In this paper, we examine the financial integration process amongst 17 EMU countries from January 2002 to June 2013 over a normal period as well as for the Global Financial Crisis (GFC) and Eurozone Debt Crisis (EDC) periods. We classify the economies in three groups (A, B and C) based on their...

This study examines the stock market performance of Indian state-owned public sector units (PSUs), which were privatized through initial public offerings (IPOs) and further public offerings (FPOs). The analysis of stock price reaction is conducted for different event dates related to these...

In this paper, we examine two important propositions for the Indian options market: (1) the relationship between implied volatility and moneyness referred to as volatility smile and (2) the potential determinants of the smile asymmetry. We use daily data for the S&P CNX Nifty index call and put...

Purpose – This paper aims to examine the contagion effects of Greece, Ireland, Portugal, Spain and Italy (GIPSI) and US stock markets on seven Eurozone and six non-Eurozone stock markets. Design/methodology/approach -In this paper, a dynamic conditional correlation (DCC) model popularly known...

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover twelve actively traded commodities including agriculture, metal and energy and four commodity indices. Price discovery is confirmed for eight commodities and three indices with a...

The study tests prominent equity market anomalies for six emerging markets - Brazil, China, India, Indonesia, South Korea and South Africa. We find that using the Fama French model (FFM) as performance benchmark the size anomaly is present in India, South Korea and Brazil, value anomaly in South...

In this study we examine the stock price reaction around earnings announcement for India. The data are used for 469 companies and the study period spans from December 2002 to December 2011 covering 37 quarterly periods. Significant pre-event abnormal returns are observed for 32 out of 37...

This study empirically examines the relationship between nominal exchange rate and prices as postulated by the Purchasing Power Parity (PPP) hypothesis. We have also estimated a panel error correction model to test for Granger causality in the presence of cointegration among the variables. The...

Purpose – The purpose of this paper is to provide an empirical evaluation of the impact of infrastructure development on industry-level productivity, output and efficiency in India over the period 1994-2006. Design/methodology/approach – The first stage, estimated total factor productivity...

In this paper, we empirically evaluate if Foreign Institutional Investors (FIIs) adopt positive feedback and herding strategies in the Indian environment. We find that FIIs exhibit return chasing behaviour when we use monthly data. However, they do not seem to be working on the positive feedback...