Financial integration is one of the buzz words in financial world. The co movement of share prices across the stock markets in the world is a frequently experienced phenomenon. Especially during the times of crisis it is observed that the stock markets crash together. The oil crisis of 1973, the...

In this paper we examine if there is any overreaction effect present in Indian Stock market. We have used monthly closing adjusted prices of 500 stocks comprising S&P CNX 500 Equity Index over the period March, 1996 to March, 2007 and methodology as proposed by De Bondt and Thaler (1985) and...

This paper tests the predictive accuracy of the Black-Scholes (BS) model in pricing the Nifty index option contracts and examines whether the skewness and kurtosis adjusted BS model of Corrado and Su (1996) gives better results than the original BS model. We also examine whether volatility smile...

This paper examines the inter-linkages and long run integration of Indian economy with other economies of the world (US, Europe, Other Emerging markets and World economy) using standard indices of MSCI over the period Jan 2003 to July 2012. We also investigate Indian economy's response to recent...

This paper examines the short run and long run inter linkages of the Indian stock market with those of Advanced emerging markets viz. Brazil, Hungary, Taiwan, Mexico, Poland and South Africa over the period ranging from 1 January 1992 to 31 December 2009 using Johansen co-integration test and...

This paper examines whether high dividend stocks portfolio (represented by CNX dividend opportunity index of NSE) outperforms blue chip stocks portfolios and market portfolio in Indian stock market, using absolute rate of return as well as risk adjusted measures viz Sharpe ratio and Treynor...

Besides market risk, banking stocks are also subject to interest rate risk due to the simple fact that banking profitability is a function of prevailing interest rate. This paper examines the effects of interest rate changes on banking stock returns in India using the multivariate OLS and GARCH...

Over the past few years, the Value-at-Risk (VaR) has become a standard measure of market risk embraced by banks, trading firms, mutual funds and others, including even the non financial firms. But any risk measure is useful and reliable only insofar as it can be verified for its accuracy. This...

This paper examines the perceptions, preferences and various investment strategies in Indian stock market on the basis of a survey among 93 investment analysts, fund managers and active equity investors based at Delhi and Mumbai during May-October 2007. Survey findings reveal that investors use...