We analyze the permanent (information effect) and temporary (liquidity effect) impact of block trades transacted in the National Stock Exchange of India. Block trades are identified using multiple criteria based on trade value and trade volume. Overall, the permanent price impact is more for...

Call markets are claimed to aggregate information and facilitate price discovery where continuous markets may fail. Its advantage, however, comes at the cost of immediacy. The impact of the introduction of call auction has not been found uniformly beneficial, possibly due to poor design or due...

Using high-frequency stock price data, we investigate the effect of various stock-specific and market-wide events on intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF regressions, we examine the effect of – cross-listing, weekends and holidays,...

The paper examines the market impact of a unique IPO certification recently introduced in India - mandatory grading of IPOs by a credit rating agency. The grading was expected to improve the IPO pricing efficiency by providing comprehensive issue-related information to the market, especially to...

The paper examines the market timing ability of Indian firms engaged in open market repurchases. The study is primarily motivated by the unique disclosure feature of repurchases in India, where the disclosures are far more frequent than in any other market. We find that the repurchasing firms in...