This paper provides an analysis of the link between the oil market and the U.S. stock market returns at the aggregate as well as industry levels. We empirically model oil price changes as driven by speculative demand shocks along with consumption demand and supply shocks in the oil market. We...

Security Transaction Tax (STT) was introduced in the Indian capital market in 2004. It is a tax on transaction of equities as well as their derivatives. Despite the reduction in STT over the years, it constitutes a large percentage (next only to brokerage fee) of the total cost of trading. The...

Share issue privatization - i.e. privatization on public equity markets - is often claimed to foster stock market development. In this paper, we provide an empirical assessment of this claim, testing the role of privatization on two market liquidity measures in a panel with monthly data of 19...

We examine the stock price reaction of rival firms to privatization announcements to infer information about industry effects of privatization. We find that the rival firms reacted negatively to privatization announcements, thus suggesting that the announcement effects reflect competitive...

We investigate the relation between foreign exchange (FX) order flow and the forward bias. We outline a decomposition of the forward bias according to which a negative correlation between interest rate differentials and order flow creates a time-varying risk premium consistent with that bias....

After the 2008 financial crisis, macroeconomic positions and growth prospects weakened in the advanced economies; emerging market economies (EMEs) improved however. Offshore, local-currency bonds of EMEs became popular as result, with many EMEs exploiting the opportunity. India also launched its...

This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition, which employs publicly-known objective criteria to determine membership. Hence, it provides a natural context to investigate anticipatory trading effects. We propose a panel-regression...

This paper investigates how a country's economic complexity influences its sovereign yield spread with respect to the United States. Notably, a one-unit increase in the Economic Complexity Index is associated with a reduction of about 87 basis points in the 10-year yield spread. However, this...