economic agents react to these changes differently, recent...

Persistent link: https://www.econbiz.de/10011905226