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...

This paper examines the financial contagion in an emerging market setting by investigating the contagion effects of GIPSI (Greece, Ireland, Portugal, Spain and Italy), USA, UK and Japan markets on BRIICKS (Brazil, Russia, India, Indonesia, China, South Korea and South Africa) stock markets....

This study tests for the presence of nonlinear dependence and deterministic chaos in the rate of returns series for six Indian stock market indices. The overall result of our analysis suggests that the returns series do not follow a random walk process. Rather it appears that the daily...

In this paper, we identify long-term prior return patterns in stock returns for Brazil, Russia, India, China, South Korea, and South Africa (BRICKS) markets from January 1993 to February 2008. While Brazil, Russia and South Africa report momentum behavior, India, China and South Korea exhibit...

In this paper, we evaluate alternative price multiples for equity valuation purposes in the Indian context. Data are taken from 145 large companies that satisfy our screening criteria. The sample companies cover 13 prominent sectors, and the study period covers the years 1990–2007. We generate...

In this paper, we examine the behaviour of price multiples in India from 1990–2007. The distributions of price multiples tend to be normal over our study period, thus making the mean and standard deviation of these multiples relevant parameters for equity analysis in the Indian context....

In this study, we examine the regime shifts and volatility in stock market returns of eighteen European stock markets and the USA and utilize these regimes in asset allocation and risk management contexts. Using a Markov regime switching model, the study finds strong evidence of regime switching...

In this article, we re-examine the efficacy of one factor capital asset pricing model (CAPM) and Fama-French three factor asset pricing model (FF model) in explaining the returns on various portfolios constructed based upon company characteristics such as size and value. Data is employed from...

In this article, we examine the relationship between oil price shocks and stock market behaviour using market index data for 15 sample countries. The sample countries are classified into four categories, based on their economic strength and oil exporting/importing status, to verify if the...

In this study we attempt to test if there is a size effect in Indian stock market. The data relates to the top 482 Indian companies for the period 1990–2003. We find a strong size premium using six alternative measures of company size, viz., Market Capitalization, Enterprise Value, Net...