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Securities transaction tax-case study of India

Malik, Neha - 2014

attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …

Persistent link: https://www.econbiz.de/10010354157

Effects of carbon tax on electricity price volatility : empirical evidences from the Australian market

Comincioli, Nicola; Vergalli, Sergio - 2020

introduction had on electricity market. The most relevant effect is the reduction of the level of electricity price's volatility … multiple linear regression. Then, to study volatility dynamics, we fit a two-states Markov-switching model to represent a high-volatility … and a low-volatility states of the world. This model highlighted that in both states the level of volatility is lower and …

Persistent link: https://www.econbiz.de/10012195002

Stock prices in a speculative market : the Chinese split-share reform

Beltratti, Andrea; Bortolotti, Bernardo; Caccavaio, Marianna - 2009

In 2005-2006 China reformed its stock market by eliminating non-tradable shares. The regulator set general guidelines and then assigned responsibility for implementation to each company. We derive relations that should have been followed by the prices of stocks and exploit a company-level data...

Persistent link: https://www.econbiz.de/10008809692

Privatization and stock market liquidity

Bortolotti, Bernardo; Jong, Frank de; Nicodano, Giovanna; … - 2002

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...

Persistent link: https://www.econbiz.de/10011598239

Intra-industry effects of privatization announcements : evidence from developed and developing countries

Otchere, Isaac - 2002

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...

Persistent link: https://www.econbiz.de/10011598302

Impact of transaction taxes on commodity derivatives trading in India

Ray, Saon; Malik, Neha - 2014

Commodity derivatives were introduced in India with a dual purpose of promoting price discovery and enhancing risk management in the commodities market. A transaction tax (of 0.01 per cent) on commodity futures trading was introduced in the Union Budget 2013-14. This study examines the rationale...

Persistent link: https://www.econbiz.de/10010354169

Positive stock information in out-of-the-money option prices

Gkionis, Konstantinos; Kostakis, Alexandros; … - 2018

We examine whether the option market leads the stock market with respect to positive in addition to negative price discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the underlying stock return's distribution, can embed positive...

Persistent link: https://www.econbiz.de/10011872403

Equity market volatility and expected risk premium

Chen, Long (contributor); Guo, Hui (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003739618

Stock return volatility patterns in India

Batra, Amita (contributor) - 2004

Persistent link: https://www.econbiz.de/10002584397

Forecasting volatility in European stock markets with non-linear GARCH models

Forte, Gianfranco; Manera, Matteo - 2002

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...

Persistent link: https://www.econbiz.de/10011598042

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