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An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...
Persistent link: https://www.econbiz.de/10011113811
The persistence in time of the calendar anomalies is one of the most disputed subjects from the financial literature. Quite often, the passing from quiet to turbulent periods of time provokes radical changes in the investors’ behaviors which affect the stock markets seasonality. In this paper...
Persistent link: https://www.econbiz.de/10011260351
This paper investigates the relationship between stock market returns and volatility in the Indian stock markets using AR(1)-EGARCH(p, q)-in-Mean model. The study considers daily closing prices of two major indexes of Indian stock exchanges, viz., S&P CNX NIFTY and the BSE-SENSEX of National...
Persistent link: https://www.econbiz.de/10011107467
When regulating the financial system, the volatility phenomenon seems to emerge, practically, as a phenomenon which is intrinsic to the capital market behaviour. Theoretically, the leverage of the firms appears to be a major determinant of the volatility of prices and returns. At the same time,...
Persistent link: https://www.econbiz.de/10011110266
phenomenon based on trading constraints and asymmetric information. We test our hypothesis against competing stories such as …. Finally we provide new evidence regarding crashes and the degree of information asymmetry. …
Persistent link: https://www.econbiz.de/10005772066
prediction errors than the one-month contracts. The also paper finds that the prediction errors have information content which …
Persistent link: https://www.econbiz.de/10011111648
Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The present paper examines the issue of long memory in...
Persistent link: https://www.econbiz.de/10011112536
The purpose of this paper is to study the direction of causality between the stock market and macroeconomic variables. India is taken as a case study. Although, there have been many studies which attempted to find out the relationship between Indian stock market and economic variables, this...
Persistent link: https://www.econbiz.de/10011212585
This paper investigates the volatility and correlations of stock returns of some crisis-hit countries such as, US, Greece, Thailand and Malaysia during the major global financial crises since 1992. The paper makes an attempt to address the following two issues: Firstly, to measure the extent of...
Persistent link: https://www.econbiz.de/10011108726
the sovereign debt and country dynamics. Although the latter may be beyond the firm‘s control, it is up to the firm to …
Persistent link: https://www.econbiz.de/10011110302