This study analyzes the sensitivity of a series of Indian stock indices for the astonishing component of monetary and macroeconomic policy with the data set from 1st April 2004 to 31st July 2016. The immediate impact is assessed with Event Analysis, and the dynamic effect is analyzed with VAR...

In prior literature it was conjectured that the Indian stock market responses on domestic macroeconomic surprises are expected to be significantly influenced by global surprises. In this paper we empirically established that hypothesis. We used both the Event Analysis and VAR model. We found...

In this study, we analyze the portfolio allocation based on time asymmetry of stock characteristics. In particular, we analyzed the empirical data of changes in financial stock prices during the day period and during the night period and have found that characteristics such as mean and variance...

The study examines the vital connection between stock returns and oil price changes for oil exporting/importing countries separately. We present evidence employing granger causality, impulse response and error variance decomposition based on panel vector autoregression. The results of panel...

This study examines the effect of exchange rate shocks on ten (10) sectoral stock returns in Nigeria from January 2007 to December 2018. The autoregressive distributed lag and nonlinear autoregressive distributed lag are employed to examine symmetric and asymmetric relationship between exchange...

The study uses wavelet power spectrum and wavelet coherence transformation methodologies to examine how geopolitical risk affected the returns on stocks, oil, and gold during the GFC, COVID-19, and Russia-Ukraine war-three disruptive events that affected the world's financial markets. For better...

This study analyzes the stock returns and volatility of the global water industry in different (full, pre-GFC, GFC and post-GFC) periods. The study estimates ARMA (1, 1)-GARCH (1, 1) and EGARCH (1, 1) models on the World Water index (WOWAX), S-Network Global Water Index (S-Net), S&P Global Water...

This paper is focused on enlarging the performance inside a portfolio that provides the Treynor ratio by relating portfolio weights with performance indicators. Intuition suggests that the higher the weight of an asset, the higher should be its expected performance. These weights, and the...

The study investigates whether behavioural theory is a superior explanation for short-term return–volatility relationship than traditional leverage and volatility feedback hypotheses. Using VAR and quantile regression frameworks, the study shows that behavioural theory explains the...

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...