This study examines the dynamic interaction among institutional investment (FII and Mutual Funds) and the stock market returns for India in a three factor vector autoregression (VAR) framework. The data set used in this study are in daily frequency spanning from 1st Jan 2002 to 31st July 2012...

This study investigates whether institutional investors increase or decrease the volatility of stock returns in the Thai stock market. For the purpose we used the data from SETSMART, a database provided by the Stock Exchange of Thailand (SET). Our sample is a balanced panel data covering 3,160...

The stock market is widely viewed as being more volatile these days. This paper examines that perception using data from the past 40 years. It finds surprising consistency across years in the number of days the market closes up and down. In an average year the market closes down 47% of all...

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...

Objective - Less than 1% of the population in the Philippines has invested in the stock market (PSE, 2016). The Philippine Stock Exchange (PSE) has been in operation since 1927 and is one of the oldest in the Asia Pacific. The primary objective of this research is to examine the investing...

Although, any amount or portion of Haram is not permissible in Sharī‘ah. An exception has been addressed on the basis of the Sharī‘ah-established maxim of “necessities call for relaxation of prohibition.” This allows investing in companies that engage in some non-permissible...

Before 1975, the mean weekend rate of return on the equal-weight (value-weight) stock market portfolio is significant -18bp (-19bp). After 1975, it is insignificant -5bp (-1bp). This break date is determined by a structural break test with unknown break date. The weekend effect is no longer an...

This study investigated the disposition effect under economic crisis (Brexit & GFC) and found that the stock markets of New Zealand, Australia and Mumbai did not show any significant disposition effect during the crisis period. The paper utilizes secondary data analysis to discuss the...

We develop a new measure for the probability of informed trading, called PCP. Using double-sorted portfolios, we find that excess returns increase from low to high PCP portfolios. In regression analysis, the effect of PCP on returns is significantly positive after controlling for illiquidity...

Liquidity is an important feature for any domestic bond market, being associated with a well organized market. A liquid secondary government bond market must be of interest for any frontier economy policy-makers given the important benefits. The present paper is the first to investigate the...