The Effect of Currency Futures on Volatility of Spot Exchange Rates: Evidence from India
|
|
- Daisy Watson
- 6 years ago
- Views:
Transcription
1 International Journal of Economic Research ISSN : available at http: Serials Publications Pvt. Ltd. Volume 14 Number The Effect of Currency Futures on Volatility of Spot Exchange Rates: Evidence from India P. Sakthivel 1, Krishna Reddy Chittedi 2, Daniel Sakyi 3 and V. Vijay Anand 4 1 Assistant Professor, Department of Commerce and Management, Srinivasa Ramanujan Centre, SASTRA University, Kumbakonam, Thanjavur, Tamilnadu, India. sakthivel@mba.sastra.edu 2 Assistant Professor, School of Economics, University of Hyderabad, Telangana, India. krc@uohyd.ac.in 3 Senior Lecturer, Department of Economics, Kwame Nkrumah University of Science and Technology (KNUST), Private Mail Bag, Kumasi, Ghana. dsakyi.cass@knust.edu.gh 4 Assistant Professor, School of Management, SASTRA University, Thanjavur, Tamilnadu 427 Abstract This study empirically investigates the effect of currency derivative trading on volatility in spot exchange rates for GBP/INR, JPY/INR, and EURO/INR. Using daily spot exchange rates from October 20 th 2005 to 30 th October, 2016, ARCH-LM test, GARCH model and GJR GARCH model were applied to the data set. The result reveals that the effect of recent market news on current volatility of exchange rate returns increases and reduces the previous day s news influencing them during post currency futures. The results from GARCH and GJR GARCH models showed that currency futures trading reduces volatility in spot exchange rate returns of JPY/INR and GBP/INR and increases volatility of exchange rate returns of EURO/ INR during post currency futures period. The result further suggests that there was an asymmetric effect in volatility of spot exchange rate returns. Keywords: Volatility, GARCH, Currency Futures. 1. Introduction In , India underwent structural changes in foreign exchange market which experienced paradigm shift in rupee full convertible on current account. Further, the capital movement and number of foreign trade across nations have increased after structural changes and have resulted in higher volatility of foreign exchange market in India. In recent times, foreign exchange market is highly volatile and therefore the exchange rate risk is an important concern for both exporters and importers. Higher market volatility has International Journal of Economic Research
2 P. Sakthivel, Krishna Reddy Chittedi, Daniel Sakyi and V. Vijay Anand an adverse impact on trade and investment, price of products and profit for both exporters and importers. To reduce foreign exchange risk with the help of hedging, Reserve Bank of India (RBI) has permitted to introduction of currency futures contract on US dollar/inr on 29 th August, 2008 at National Stock Exchange of India (NSE) and on 1 st October 2008 at Bombay Stock exchange (BSE). Futures trading on currency in three new pairs namely JPY/INR, GBP/INR and EUR/INR were commenced on 1 st February 2010 at NSE. The impact of inception of derivative trading on spot market volatility has been an attractive topic for investors, traders, and academicians because it implications for hedging and speculation. One research group of studies argued that inception of derivative trading stabilizes the foreign exchange markets as well as in equity markets by reducing its volatility (Butterworth, 2000; Bologna, 2002; Santoshkumar et. al, 2011; Arif Oduncu, 2011; and Ashish Kumar, 2015; Antoinmu, 1995). These studies show that futures trading have reduced volatility of foreign exchange markets as well as in equity markets due to speculators migration from spot to futures market and improved in market efficiency. Other group of studies however noted that inception of trading on currency futures destabilize foreign exchange markets as well as in equity markets by increasing volatility (Finglewski, 1981; Clifton, 1985; Chatrath et. al., 1996). These studies reveal that volatility in spot market has increased due to excessive speculative investors in derivative market. In the light of this background, it is imperative to verify the effect of inception currency futures trading on spot exchange rates volatility of Japanese Yen/INR, Euro/ INR and British Pond/INR. 2. Empirical Review of Literature Dhananjay (2012) explored the effect of exchange traded currency futures on exchange rate volatility in India. The study uses time series techniques like unit root test, ARCH-LM test and GARCH model. Daily spot exchange rate of EURO/INR was collected from January 2 nd, 2008 to 31 st December 2011 and used in analysis. The result reveals that introduction of currency derivative trading has no impact on volatility of spot exchange rate returns. Singh and Tripathi (2015) reports reveal in their studies that the volatility of spot exchange rate returns (EURO/ INR) has reduced after introduction of currency derivative trading in August 2008 by National Stock Exchange of India. They used daily spot exchange rate of EURO/INR from April 2006 to December 2014 to explore the effect of inception of currency derivative trading on of exchange rate volatility in India. They conclude that futures trading enhanced speed of recent news on volatility of spot foreign exchange market and also improved market efficiency during post currency derivatives period. Santosh et. al., (2011) also claim that currency futures trading have reduced asymmetric volatility of spot currency market in India. The GARCH, EGARCH and TARCH techniques were used for analysis. Daily spot exchange rate of US Dollar/INR was used and entire data divided into two periods; before introduction of currency futures (from August 2000 to August 2008) and after introduction of currency futures in NSE (from August 2008 to August 2010 to capture their effect on volatility in spot exchange rates. The result reveals that there was an altered significantly structure of volatility in foreign exchange market in India. In related study, Arif (2011) verified the effect of inception of currency futures on foreign exchange market volatility in Turkey. Daily spot exchange rate of Euro/US dollar was sourced from Central Bank of International Journal of Economic Research 428
3 The Effect of Currency Futures on Volatility of Spot Exchange Rates: Evidence from India Turkey for period February 2002 to February The result suggests that rate of information arrival into market has increased and it incorporates to current exchange rates more quickly than before the inception of futures trading. The result from the study shows that the volatility foreign exchange market in Turkey has reduced after commencement of currency futures period. Ashish (2015) used time series techniques such as unit root test, ARCH-LM test, and GARCH model and daily spot exchange rate of EURO/INR from 1 st January, 2006 up to 30 th September, 2014 to verify effect of inception of currency futures on exchange rates volatility in India. The result shows that there has been a decline in volatility of spot foreign exchange market in India during post currency futures period. Anuradha (2010) employed alternative time series estimation techniques like VAR and reports that currency futures trading has no influence on underlying spot exchange rate volatility in India. He obtained the daily closing exchange rates of US dollar/ INR from NSE for period of August 2008 to August The result shows that arrival news first aggregated into currency futures market and then transmitted to spot foreign exchange market. Jochum and Kodres (1998) used SWARCH model and found that inception currency futures trading has no significant impact on volatility of spot exchange rates returns. Daily spot exchange rates of Mexican peso and the Brazilian were collected from January 1 st, 1995 to February 28 th, 1997 for analysis. They concluded that volatility of spot exchange rate returns do not influenced by currency futures market. Adrangi and Chatrath (1998) reveal in their study that inception of currency derivative trading destabilizes spot foreign exchange market by increasing volatility. Drimbetas et. al., (2006) however argued that volatility of spot market has declined during post inception of currency futures period due to speculators actively trading in futures market than spot market. Daily data from ASE index 20 was collected from August 1997 to April 2005 to verify the effect of inception futures contract on equity market volatility. The result suggests that the volatility of ASE index 20 has declined during post inception futures period. The above empirical evidences have found mixed results both in India and outside of India. Therefore the present study re-investigates the effect of inception of futures trading on spot currency market volatility in India. Aim of the Study In the light of this background, the study sought to achieve the following objectives. 1. To discover the effect of inception of currency futures on volatility of spot exchange rates namely JPY/INR, GBP/INR and EURO/INR. 2. To find out whether currency futures trading has altered arrival of news into market or not during post currency futures period. Data Description 3. Data and Methodology The daily data was obtained from official website of Reserve Bank of India. Daily spot exchange rates of Japanese Yen/INR, British Pond/INR and EURO/INR were taken from October 20 th 2005 to 30 th 429 International Journal of Economic Research
4 P. Sakthivel, Krishna Reddy Chittedi, Daniel Sakyi and V. Vijay Anand October, 2016 to analysis the effect of inception of currency derivative trading on exchange rates volatility in India. The entire data period was divided into two sub period; pre currency futures introduction (October 20 th, 2005 to 30 th January, 2010) and post currency futures introduction (February 1 st, 2010 to 30 th October, 2016). All data was expressed in natural logarithms to avoid any unreliable results. 4. Methodology Unit root tests were conducted to check whether the data is stationary or not. Time series data like daily spot exchange rates must be stationary before using them in econometric model. Stationary implies the invariant of mean; variance and covariance of series are stationary. Apply of non-stationary series in estimation of econometric model may misleads inferences. So it becomes essential to test the stationary of the series. The stationarity model proposed by Dickey and Fuller (1979) to ascertain the unit root of time series can be written as Dy i = s + j y + q D y + e (1) 0 1 t -1 i t -i t i = 1 The non rejection of the null hypothesis q i = 0, implies that data contain a unit root and is nonstationary. On the other hand the rejection of the null hypothesis q i = 0, means that the data does not contain a unit root and hence is stationary. The Generalized ARCH (GARCH) Model To investigate the effect of inception of currency derivative contact on volatility of spot exchange rate returns, generalized autoregressive conditional heteroscedasiticity (GARCH) was employed. Foreign exchange market is often characterized by certain time series properties such as mean revision, leverage effects, leptokurtosis, persistence volatility, and volatility clustering. The GARCH related estimation techniques are mainly developed to capture these characteristics that are generally related with foreign exchange market. GARCH model is specified as follows. h t q 2 0  1 t - 1 i = 1 International Journal of Economic Research 430 p  = s + d e + q In equation (2) d 1 and q j are news coefficients that explain how recent and previous news impacts conditional volatility of spot exchange rate returns. d 1 is coefficient that explains the effect of recent market shocks on current volatility of spot exchange rate returns. q j is persistence co-efficient that explains the effect of the previous day s shocks on current volatility. A dummy variable was introduced into GARCH conditional variance equation to explore the effect of currency futures trading on volatility of spot exchange rates for JPY/INR, GBP/INR and EURO/INR. The modified GARCH model is specified as follows p  j = 1 2 t 0 1 t -1 i t - j j h t - j h = d + f e + q h + g 1 dv (3) where, dv is the dummy variable. Negative and significant co-efficient of the dummy (g 1 ) implies the there is a decline in volatility of spot exchange rate returns during post currency futures period. On the other (2)
5 The Effect of Currency Futures on Volatility of Spot Exchange Rates: Evidence from India hand, positive and significant co-efficient of the dummy (g 1 ) indicates there is an increase in volatility of spot exchange rate returns due to inception of currency futures. 5. GJR GARCH Model The asymmetric model was developed by Gltosan, Jagannathan and Runkle, (1993), hence name GJR Generalized auto regressive conditional heteroscedasiticity (GARCH). The GJR GARCH model mainly captures asymmetric effects which is present in time series data. The GJR Generalized auto regressive conditional heteroscedasiticity (GARCH) model was employed to analysis the effect of currency futures trading on spot exchange rate volatility. To capture the effect of currency derivative trading, a dummy variable was included in variance equation. The modified GJR GARCH model is written as follows. h t q p r  j t - 1  j t - 1  1 t -1 t-1 i j = i i = 1 k = 1 = q + q e + p h + g I e + l DV (4) In the equations (4) q j, p i, and g 1 are parameters. DV is dummy variable. l i is coefficient of dummy variable which can either significantly positive or negative. g 1 is asymmetric coefficient. 6. Results and Discussion To confirm whether the data is stationary or not, ADF and PP tests were conducted. The results from the stationarity tests reported in table 1. ADF and PP tests statistics reveals that all log series of spot exchange rates of JPY/INR, GBP/INR and EURO/ INR were non stationary at level form. However, they were stationary at first difference. Table 1 Unit root Test Statistics Name of Series ADF (Level) ADF (1 st Difference ) PP (Level) PP (1 st Difference) JPY/INR * * GBP/INR * * EURP/INR * * * indicates 1 percent level of significance The descriptive statistics is presented in Table 2. The mean returns of JPY/INR and EURO/ INR were positive and that of GBP/INR was negative during both pre currency and post currency futures periods. The standard deviation of EURO/INR was higher as compared to JPY/INR and GBP/INR during post currency futures. It shows that there was higher volatility of spot exchange rate returns of EURO/INR. Jarque-Bera test reveals that all returns series of JPY/INR, EURO/ INR and GBP/INR follows non-normal distribution since null hypothesis has rejected. Lagrange Multiplier (LM) test was used to confirm the presence of series correlation of variance in returns series of JPY/INR, EURO/INR and GBP/INR. LM test shows that there was ARCH effect in all returns series. 431 International Journal of Economic Research
6 P. Sakthivel, Krishna Reddy Chittedi, Daniel Sakyi and V. Vijay Anand Table 2 Descriptive Statistics Pre Currency Futures Period Name of Series Mean S-D Skewness Kurtosis J.B Test LM Test JPY/INR GBP/ INR EUR/INR Post Currency Futures Period JPY/INR GBP/ INR EUR/INR Whole Period JPY/INR GBP/INR EUR/INR The standard GARCH model was used to confirm whether currency futures trading have altered arrival news into spot market or not during post currency futures period. Table 3 presents result of GARCH model. Table 3 Results of GARCH Model Estimation Pre Currency Futures Period Name of Series d 0 Constant d I (Arch coefficient) q j (Garch coefficient) d i + q j JPY/INR 0.05e * * 1.18 (1.864) (3.372) (7.882) GBP/INR (1.427) EUR/INR 0.03e01 (1.643) JPY/INR (1.9925) GBP/ INR 0.0e345 (1.2263) EUR/INR (1.6322) * imply that 1 % level of significance * (4.773) * (2.327) Post Currency Futures Period * (2.238) * (5.884) * (4.782) * (5.743) * (10.437) * (7.991) * (7.217) * (7.385) The result reveals that recent news greatly impacts current volatility of spot exchange rate returns since the ARCH coefficient (d i ) for JPY/INR and GBP/INR are positive and significant. The value of ARCH coefficient for JPY/INR slightly rose from to from before currency futures to after currency futures. It suggests that effect of recent news on current volatility of spot exchange rate returns of JPY/INR has increased and they incorporate to current exchange rates more quickly than before the inception of currency derivative trading. International Journal of Economic Research
7 The Effect of Currency Futures on Volatility of Spot Exchange Rates: Evidence from India The value of GARCH coefficient (q j ) for JPY/INR declines to which confirms the effect of previous day s news on current volatility of spot exchange rate returns decreases during post currency futures as compared to pre currency futures. Similar results were observed in the case of GBP/INR. However, the value ARCH coefficient for EURO/INR has reduced from to from pre currency futures to post currency futures. It implies that impact of recent news on current volatility in exchange rate returns of EURO/INR has decreased. This result suggests that previous day s news play a major role in determining current volatility of EURO/INR. The result also reveals that the sum of both coefficients (d i + q j ) for JPY/INR and GBP/INR is more than 1 during pre currency futures period. It therefore implies that there has been persistence volatility of spot exchange rate returns. However, the volatility persistent declined during post currency futures. To discover the effect of inception of currency derivative trading on spot exchange rates volatility, GARCH model was used. Table 4 shows result of the GARCH model. The result reveals that coefficients of dummy variable (g 1 ) were negative and statistically significant for JPY/INR and GBP/INR indicating that there has been a decline in volatility of exchange rate returns of JPY/INR and GBP/INR during post currency futures period. This is due to fact that currency futures trading enhanced rate of information arrival into market and speculators migration from spot to futures market. However, currency futures increased volatility of exchange rate returns of EUR/INR during post currency futures period, since the coefficient of dummy variable (g 1 ) was positive and significant. Table 4 Statistics of GARCH Model Estimation with DummyVariable Whole Period Name of Series d 0 constant d I (Arch coefficient) q j (Garch coefficient) g 1 (Dummy) JPY/INR 0.05e02 (0.992) GBP/INR (0.6721) EUR/INR (2.1160) * imply that 1 % level of significance * (3.779) * (5.563) * (3.832) * (6.875) * (11.563) * (5.892) * (-2.965) * (2.743) * (3.991) To check the effect of inception of currency derivative trading on volatility of exchange rate returns of EUR/INR, JPY/INR and GBP/INR, GJR GARCH technique was used. The result of GJR GARCH model is presented in table 5. The result from GJR GARCH reveals that coefficient of asymmetric was positive and significant even though a dummy variable is introduced in variance equation. This result suggests that presence of asymmetric effect in volatility of spot exchange rate returns. The result further shows that currency futures trading reduced volatility in exchange rate returns of JPY/INR and GBP/INR. However, volatility of exchange rate returns of EURO/INR has increased during post currency futures period. 7. Major Findings and Conclusion The effect of currency derivative trading on foreign exchange market volatility in India has been an interesting topic for investors, traders, and academicians because it implications for hedging and speculation. Firstly, 433 International Journal of Economic Research
8 P. Sakthivel, Krishna Reddy Chittedi, Daniel Sakyi and V. Vijay Anand Table 5 Statistics of GJR GARCH Model estimation with Dummy Variable Whole Period Name of Series q 0 constant q j (Arch coefficient) π i (Garch coefficient) g 1 (asymmetric coefficient l 1 Dummy JPY-INR (2.324) GBP/-INR 0.03e02 (1.865) EUR-INR 0.284* (2.643) * (4.990) * (2.663) * (3.732) * (8.8329) * (7.364) * (13.843) * (2.472) * (2.721) * (3.743) * (-2.881) * ( * (3.560) * imply that 1 % level of significance this paper empirically investigates the effect of inception of currency futures trading on spot exchange rates volatility in India. Secondly, the study explores whether currency derivative trading has altered flow of news into spot market or not during post currency futures period. Daily spot exchange rates of GBP/INR JPY/ INR, and EURO/INR from October 20 th 2005 to 30 th October, 2016 were used for the analysis. The time series estimation techniques such as unit root test, ARCH-LM test, GARCH model and GJR GARCH model were employed. The result reveals that the impact of recent news on current volatility of spot exchange rate returns increases and reduces the previous day s news influencing them during post currency futures. The result from GARCH family techniques show that inception currency futures reduced volatility in spot exchange rate returns of Japanese Yen/INR and British Pond/INR and it increased volatility of exchange rate returns of INR/ Euro during post currency futures period. The result further shows that there was an asymmetric effect in volatility of spot exchange rate returns. References Antoniou, A and P Holmes, (1995), Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract using GARCH Journal of Banking & Finance, Vol.19 No.1 pp, Anuradha guru (2010), The Effect of Currency Trading on Volatility of Spot Exchange Returns, Indian Economic Review, Vol. 35, No.1, pp Arif Oduncu (2011), The Impact of Currency Derivative Trading on Turkish Currency Market, Working Paper Series of Central Bank of the Republic of Turkey, pp Ashish Kumar, (2015), Impact of Currency Futures on Volatility Exchange rate of Euro-INR, Paradigm, Vol. 19, No.1 pp Butter worth Darren (2000), The impact of Introduction of the Index Futures Trading on Underlying Stock Index Volatility in the case of the FISE Mid 250 contract, Journal of Financial Economics, Vol. 7, pp Chatrath A, Song, F and., Ramchander, S, (1996), The Role of Futures Trading Activity in Exchange Rate Volatility. Journal of Futures Markets, Vol. 16, pp Dhananjay Sahu (2012) Impact of Currency Futures on Spot Exchange rate Volatility in India Research Journal of Finance and Accounting Vol 3, No 7, pp Drimbetas, Evangelos, Sariannidis, and Nikolaos (2007), The Effect of Derivatives Trading on Volatility of the Underlying Asset: Evidence from the Greek stock market, Applied Financial Economics,Vol. 17, Vol. 2, pp International Journal of Economic Research 434
9 The Effect of Currency Futures on Volatility of Spot Exchange Rates: Evidence from India Figlewski, S. (1981), Futures Trading and Volatility in the GNMA Market, Journal of Finance,Vol. 36, No. 1, Gallowy and miller (1997), Index Futures Trading and Stock Return Volatility, Evidence from the Introduction of the Midcap 400 Index futures, The Financial Review, Vol. 32, No. 4, pp Glosten, L. R.,. Jaganathan, and D. E. Runkle (1993), On the Relation between the Expected Value and the Volatility of the Nominal Excess Returns on Stocks, Journal of Finance, Vol.48, No. 4. pp Jochum and Kodres (1998), Does the Introduction of Futures on Emerging Market Currencies IMF Staff Paper Series, Vol. 45, No. 3, Kamara A, T Miller and Siegel (1992), The Effects of Futures Trading on the Stability of the S&P 500 Returns, The Journal of Futures Markets, Vol. 12, pp Lee, S. B. & Ohk, K. Y. (1992), Stock Index Futures Listing and Structural Change in Timevarying Volatility, The Journal of Futures Markets, Vol.12, No. 1, pp Santosh Kumar et. al., (2011), Introduction of Currency Trading and Spot exchange rate volatility, IPEDR conference proceedings, vol.4, pp Saurabh Singh and Tripathi (2015), Impact of Currency Derivatives Trading on Spot Exchange Rate Volatility in India, Global Journal of Multidisciplinary Studies, Vol. 4, No 02, pp International Journal of Economic Research
10
Modelling Stock Market Return Volatility: Evidence from India
Modelling Stock Market Return Volatility: Evidence from India Saurabh Singh Assistant Professor, Graduate School of Business,Devi Ahilya Vishwavidyalaya, Indore 452001 (M.P.) India Dr. L.K Tripathi Dean,
More informationChapter 4 Level of Volatility in the Indian Stock Market
Chapter 4 Level of Volatility in the Indian Stock Market Measurement of volatility is an important issue in financial econometrics. The main reason for the prominent role that volatility plays in financial
More informationInternational Journal of Business and Administration Research Review. Vol.3, Issue.22, April-June Page 1
A STUDY ON ANALYZING VOLATILITY OF GOLD PRICE IN INDIA Mr. Arun Kumar D C* Dr. P.V.Raveendra** *Research scholar,bharathiar University, Coimbatore. **Professor and Head Department of Management Studies,
More informationIJEMR August Vol 6 Issue 08 - Online - ISSN Print - ISSN
Impact of Derivative Trading On Stock Market Volatility in India: A Study of BSE-30 Index *R Kannan **Dr. T.Sivashanmuguam *Department of Management Studies, AVS arts and Science College, **Director &Assistant
More informationDerivative Trading and Spot Market Volatility: Evidence from Indian Market
International Journal of Innovation and Economic Development ISSN 1849-7020 (Print) ISSN 1849-7551 (Online) Volume 1 Issue 3 August 2015 Pages 23-34 Derivative Trading and Spot Market Volatility: Evidence
More informationANALYSIS OF THE RELATIONSHIP OF STOCK MARKET WITH EXCHANGE RATE AND SPOT GOLD PRICE OF SRI LANKA
ANALYSIS OF THE RELATIONSHIP OF STOCK MARKET WITH EXCHANGE RATE AND SPOT GOLD PRICE OF SRI LANKA W T N Wickramasinghe (128916 V) Degree of Master of Science Department of Mathematics University of Moratuwa
More informationIndian Institute of Management Calcutta. Working Paper Series. WPS No. 797 March Implied Volatility and Predictability of GARCH Models
Indian Institute of Management Calcutta Working Paper Series WPS No. 797 March 2017 Implied Volatility and Predictability of GARCH Models Vivek Rajvanshi Assistant Professor, Indian Institute of Management
More informationThe effect of Money Supply and Inflation rate on the Performance of National Stock Exchange
The effect of Money Supply and Inflation rate on the Performance of National Stock Exchange Mr. Ch.Sanjeev Research Scholar, Telangana University Dr. K.Aparna Assistant Professor, Telangana University
More informationVOLATILITY COMPONENT OF DERIVATIVE MARKET: EVIDENCE FROM FBMKLCI BASED ON CGARCH
VOLATILITY COMPONENT OF DERIVATIVE MARKET: EVIDENCE FROM BASED ON CGARCH Razali Haron 1 Salami Monsurat Ayojimi 2 Abstract This study examines the volatility component of Malaysian stock index. Despite
More informationResearch Article The Volatility of the Index of Shanghai Stock Market Research Based on ARCH and Its Extended Forms
Discrete Dynamics in Nature and Society Volume 2009, Article ID 743685, 9 pages doi:10.1155/2009/743685 Research Article The Volatility of the Index of Shanghai Stock Market Research Based on ARCH and
More informationVOLATILITY OF SELECT SECTORAL INDICES OF INDIAN STOCK MARKET: A STUDY
Indian Journal of Accounting (IJA) 1 ISSN : 0972-1479 (Print) 2395-6127 (Online) Vol. 50 (2), December, 2018, pp. 01-16 VOLATILITY OF SELECT SECTORAL INDICES OF INDIAN STOCK MARKET: A STUDY Prof. A. Sudhakar
More informationA STUDY ON IMPACT OF BANKNIFTY DERIVATIVES TRADING ON SPOT MARKET VOLATILITY IN INDIA
A STUDY ON IMPACT OF BANKNIFTY DERIVATIVES TRADING ON SPOT MARKET VOLATILITY IN INDIA Manasa N, Ramaiah University of Applied Sciences Suresh Narayanarao, Ramaiah University of Applied Sciences ABSTRACT
More informationVolatility Analysis of Nepalese Stock Market
The Journal of Nepalese Business Studies Vol. V No. 1 Dec. 008 Volatility Analysis of Nepalese Stock Market Surya Bahadur G.C. Abstract Modeling and forecasting volatility of capital markets has been important
More informationInvestment Opportunity in BSE-SENSEX: A study based on asymmetric GARCH model
Investment Opportunity in BSE-SENSEX: A study based on asymmetric GARCH model Jatin Trivedi Associate Professor, Ph.D AMITY UNIVERSITY, Mumbai contact.tjatin@gmail.com Abstract This article aims to focus
More informationApplying asymmetric GARCH models on developed capital markets :An empirical case study on French stock exchange
Applying asymmetric GARCH models on developed capital markets :An empirical case study on French stock exchange Jatin Trivedi, PhD Associate Professor at International School of Business & Media, Pune,
More informationMODELING EXCHANGE RATE VOLATILITY OF UZBEK SUM BY USING ARCH FAMILY MODELS
International Journal of Economics, Commerce and Management United Kingdom Vol. VI, Issue 11, November 2018 http://ijecm.co.uk/ ISSN 2348 0386 MODELING EXCHANGE RATE VOLATILITY OF UZBEK SUM BY USING ARCH
More informationLinkage between Gold and Crude Oil Spot Markets in India-A Cointegration and Causality Analysis
Linkage between Gold and Crude Oil Spot Markets in India-A Cointegration and Causality Analysis Narinder Pal Singh Associate Professor Jagan Institute of Management Studies Rohini Sector -5, Delhi Sugandha
More informationHOW GOOD IS THE BITCOIN AS AN ALTERNATIVE ASSET FOR HEDGING? 1.Introduction.
Volume 119 No. 17 2018, 497-508 ISSN: 1314-3395 (on-line version) url: http://www.acadpubl.eu/hub/ http://www.acadpubl.eu/hub/ HOW GOOD IS THE BITCOIN AS AN ALTERNATIVE ASSET FOR HEDGING? By 1 Dr. HariharaSudhan
More informationIntegration of Foreign Exchange Markets: A Short Term Dynamics Analysis
Global Journal of Management and Business Studies. ISSN 2248-9878 Volume 3, Number 4 (2013), pp. 383-388 Research India Publications http://www.ripublication.com/gjmbs.htm Integration of Foreign Exchange
More informationINFORMATION EFFICIENCY HYPOTHESIS THE FINANCIAL VOLATILITY IN THE CZECH REPUBLIC CASE
INFORMATION EFFICIENCY HYPOTHESIS THE FINANCIAL VOLATILITY IN THE CZECH REPUBLIC CASE Abstract Petr Makovský If there is any market which is said to be effective, this is the the FOREX market. Here we
More informationJournal of Radix International Educational and Research Consortium 1 P a g e
A Journal of Radix International Educational and Research Consortium RIJEB RADIX INTERNATIONAL JOURNAL OF ECONOMICS & BUSINESS MANAGEMENT NSE- TRADING OF CURRENCY FUTURES POONAM ABSTRACT The introduction
More informationIS GOLD PRICE VOLATILITY IN INDIA LEVERAGED?
IS GOLD PRICE VOLATILITY IN INDIA LEVERAGED? Natchimuthu N, Christ University Ram Raj G, Christ University Hemanth S Angadi, Christ University ABSTRACT This paper examined the presence of leverage effect
More informationA Study on Impact of WPI, IIP and M3 on the Performance of Selected Sectoral Indices of BSE
A Study on Impact of WPI, IIP and M3 on the Performance of Selected Sectoral Indices of BSE J. Gayathiri 1 and Dr. L. Ganesamoorthy 2 1 (Research Scholar, Department of Commerce, Annamalai University,
More informationModelling Inflation Uncertainty Using EGARCH: An Application to Turkey
Modelling Inflation Uncertainty Using EGARCH: An Application to Turkey By Hakan Berument, Kivilcim Metin-Ozcan and Bilin Neyapti * Bilkent University, Department of Economics 06533 Bilkent Ankara, Turkey
More informationModelling Stock Returns Volatility on Uganda Securities Exchange
Applied Mathematical Sciences, Vol. 8, 2014, no. 104, 5173-5184 HIKARI Ltd, www.m-hikari.com http://dx.doi.org/10.12988/ams.2014.46394 Modelling Stock Returns Volatility on Uganda Securities Exchange Jalira
More informationRisk- Return and Volatility analysis of Sustainability Indices of S&P BSE
Available online at : http://euroasiapub.org/current.php?title=ijrfm, pp. 65~72 Risk- Return and Volatility analysis of Sustainability Indices of S&P BSE Mr. Arjun B. S 1, Research Scholar, Bharathiar
More informationStock Price Volatility in European & Indian Capital Market: Post-Finance Crisis
International Review of Business and Finance ISSN 0976-5891 Volume 9, Number 1 (2017), pp. 45-55 Research India Publications http://www.ripublication.com Stock Price Volatility in European & Indian Capital
More informationA Study on the Performance of Symmetric and Asymmetric GARCH Models in Estimating Stock Returns Volatility
Vol., No. 4, 014, 18-19 A Study on the Performance of Symmetric and Asymmetric GARCH Models in Estimating Stock Returns Volatility Mohd Aminul Islam 1 Abstract In this paper we aim to test the usefulness
More informationCHAPTER 7 SUMMARY OF FINDINGS, SUGGESSIONS AND CONCLUSION
CHAPTER 7 SUMMARY OF FINDINGS, SUGGESSIONS AND CONCLUSION 7.1. Introduction 7.2. Rationale of the Study 7.3. Data and Methodology of the Study 7.4. Estimation Procedure of the Study 7.5. Findings of the
More informationMODELING VOLATILITY OF BSE SECTORAL INDICES
MODELING VOLATILITY OF BSE SECTORAL INDICES DR.S.MOHANDASS *; MRS.P.RENUKADEVI ** * DIRECTOR, DEPARTMENT OF MANAGEMENT SCIENCES, SVS INSTITUTE OF MANAGEMENT SCIENCES, MYLERIPALAYAM POST, ARASAMPALAYAM,COIMBATORE
More informationKerkar Puja Paresh Dr. P. Sriram
Inspira-Journal of Commerce, Economics & Computer Science 237 ISSN : 2395-7069 (Impact Factor : 1.7122) Volume 02, No. 02, April- June, 2016, pp. 237-244 CAUSE AND EFFECT RELATIONSHIP BETWEEN FUTURE CLOSING
More informationIntaz Ali & Alfina Khatun Talukdar Department of Economics, Assam University
Available online at http://sijournals.com/ijae/ ISSN: 2345-5721 Stock Market Volatility and Returns: A Study of National Stock Exchange in India Intaz Ali & Alfina Khatun Talukdar Department of Economics,
More informationInterrelationship between Profitability, Financial Leverage and Capital Structure of Textile Industry in India Dr. Ruchi Malhotra
Interrelationship between Profitability, Financial Leverage and Capital Structure of Textile Industry in India Dr. Ruchi Malhotra Assistant Professor, Department of Commerce, Sri Guru Granth Sahib World
More informationInflation and inflation uncertainty in Argentina,
U.S. Department of the Treasury From the SelectedWorks of John Thornton March, 2008 Inflation and inflation uncertainty in Argentina, 1810 2005 John Thornton Available at: https://works.bepress.com/john_thornton/10/
More informationA Study of Stock Return Distributions of Leading Indian Bank s
Global Journal of Management and Business Studies. ISSN 2248-9878 Volume 3, Number 3 (2013), pp. 271-276 Research India Publications http://www.ripublication.com/gjmbs.htm A Study of Stock Return Distributions
More informationImplied Volatility v/s Realized Volatility: A Forecasting Dimension
4 Implied Volatility v/s Realized Volatility: A Forecasting Dimension 4.1 Introduction Modelling and predicting financial market volatility has played an important role for market participants as it enables
More informationOil Price Effects on Exchange Rate and Price Level: The Case of South Korea
Oil Price Effects on Exchange Rate and Price Level: The Case of South Korea Mirzosaid SULTONOV 東北公益文科大学総合研究論集第 34 号抜刷 2018 年 7 月 30 日発行 研究論文 Oil Price Effects on Exchange Rate and Price Level: The Case
More informationSt. Theresa Journal of Humanities and Social Sciences
Volatility Modeling for SENSEX using ARCH Family G. Arivalagan* Research scholar, Alagappa Institute of Management Alagappa University, Karaikudi-630003, India. E-mail: arivu760@gmail.com *Corresponding
More informationAn Empirical Research on Chinese Stock Market Volatility Based. on Garch
Volume 04 - Issue 07 July 2018 PP. 15-23 An Empirical Research on Chinese Stock Market Volatility Based on Garch Ya Qian Zhu 1, Wen huili* 1 (Department of Mathematics and Finance, Hunan University of
More informationESTABLISHING WHICH ARCH FAMILY MODEL COULD BEST EXPLAIN VOLATILITY OF SHORT TERM INTEREST RATES IN KENYA.
ESTABLISHING WHICH ARCH FAMILY MODEL COULD BEST EXPLAIN VOLATILITY OF SHORT TERM INTEREST RATES IN KENYA. Kweyu Suleiman Department of Economics and Banking, Dokuz Eylul University, Turkey ABSTRACT The
More informationThe Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis
The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis WenShwo Fang Department of Economics Feng Chia University 100 WenHwa Road, Taichung, TAIWAN Stephen M. Miller* College of Business University
More informationEffect of Stock Index Futures Trading on Volatility and Performance of Underlying Market: The case of India
DOI : 10.18843/ijms/v5i2(1)/09 DOIURL :http://dx.doi.org/10.18843/ijms/v5i2(1)/09 Effect of Stock Index Futures Trading on Volatility and Performance of Underlying Market: The case of India Dr. Manu K
More informationMAGNT Research Report (ISSN ) Vol.6(1). PP , 2019
Does the Overconfidence Bias Explain the Return Volatility in the Saudi Arabia Stock Market? Majid Ibrahim AlSaggaf Department of Finance and Insurance, College of Business, University of Jeddah, Saudi
More informationVolatility in the Indian Financial Market Before, During and After the Global Financial Crisis
Volatility in the Indian Financial Market Before, During and After the Global Financial Crisis Praveen Kulshreshtha Indian Institute of Technology Kanpur, India Aakriti Mittal Indian Institute of Technology
More informationVolatility Clustering of Fine Wine Prices assuming Different Distributions
Volatility Clustering of Fine Wine Prices assuming Different Distributions Cynthia Royal Tori, PhD Valdosta State University Langdale College of Business 1500 N. Patterson Street, Valdosta, GA USA 31698
More informationA Test of Asymmetric Volatility in the Nigerian Stock Exchange
International Journal of Economics, Finance and Management Sciences 2016; 4(5): 263-268 http://www.sciencepublishinggroup.com/j/ijefm doi: 10.11648/j.ijefm.20160405.15 ISSN: 2326-9553 (Print); ISSN: 2326-9561
More informationPerception of Recognized Intermediaries about Equity Derivative Market in India
Perception of Recognized Intermediaries about Equity Derivative Market in India Dr. Ravi Kumar Gupta 1, Dr. Shalu Juneja 2, Megha Banga 3, and Dr. Anita Gupta 4 1 (Professor, Department of Management Studies,
More informationDomestic Volatility Transmission on Jakarta Stock Exchange: Evidence on Finance Sector
Domestic Volatility Transmission on Jakarta Stock Exchange: Evidence on Finance Sector Nanda Putra Eriawan & Heriyaldi Undergraduate Program of Economics Padjadjaran University Abstract The volatility
More informationForecasting Stock Price Volatility - An Empirical Study on Muscat Securities Market
Forecasting Stock Price Volatility - An Empirical Study on Muscat Securities Market Dr. Prabhakaran, Assistant Professor, Department of Business and Accounting, Muscat College, Sultanate of Oman. prabhakaran@muscatcollege.edu.om
More informationPrerequisites for modeling price and return data series for the Bucharest Stock Exchange
Theoretical and Applied Economics Volume XX (2013), No. 11(588), pp. 117-126 Prerequisites for modeling price and return data series for the Bucharest Stock Exchange Andrei TINCA The Bucharest University
More informationWould Central Banks Intervention Cause Uncertainty in the Foreign Exchange Market?
International Business Research; Vol. 8, No. 9; 2015 ISSN 1913-9004 E-ISSN 1913-9012 Published by Canadian Center of Science and Education Would Central Banks Intervention Cause Uncertainty in the Foreign
More informationHedging Effectiveness of Currency Futures
Hedging Effectiveness of Currency Futures Tulsi Lingareddy, India ABSTRACT India s foreign exchange market has been witnessing extreme volatility trends for the past three years. In this context, foreign
More informationStudy on Currency Derivatives and Their Impact on Value of Currency
International Academic Institute for Science and Technology International Academic Journal of Accounting and Financial Management Vol. 3, No. 7, 2016, pp. 59-69. ISSN 2454-2350 International Academic Journal
More informationWeak Form Efficiency of Gold Prices in the Indian Market
Weak Form Efficiency of Gold Prices in the Indian Market Nikeeta Gupta Assistant Professor Public College Samana, Patiala Dr. Ravi Singla Assistant Professor University School of Applied Management, Punjabi
More informationA Study on Developing a VKOSPI Forecasting Model via GARCH Class Models for Intelligent Volatility Trading Systems
지능정보연구제 16 권제 2 호 2010 년 6 월 (pp.19~32) A Study on Developing a VKOSPI Forecasting Model via GARCH Class Models for Intelligent Volatility Trading Systems Sun Woong Kim Visiting Professor, The Graduate
More informationModeling Exchange Rate Volatility using APARCH Models
96 TUTA/IOE/PCU Journal of the Institute of Engineering, 2018, 14(1): 96-106 TUTA/IOE/PCU Printed in Nepal Carolyn Ogutu 1, Betuel Canhanga 2, Pitos Biganda 3 1 School of Mathematics, University of Nairobi,
More informationMacroeconomic variables and stock prices in emerging economies: A panel analysis
e Theoretical and Applied Economics Volume XXV (2018), No. 3(616), Autumn, pp. 91-100 Macroeconomic variables and stock prices in emerging economies: A panel analysis Raghutla CHANDRASHEKAR Central University
More informationImpact of Derivatives Expiration on Underlying Securities: Empirical Evidence from India
Impact of Derivatives Expiration on Underlying Securities: Empirical Evidence from India Abstract Priyanka Ostwal Amity University Noindia Priyanka.ostwal@gmail.com Derivative products are perceived to
More informationIMPACT OF MACROECONOMIC VARIABLE ON STOCK MARKET RETURN AND ITS VOLATILITY
7 IMPACT OF MACROECONOMIC VARIABLE ON STOCK MARKET RETURN AND ITS VOLATILITY 7.1 Introduction: In the recent past, worldwide there have been certain changes in the economic policies of a no. of countries.
More informationIndex Futures Trading and Spot Market Volatility: Evidence from the Swedish Market
Index Futures Trading and Spot Market Volatility: Evidence from the Swedish Market School of Economics and Management Lund University Master Thesis of Finance Andrew Carlson 820510-2497 Ming Li 800723-T031
More informationDemand For Life Insurance Products In The Upper East Region Of Ghana
Demand For Products In The Upper East Region Of Ghana Abonongo John Department of Mathematics, Kwame Nkrumah University of Science and Technology, Kumasi, Ghana Luguterah Albert Department of Statistics,
More informationTHE IMPACT OF IMPORT ON INFLATION IN NAMIBIA
European Journal of Business, Economics and Accountancy Vol. 5, No. 2, 207 ISSN 2056-608 THE IMPACT OF IMPORT ON INFLATION IN NAMIBIA Mika Munepapa Namibia University of Science and Technology NAMIBIA
More informationForeign direct investment and profit outflows: a causality analysis for the Brazilian economy. Abstract
Foreign direct investment and profit outflows: a causality analysis for the Brazilian economy Fernando Seabra Federal University of Santa Catarina Lisandra Flach Universität Stuttgart Abstract Most empirical
More informationAvailable online at ScienceDirect. Procedia Economics and Finance 15 ( 2014 )
Available online at www.sciencedirect.com ScienceDirect Procedia Economics and Finance 15 ( 2014 ) 1396 1403 Emerging Markets Queries in Finance and Business International crude oil futures and Romanian
More informationFUTURES TRADING AND MARKET VOLATILITY IN INDIAN EQUITY MARKET: A STUDY OF CNX IT INDEX
ASIAN ACADEMY of MANAGEMENT JOURNAL of ACCOUNTING and FINANCE AAMJAF, Vol. 3, No. 1, 59 76, 2007 FUTURES TRADING AND MARKET VOLATILITY IN INDIAN EQUITY MARKET: A STUDY OF CNX IT INDEX T. Mallikarjunappa
More informationAn Empirical Research on Chinese Stock Market and International Stock Market Volatility
ISSN: 454-53 Volume 4 - Issue 7 July 8 PP. 6-4 An Empirical Research on Chinese Stock Market and International Stock Market Volatility Dan Qian, Wen-huiLi* (Department of Mathematics and Finance, Hunan
More informationSTUDY ON FINANCIAL DERIVATIVES OF THEIR IMPACT ON THE INDIAN FINANCIAL MARKETS
STUDY ON FINANCIAL DERIVATIVES OF THEIR IMPACT ON THE INDIAN FINANCIAL MARKETS YOGESH SAWANT 1*, Dr. A K SHARAN 2* Abstract 1. Research Scholar, Dept of Finance Management, UOA, UP. 2. Prof, Dept of Finance
More informationAN EMPIRICAL EVIDENCE OF HEDGING EFFECTIVENESS OF FUTURES CONTRACTS IN COMMODITIES MARKET
Inspira- Journal of Modern Management & Entrepreneurship (JMME) 99 ISSN : 2231 167X, General Impact Factor : 2.3982, Volume 07, No. 04, October, 2017, pp. 99-106 AN EMPIRICAL EVIDENCE OF HEDGING EFFECTIVENESS
More informationIntraday arbitrage opportunities of basis trading in current futures markets: an application of. the threshold autoregressive model.
Intraday arbitrage opportunities of basis trading in current futures markets: an application of the threshold autoregressive model Chien-Ho Wang Department of Economics, National Taipei University, 151,
More informationImpact of Foreign Institutional Investors on Indian Capital Market
Volume 8 issue 6 December 2015 Impact of Foreign Institutional Investors on Indian Capital Market Jasneek Arora Student, MA Applied Economics, Department of Economics, Christ University, Bangalore Santhosh
More informationAN EMPIRICAL EVIDENCE OF HEDGING PERFORMANCE IN INDIAN COMMODITY DERIVATIVES MARKET
Indian Journal of Accounting, Vol XLVII (2), December 2015, ISSN-0972-1479 AN EMPIRICAL EVIDENCE OF HEDGING PERFORMANCE IN INDIAN COMMODITY DERIVATIVES MARKET P. Sri Ram Asst. Professor, Dept, of Commerce,
More informationDATABASE AND RESEARCH METHODOLOGY
CHAPTER III DATABASE AND RESEARCH METHODOLOGY The nature of the present study Direct Tax Reforms in India: A Comparative Study of Pre and Post-liberalization periods is such that it requires secondary
More informationChapter- 7. Relation Between Volume, Open Interest and Volatility
Chapter- 7 Relation Between Volume, Open Interest and Volatility CHAPTER-7 Relationship between Volume, Open Interest and Volatility 7.1 Introduction The literature has seen a chunk of studies dedicated
More informationThe MonTh-of-The-year effect in The indian STock MarkeT: a case STudy on BSe SenSeX
Article can be accessed online at http://www.publishingindia.com The MonTh-of-The-year effect in The indian STock MarkeT: a case STudy on BSe SenSeX Som Sankar Sen* Abstract Efficient Market Hypothesis
More informationForecasting Stock Index Futures Price Volatility: Linear vs. Nonlinear Models
The Financial Review 37 (2002) 93--104 Forecasting Stock Index Futures Price Volatility: Linear vs. Nonlinear Models Mohammad Najand Old Dominion University Abstract The study examines the relative ability
More informationRelationship Between Commodity And Equity Markets: Evidence From India *
Relationship Between Commodity And Equity Markets: Evidence From India * Dr. S. Nirmala, Research supervisor, Associate professor- Department of Business Administration & Principal, PSGR Krishnammal College
More informationMarket Integration, Price Discovery, and Volatility in Agricultural Commodity Futures P.Ramasundaram* and Sendhil R**
Market Integration, Price Discovery, and Volatility in Agricultural Commodity Futures P.Ramasundaram* and Sendhil R** *National Coordinator (M&E), National Agricultural Innovation Project (NAIP), Krishi
More informationForeign Currency Risk Premia in Indian Stock Market: A Firm Level Analysis from 2000 to 2013.
Foreign Currency Risk Premia in Indian Stock Market: A Firm Level Analysis from 2000 to 2013. Mr.SoumyaSaha Assistant Professor Post Graduate Department of Commerce St. Xavier s College (Autonomous) Kolkata
More informationA market risk model for asymmetric distributed series of return
University of Wollongong Research Online University of Wollongong in Dubai - Papers University of Wollongong in Dubai 2012 A market risk model for asymmetric distributed series of return Kostas Giannopoulos
More informationVolatility spillovers for stock returns and exchange rates of tourism firms in Taiwan
20th International Congress on Modelling and Simulation, Adelaide, Australia, 1 6 December 2013 www.mssanz.org.au/modsim2013 Volatility spillovers for stock returns and exchange rates of tourism firms
More informationIMPLIED VOLATILITY Vs. REALIZED VOLATILITY A FORECASTING DIMENSION FOR INDIAN MARKETS
Delhi Business Review Vol. 17, No. 2 (July - December 2016) IMPLIED VOLATILITY Vs. REALIZED VOLATILITY A FORECASTING DIMENSION FOR INDIAN MARKETS Karam Pal Narwal* Ved Pal Sheera** Ruhee Mittal*** P URPOSE
More informationAn Analysis of Stock Returns and Exchange Rates: Evidence from IT Industry in India
Columbia International Publishing Journal of Advanced Computing doi:10.7726/jac.2016.1001 Research Article An Analysis of Stock Returns and Exchange Rates: Evidence from IT Industry in India Nataraja N.S
More informationBooth School of Business, University of Chicago Business 41202, Spring Quarter 2010, Mr. Ruey S. Tsay. Solutions to Midterm
Booth School of Business, University of Chicago Business 41202, Spring Quarter 2010, Mr. Ruey S. Tsay Solutions to Midterm Problem A: (30 pts) Answer briefly the following questions. Each question has
More informationIMPACT OF THE GLOBAL FINANCIAL CRISES ON THE MAJOR ASIAN COUNTRIES AND USA STOCK MARKETS AND INTER-LINKAGES AMONG THEM
DOI: 10.20472/ES.2016.5.1.001 IMPACT OF THE GLOBAL FINANCIAL CRISES ON THE MAJOR ASIAN COUNTRIES AND USA STOCK MARKETS AND INTER-LINKAGES AMONG THEM CENK GOKCE ADAS, BIBIGUL TUSSUPOVA Abstract: This study
More informationUNIT ROOT TEST OF SELECTED NON-AGRICULTURAL COMMODITIES AND MACRO ECONOMIC FACTORS IN MULTI COMMODITY EXCHANGE OF INDIA LIMITED
UNIT ROOT TEST OF SELECTED NON-AGRICULTURAL COMMODITIES AND MACRO ECONOMIC FACTORS IN MULTI COMMODITY EXCHANGE OF INDIA LIMITED G. Hudson Arul Vethamanikam, UGC-MANF-Doctoral Research Scholar, Alagappa
More informationThe Analysis of ICBC Stock Based on ARMA-GARCH Model
Volume 04 - Issue 08 August 2018 PP. 11-16 The Analysis of ICBC Stock Based on ARMA-GARCH Model Si-qin LIU 1 Hong-guo SUN 1* 1 (Department of Mathematics and Finance Hunan University of Humanities Science
More informationAsian Economic and Financial Review A REGRESSION BASED APPROACH TO CAPTURING THE LEVEL DEPENDENCE IN THE VOLATILITY OF STOCK RETURNS
Asian Economic and Financial Review ISSN(e): 2222-6737/ISSN(p): 2305-2147 URL: www.aessweb.com A REGRESSION BASED APPROACH TO CAPTURING THE LEVEL DEPENDENCE IN THE VOLATILITY OF STOCK RETURNS Lakshmi Padmakumari
More informationSTUDY ON THE CONCEPT OF OPTIMAL HEDGE RATIO AND HEDGING EFFECTIVENESS: AN EXAMPLE FROM ICICI BANK FUTURES
Journal of Management (JOM) Volume 5, Issue 4, July Aug 2018, pp. 374 380, Article ID: JOM_05_04_039 Available online at http://www.iaeme.com/jom/issues.asp?jtype=jom&vtype=5&itype=4 Journal Impact Factor
More informationThe Effects of Public Debt on Economic Growth and Gross Investment in India: An Empirical Evidence
Volume 8, Issue 1, July 2015 The Effects of Public Debt on Economic Growth and Gross Investment in India: An Empirical Evidence Amanpreet Kaur Research Scholar, Punjab School of Economics, GNDU, Amritsar,
More informationIMPACT OF FOREIGN INSTITUTIONAL INVESTMENT FLOWS
I J A B E R, Vol. 14, No. 7, (2016): 5265-5276 IMPACT OF FOREIGN INSTITUTIONAL INVESTMENT FLOWS Suresh Kashyap * and Mahesh Sarva * Abstract: Indian Economy has emerged as one of the highly sought after
More informationEstimating and forecasting volatility of stock indices using asymmetric GARCH models and Student-t densities: Evidence from Chittagong Stock Exchange
IJBFMR 3 (215) 19-34 ISSN 253-1842 Estimating and forecasting volatility of stock indices using asymmetric GARCH models and Student-t densities: Evidence from Chittagong Stock Exchange Md. Qamruzzaman
More informationThe Relationship between Inflation, Inflation Uncertainty and Output Growth in India
Economic Affairs 2014, 59(3) : 465-477 9 New Delhi Publishers WORKING PAPER 59(3): 2014: DOI 10.5958/0976-4666.2014.00014.X The Relationship between Inflation, Inflation Uncertainty and Output Growth in
More informationFinancial Econometrics Lecture 5: Modelling Volatility and Correlation
Financial Econometrics Lecture 5: Modelling Volatility and Correlation Dayong Zhang Research Institute of Economics and Management Autumn, 2011 Learning Outcomes Discuss the special features of financial
More informationModeling Volatility of Price of Some Selected Agricultural Products in Ethiopia: ARIMA-GARCH Applications
Modeling Volatility of Price of Some Selected Agricultural Products in Ethiopia: ARIMA-GARCH Applications Background: Agricultural products market policies in Ethiopia have undergone dramatic changes over
More informationHedging effectiveness of European wheat futures markets
Hedging effectiveness of European wheat futures markets Cesar Revoredo-Giha 1, Marco Zuppiroli 2 1 Food Marketing Research Team, Scotland's Rural College (SRUC), King's Buildings, West Mains Road, Edinburgh
More informationVolume 29, Issue 2. Measuring the external risk in the United Kingdom. Estela Sáenz University of Zaragoza
Volume 9, Issue Measuring the external risk in the United Kingdom Estela Sáenz University of Zaragoza María Dolores Gadea University of Zaragoza Marcela Sabaté University of Zaragoza Abstract This paper
More informationThe impact of the financial crisis on the interbank money markets behavior. Evidence from several CEE transition economies 1
The impact of the financial crisis on the interbank money markets behavior. Evidence from several CEE transition economies 1 Simona Mutu 2, PhD Student Babeş-Bolyai University, Faculty of Economics and
More informationTHE STUDY ON CO-MOVEMENT & INTERDEPENDENCY OF INDIAN STOCK MARKET WITH SELECTED FOREIGN STOCK MARKETS
THE STUDY ON CO-MOVEMENT & INTERDEPENDENCY OF INDIAN STOCK MARKET WITH SELECTED FOREIGN STOCK MARKETS Prof. Dhaval Patel, Assistant Professor, Global Institute of Management, Gandhinagar, Gujarat Technological
More informationImpact of interest rate differentials on Net foreign institutional investment (FIIs) in India
Impact of interest rate differentials on Net foreign institutional investment (FIIs) in Virender Kumar Research Scholar, Department of University of Delhi Delhi, Vijender Kumar Independent Researcher and
More informationRelationship between Return, Volume and Volatility in the Ghana Stock Market
Relationship between Return, Volume and Volatility in the Ghana Stock Market Eugene Osei-Wusu Department of Finance and Statistics Hanken School of Economics Vasa 2011 HANKEN SCHOOL OF ECONOMICS Department
More information