Regulators worldwide have introduced measures such as a fee on high order-to-trade ratio (OTR) to slow down high frequency trading, which existing research shows as having mixed results about its impact on market quality. We study a natural experiment in the Indian stock market where such a fee...

India's financial markets went from a situation (as of 3 Nov 1994) with one dominant market which used open outcry, to a situation with two competing electronic exchanges (as of 2 June 1995). In this article, we explore the impact of automation and competition upon performance. We examine two...

This paper tests for market efficiency at high-frequencies of the Indian equity markets by studying the behaviour of serial correlation in firm stock prices. We do this using the Variance Ratio test using returns data at a frequency of 5 minutes. We find that at this frequency interval, stocks...

This paper tries to empiricaly characterize the Indian intraday equity markets, using high-frequency data. The National Stock Exchange is one of the busiest exchanges in the world. Parametric modelling of intraday returns of the S \amp; P CNX Nifty and an equally-weighted market index of the 20...

Illiquidity of securities in a market index generates noise in the index, increases the tracking error experienced by index funds and increases basis risk on an index futures market.This paper proposes methods where liquidity of alternative stocks explicitly influences index construction. These...

In this article, we study conditional heteroskedasticity in a market index on the Bombay Stock Exchange, from April 1979 to March 1995. We find strong evidence of heteroskedasticity in daily, weekly and monthly returns in the form of GARCH(1,1) models. We find there is seasonality in the...

The viirs nighttime lights dataset constitutes progress in the measurement of night lights radiance, with monthly data at a pixel of roughly 0.5km × 0.5km. We identify a downward bias in the reported radiance when the number of cloud-free images in a month is low. This bias often takes on large...

The most important single observation from this research is the similarity between our wide range of results and the multitude of seemingly divergent conclusions about free riding from previous experimental results. Even when defined in the restrictive manner of this paper, free riding is...

The Indian financial system has been revolutionised by the application of a new market design : continuous trading with an anonymous limit order book at NSE and BSE. However, in certain situations, this market design has limitations. Call auctions represent an alternative strategy, where the...