This study uses a GARCH model to estimate conditional volatility in the Indian overnight money market during the period 1999-2006. It finds that the bid-ask spread in the overnight market was positively related to conditional volatility during 1999-2002. This relationship, however, has undergone...

We examine the interactions between monetary policy and the term structure of the g-sec market in India through a SVAR model comprising macroeconomic variables and latent factors of the yield curve. Among macroeconomic factors, while monetary policy has the dominant impact on level and...

In the wake of deregulation of prices of some petroleum products, we estimate the pass-through impact of international oil prices on the Indian economy. In contrast to global trends, we find evidence of higher pass-through to domestic inflation and industrial output, particularly since 2002 when...

Money market microstructure has recently started drawing attention in the empirical literature on financial markets of emerging market economies. In the Indian context, a GARCH(1, 1) model shows that policy instruments impact bid-ask spreads in the money market. Volatility of bid-ask spreads...

This paper examines the effect of past dividend policy, leverage and profitability on the probability of increase in future value of the firm (in terms of market to book value ratio (MBVR)) for an emerging economy, India. It uses fixed effect logit model to predict the probability of increase in...

This paper attempts to identify the factors explaining IPO underpricing in an emerging economy, India, using 1842 companies that got listed on the Bombay Stock Exchange (BSE) from 1993 to 2001. Unlike the existing works that analysed the relation of ex-ante risk proxies and underpricing, this...