Traditional measures of assessment of mutual fund performance (alpha) are based mostly on Capital Assets Pricing Model which presupposes fixed sensitivity of risk exposure of a fund to its market proxy (beta). However, changing economic conditions will alter this relationship. In conditional...

We attempt to estimate the likelihood of the integration of Indian stocks with the world market using Markov regime switching model. Bekaert and Harvey (1995)'s empirical model has been suitably extended to accommodate GARCH-M effect to estimate the level of integration. Given the small sample...

Objective: Bonds experience high trading volume right after their issuance. Outstanding amount of a bond is built by multiple follow on reissuances. Trading volume also picks up when bond is reissued. This paper investigates impact of bond's age since issuance on its weekly trading volume. In...

System-wide liquidity is an important determinant for the pricing efficiency of any asset market and bond markets are no exception. Research on Indian Bond markets is scarce, and very few studies have examined the impact of idiosyncratic factors on bond returns. This paper, probably the first of...

Yield on Government Bonds form the benchmark “risk free rate of return” for the pricing of all financial assets and their derivatives. Yield spread of government bonds is an indicator of efficiency of the treasury market, which is essential for an effective monetary policy. This is one of...

We examine the hedging and safe-haven characteristics between four major precious metals (gold, silver, platinum, and palladium) and three major US stock market indices. The metal markets are known for hedging and safety characteristics during financial distress. The paper sheds new insights...

In this paper we have analyzed borrower over-indebtedness in microfinance, using multiple financial ratio based measures representing different facets of borrower-over-indebtedness namely, liquidity, debt absorption capacity and solvency of the borrowing household. Our data shows that the...

Traditional measures of assessment of mutual fund performance (alpha) are based mostly on Capital Assets Pricing Model which presupposes fixed sensitivity of risk exposure of a fund to its market proxy (beta). However, changing economic conditions will alter this relationship. In conditional...

The first Interest-free banking system is reported to have come into being as early as 700 B.C. This paper looks into the causes as to why the Islamic Banking and Financial systems (IBFs) got left behind, explores its current status and the future challenges faced by this system on its way to...

Interest-free banking system is as old as the recorded history of mankind. It is, therefore, of utmost importance that we explore the reasons as to why the Islamic financial system had to wait for almost fourteen centuries to take shape. The long-term success of this fastest growing financial...