In this paper, we examine the dynamic nature of equity market integration for the South Asian countries. The daily data for local equity indices are used from 6 January 2004 to 31 March 2015. Copula GARCH models and Diebold and Yilmaz methodology have been employed to study the inter-temporal...

In this article, we examine the dynamic currency linkages for BRIS (Brazil, Russia, India and South Africa) and 15 other emerging market economies (EMEs) using weekly data from 2001 to 2018. Using the asymmetric dynamic conditional correlation (ADCC)-EGRARCH framework, we find that the average...

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover twelve actively traded commodities including agriculture, metal and energy and four commodity indices. Price discovery is confirmed for eight commodities and three indices with a...

In this paper, we identify long-term prior return patterns in stock returns for Brazil, Russia, India, China, South Korea, and South Africa (BRICKS) markets from January 1993 to February 2008. While Brazil, Russia and South Africa report momentum behavior, India, China and South Korea exhibit...

This paper investigates the process of integration within the European Economic and Monetary Union (EMU) retail banking by analysing deposit and lending rates to non-financial corporations during the normal and crisis periods over 2003-2014. The paper assesses the impact of the Global Financial...

This paper examines the economic consequences of Commodity transaction tax (CTT) for the Indian commodities market. We use daily data on 5 sample commodities, namely gold, aluminum, copper, zinc and crude oil from 1st May 2010 to 31st August 2016. MCX has been used as a reference commodity...

In this paper, we examine if there is any short-term persistence in mutual funds performance in the Indian context. We find no evidence that confirms persistence using monthly data. Using daily data, we observe that for fund schemes sorted on prior period four-factor abnormal returns, the...

In this paper, we evaluate if there are any momentum patterns in Indian stock returns. We report strong momentum profits for individual stocks as well as a wide range of characteristic-sorted portfolios. The momentum returns are not captured by standard CAPM. However, the Fama-French...

Size effect has been extensively documented for most of the world capital markets including India. In this paper we examine the causes of the size effect in Indian stock market. We test whether operating, financial and liquidity characteristics substantially differentiate small firms from large...

In this study we attempt to test if there is a size effect in Indian stock market. The data comprises of top 482 Indian companies for the period 1990-2003. We find a strong size premium using six alternative measures of company size viz. Market capitalization, Enterprise Value, Net Fixed Assets,...