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...

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...

In this article we employ data for 12 commodities, four commodity indices and one stock market proxy from July 2006 to February 2011 for India. We find that commodities that provide higher average returns also exhibit higher price volatility. The return distributions for commodities as well as...

In this paper we examine definitional aspect of Investor Sentiment, the key economic, market and regulatory factors that influence investor sentiment and the relationship between investor sentiment and market performance. There seems to be no clear consensus on the concept of investor sentiment...

Purpose: Banks in the South Asian region are the fulcrum of economic growth and development as they provide means to development credit and working capital, trade and infrastructure finance and are seen as custodians of the trust in the financial system. This paper aims to study the nature of...

Purpose: The main aim of the study is to identify some critical microeconomic determinants of financial distress and to design a parsimonious distress prediction model for an emerging economy like India. In doing so, the authors also attempt to compare the forecasting accuracy of alternative...

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...

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...

In this paper, we examine the dynamic nature of equity market integration for the South Asian countries. The daily data for local equity indices are used from 6 January 2004 to 31 March 2015. Copula GARCH models and Diebold and Yilmaz methodology have been employed to study the inter-temporal...