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A Study of the Movement of Interest Rates and Spillover of Volatility and Returns Amongst the Leading Bank Stocks in India

Shahani, Rakesh; Nagpal, Nikhil - 2021

the movement of banking stocks in India (two from public sector and two from the private sector) for the period April 2013 … impact each other’s return and volatility. The econometric tools employed to study the relation include OLS relation between … the variables, GARCH(1, 1) methodology to determine the volatility spillover, autocorrelation and heteroscedasticity tests …

Persistent link: https://www.econbiz.de/10013237617

Symmetrical cointegrating relationship between money supply, interest rates, consumer price index, terroristic disruptions, and Karachi stock exchange : does global financial crisi...

Sheikh, Umaid A.; Asad, Muzaffar; Israr, Aqeel; Tabash, … - In: Cogent economics & finance 8 (2020) 1, pp. 1-24

2). Monthly level data representing macroeconomic volatility has been incorporated from the trading economics website …

Persistent link: https://www.econbiz.de/10013179670

A study of the movement of interest rates and spillover of volatility and returns amongst the leading bank stocks in India

Shahani, Rakesh; Nagpal, Nikhil - In: The IUP journal of financial risk management : IJFRM 16 (2019) 4, pp. 7-22

Persistent link: https://www.econbiz.de/10012182607

Dynamic regime switching behaviour between cash and futures market : a case of interest rates in India

Panda, Pradiptarathi; Deo, Malabika; Chittine, Jyothi - In: Theoretical and applied economics : GAER review 24 (2017) 4, pp. 169-190

Persistent link: https://www.econbiz.de/10011795268

The Effects of Volatility of Interest Rates on Stock Returns : A Study on Indian Stock Market

N., Suresh - 2017

This article investigates the effects of interest rates volatility on stock market returns and volatility using weekly … returns on the 15 selected public sector Banks namely Allahabad Bank, Andhra Bank, Bank of Baroda, Bank of India, Canara Bank …, Corporation Bank, Dena Bank, Indian Overseas Bank, Oriental Bank of Commerce, Punjab National Bank, State Bank of India, Syndicate …

Persistent link: https://www.econbiz.de/10012949037

Volatility integration of gold and crude oil prices with the interest rates in India

Rastogi, Shailesh; Doifode, Adesh; Kanoujiya, Jagjeevan; … - In: South Asian journal of business studies 12 (2023) 3, pp. 444-461

Persistent link: https://www.econbiz.de/10014380642

The volatility spillover effect of macroeconomic indicators and strategic commodities on inflation : evidence from India

Rastogi, Shailesh; Kanoujiya, Jagjeevan - In: South Asian journal of business studies 13 (2024) 2, pp. 180-200

Persistent link: https://www.econbiz.de/10015053653

Managing risk taking with interest rate policy and macroprudential regulations

Cociuba, Simona E.; Shukayev, Malik; Ueberfeldt, Alexander - 2016

We develop a model in which a financial intermediary's investment in risky assets - risk taking - is excessive due to limited liability and deposit insurance, and characterize the policy tools that implement efficient risk taking. In the calibrated model, coordinating interest rate policy with...

Persistent link: https://www.econbiz.de/10011553837

Managing risk taking with interest rate policy and macroprudential regulations

Cociuba, Simona E-; Shukayev, Malik; Ueberfeldt, Alexander - 2016

Persistent link: https://www.econbiz.de/10011555182

Effectiveness of interest rate policy of the Fed in management of subprime mortgage crisis

Gunay, Samet; Georgievski, Bojan - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-11

The federal funds rate is one of the most important monetary policy instruments of Federal Reserve Bank of America. In this study, we analyze the effectiveness of Fed interest rate policy on different markets in the period between 1976 and 2016 through Markov regime-switching regression...

Persistent link: https://www.econbiz.de/10011855143