Using data from Indian IPOs issued in a mechanism which is far more transparent than the bookbuilding in the US and in most other markets, the paper examines retail investors' participation, their influence on IPO pricing and the returns they make on IPO investment. The transparency in the...

In this paper, we investigate price interactions between two main components of European emerging financial markets, namely the foreign exchange market and the stock market, before and after the adoption of the Euro by most European Union (EU) economies. We estimate and test a bivariate vector...

It is generally believed that in emerging markets, stock prices frequently deviate from their fundamental values resulting in high volatility caused, in part, by the growing influence of highly mobile foreign capital. This paper investigates volatility of Chinese B shares which are exclusively...

This paper examines the random walk hypothesis in the emerging Indian stock market using daily data on individual stocks. The statistical evidence in this paper rejects the random walk hypothesis. The results suggest that daily returns earned by individual stocks and by an equally weighted...

This paper examines the influence of foreign institutional investments in explaining the short and long run relationship of the Indian equity market with the global equity markets. Using daily return series and equity portfolio investments made by foreign institutional investors, we find that...

The lead/lag relationship between large and small cap firms is investigated by using a number of Indian equity index series that differ in their market capitalisation characteristics. Large cap indices are found to lead small cap indices and to have higher speeds of adjustment towards intrinsic...

We examine whether greater investor protection leads to greater portfolio investments by utilizing different forms of investor protection measures and bilateral foreign equity portfolio investment data across 37 developed and developing markets. After controlling for a host of confounding...