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Revisiting the long-run dynamic linkage between dividends and share price with advanced panel econometrics techniques

Mohapatra, Sudatta Bharati; Kar, Nirmal Chandra - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-19

setting using newly developed panel unit root, cointegration, and long-run dynamic estimation approaches. This study employed … behavior in India. This paper also discusses issues related to panel data, such as cross-section dependency and slope …

Persistent link: https://www.econbiz.de/10013470997

Empirical Analysis of the Causality between Indian and U.S. Stock Markets’ Conditional Volatility : Further Evidence

Kumar, Rakesh - 2016

This paper is an attempt to investigate the dynamic relationship between U.S. and Indian stock markets through the conditional volatility of two stock markets, during the 1995-2007 period, using the monthly data of BSE listed BSE 100 and NYSE listed S & P 500 indices. The research methodology...

Persistent link: https://www.econbiz.de/10013002313

An Empirical Model of India's Nifty VIX Index

Slivka, Ronald T. - 2016

volatility clusters in India's implied volatility index (Nifty VIX) daily closing levels for the Nifty VIX were gathered covering … with both clusters and periodic behavior and one with near-white noise. The likely origins of major clusters in India …'s Nifty implied volatility index appeared linked to important global financial events external to India during the study …

Persistent link: https://www.econbiz.de/10013004111

Bull and Bear Phases : An Empirical Perusal of Indian Stock Market

Kanojia, Sunaina - 2017

In general, any one known to stock market is acquainted with the phenomenon of bull and bear phases, but whether the traders or investors put air to these phases while making a decision to buy, sell, or stay invested. The present paper attempts to identify and analyse the two most popular market...

Persistent link: https://www.econbiz.de/10012965462

Analysis of Volatility Spill Over between Oil Price and Exchange Rate in India : GARCH Approach

Mishra, Shekhar - 2017

The present paper endeavours to analyse the volatility spill over between crude oil price and exchange rate for India …

Persistent link: https://www.econbiz.de/10012966529

An Econometric Study of Trading Behaviour of Institutional Investors in Indian Stock Market : The Vector Auto Regression Approach

Mishra, Shekhar - 2017

The present paper endeavours to study the trading behaviour of foreign institutional investors (FIIs) and domestic institutional investors (DIIs) in Indian stock market. The study ascertains whether the purchase trade and sale trade behaviour of foreign institutional investors is different from...

Persistent link: https://www.econbiz.de/10012949470

Estimating Currency Exposure : Empirical Study on Stock Returns of Indian Software Firms

Modekurti, Kameshwar Rao V.S. - 2015

A low percentage of firms depicting exposure to foreign exchange rates is one of the seriously researched topic in the realm of Foreign Exchange Risk and its Management. Owing to its counter intuitive empirical results, it has also been referred to as Currency Exposure Puzzle. This paper, one of...

Persistent link: https://www.econbiz.de/10013031071

Market Efficiency in India : An Empirical Study of Random Walk Hypothesis of Indian Stock Market – NSE Midcap

Kumar, Dr. Satish - 2015

form during the testing period. The results suggest that the stock prices in India do not reflect all the information in …

Persistent link: https://www.econbiz.de/10013031108

The Empirical Investigation of Relationship between Return, Volume & Volatility in Indian Stock Market

Singh, Gurmeet - 2016

This paper investigates the empirical relationship between return, volume and volatility dynamics of stock market by using data of the NIFTY index of NSE during the period from Jan 2007 to March 2014. The volatility in the Indian stock market exhibits characteristics similar to those found...

Persistent link: https://www.econbiz.de/10012988495

Validity of Capital Asset Pricing Model & Stability of Systematic Risk (Beta) : An Empirical Study on Indian Stock Market

maji, krishnendu - 2010

The capital asset pricing model (CAPM) is the standard risk-return model used by most academicians and practitioners. The underlying concept of CAPM is that investors are rewarded for only that portion of risk which is not diversifiable. This non-diversifiable risk is termed as beta, to which...

Persistent link: https://www.econbiz.de/10013136045