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Time-varying Connectedness Between ESG Stocks and BRVM Traditional Stocks Journal of Emerging Market Finance Pub Date : 2024-03-15 Zynobia Barson, Kwame Simpe Ofori, Peterson Owusu Junior, Kwabena G. Boakye, George Oppong Appiagyei Ampong
Periods of crisis prompt investors to look out for means of making returns even in uncertain market conditions. Investors are using stocks selected on an environmental, social, and governance (ESG) basis to mitigate the unavoidable risks of investing in assets during these times of pandemic and war. In an integrated global financial system, we sought to explore the connectedness, if any, between the
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The Increasing Trend in Effective Tax Rates in India: Role of Macroeconomic Factors, Tax Policy Changes and Firm Characteristics Journal of Emerging Market Finance Pub Date : 2024-02-24 A. Athira, P. J. Jijo Lukose
We show that over the last two decades, India’s effective tax rates (ETRs) have increased by 7.8 percent, which contrasts with the downward trend in ETRs for US firms documented by Dyreng et al. (2017). After controlling for changes in firm characteristics, macroeconomic factors, and tax policy changes, our findings show that ETRs increased by 0.37 percent per year during the sample period. Further
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Feedback Trading and Its Implications for Return Autocorrelations in India During COVID Journal of Emerging Market Finance Pub Date : 2024-02-07 Paramita Mukherjee, Rajashri Chatterjee
In emerging capital markets, feedback trading is a widely pursued strategy by investors. Such behavior may potentially lead to volatility and cause negative autocorrelation in market returns, especially during high volatility. In India, such a linkage has not been explored so far, though institutional investors have pursued feedback trading for the last two decades. Also, COVID-19 has led to higher
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Is the Beta Anomaly Real? A Correction in Existing Theories of Cost of Capital and Asset Pricing Journal of Emerging Market Finance Pub Date : 2023-05-16 Vinod Kumar
Researchers argue about the beta anomaly and related anomalies in the capital market based on existing theories of asset pricing. This article shows that the observed beta anomaly is added due to t...
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Do Values Predict Socially Responsible Investment Decisions? Measuring the Moderating Effects of Gender Journal of Emerging Market Finance Pub Date : 2023-05-01 Rajdeep Kumar Raut, Rohit Kumar
This study examines investors’ pro-environmental investment intentions by measuring the effect of economic concern (egoistic value) and environmental concern (altruistic value) on attitudes toward ...
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An Assessment of Unconventional Monetary Policy During COVID-19 Pandemic in India Journal of Emerging Market Finance Pub Date : 2023-05-01 D. Tripati Rao, Rahul Kumar
We employ event study methodology to analyze the impact of unprecedented unconventional monetary policy (UMP) measures employed by the Reserve Bank of India to fortify monetary transmission mechani...
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Sustainability, Resilience, and Returns During COVID-19: Empirical Evidence from US and Indian Stock Markets Journal of Emerging Market Finance Pub Date : 2023-03-25 Neetu Yadav, Vandana Bhama
The growing number of consulting reports published globally show mixed evidence of higher returns for environmental, social, and governance (ESG) indices as compared to equity indices. The present ...
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Better to Give than to Receive: A Study of BRICS Countries Stock Markets Journal of Emerging Market Finance Pub Date : 2023-03-12 Pradiptarathi Panda, Wasim Ahmad, M. Thiripalraju
This study uses the MGARCH-BEKK model and Diebold–Yilmaz (DY) volatility spillover index to examine volatility spillovers among BRICS countries’ stock markets. The study finds that the own volatili...
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Investor Attention and Global Stock Market Volatility: Evidence from COVID-19 Journal of Emerging Market Finance Pub Date : 2023-02-08 Chaiyuth Padungsaksawasdi, Sirimon Treepongkaruna
This paper utilizes intraday five-minute stock market indices to investigate the causal relation between global stock market volatility and investor attention measured by the Google search volume i...
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Systemic Risk Transmission from the United States to Asian Economies During the COVID-19 Period Journal of Emerging Market Finance Pub Date : 2023-02-05 Shivani Narayan, Dilip Kumar
The study investigates the systemic risk transmission from the US banking sector and the US market to the five most economically impacted Asian nations (Thailand, Malaysia, the Philippines, India, ...
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Auditor Exits and Firm Performance: Is There a Link? Journal of Emerging Market Finance Pub Date : 2023-02-05 Saibal Ghosh
Employing firm-level data for 2011–2020, we explore the impact of auditor exit on firm performance. Using profitability and growth as outcome variables, the findings suggest that auditor exit leads...
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What Affects Startup Acquisition in Emerging Economy? Evidence from India Journal of Emerging Market Finance Pub Date : 2023-01-27 Khanindra Ch. Das
Acquisitions of startup concern investors, cofounders, consumers, and competition watchdogs. With the rapid emergence of the startup ecosystem in India, the phenomenon of startup acquisitions has b...
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What Explains Excess Liquidity of Banks? Empirical Evidence from India Journal of Emerging Market Finance Pub Date : 2022-07-22 Md Gyasuddin Ansari, Rudra Sensarma
We study excess liquidity in the banking system using data for India during 2005–2020. We apply Autoregressive Distributed Lag model and panel regressions to identify the factors determining excess...
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The Decision to Go Public and Business Group Affiliation: Evidence from India Journal of Emerging Market Finance Pub Date : 2022-06-21 C. Suja Sekhar, P. J. Jijo Lukose
Using a comprehensive sample of Indian stock market listings from 2000 to 2014, we examine the effect of business group (BG) affiliation on the decision to go public. Supporting the internal capita...
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Return and Volatility Spillover Effects between Rupee–Dollar Exchange Rate and Asian Stock Indices Journal of Emerging Market Finance Pub Date : 2022-05-30 S. Mahalakshmi, S. Thiyagarajan, Gopala Vasudevan, G. Naresh
India is a major Asian economy that has attracted global investment due to its economic stability and relatively open financial markets. We investigate the return and volatility spillover effects b...
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Economic Policy Uncertainty Versus Sector Volatility: Evidence from India Using Multi-scale Wavelet Granger Causality Analysis Journal of Emerging Market Finance Pub Date : 2022-04-18 Vamsidhar Ambatipudi, Dilip Kumar
The present study examines the relationship between Indian economic policy uncertainty (IEPU) and the different sector volatilities (SVs) of the Indian economy over the period 2006–2021. The relati...
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Central Bank Independence, Inflation, and Poverty in Africa Journal of Emerging Market Finance Pub Date : 2022-04-18 Agyapomaa Gyeke-Dako, Elikplimi Komla Agbloyor, Abel Mawuko Agoba, Festus Turkson, Emmanuel Abbey
This article discusses the extent to which central bank independence (CBI) can be used to mitigate the regressive nature of inflation. Using 44 Sub-Saharan African (SSA) countries from the period 1...
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Characterizing the Over-indebted: An Event History Analysis of Financial Diaries Journal of Emerging Market Finance Pub Date : 2022-04-18 Sachit Rao, Navitha Parthasarathy
Low-income households (HHs) face vagaries in income and expenses. These often require the HH to borrow and can cause the HH to become over-indebted. Financial Diaries capture information on incomes...
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Does Difference in Environmental Standard Influence India’s Bilateral IIT Flows? Evidence from GMM Results Journal of Emerging Market Finance Pub Date : 2022-04-14 Sakshi Aggarwal, Debashis Chakraborty, Nilanjan Banik
In the recent past, India has entered into several regional trading agreements (RTAs) with the objective of export promotion, on the one hand, and deepening participation in the global value chains...
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Understanding the Finance–Growth Nexus from a Multidimensional Perspective Journal of Emerging Market Finance Pub Date : 2022-04-12 Guangdong Xu
This paper discusses the multidimensional nature of banking development and its effects on economic growth. Previous studies focused on the quantity dimension and overlooked other dimensions of ban...
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Central Bank Policies and Market Power Over the Business Cycle in Africa Journal of Emerging Market Finance Pub Date : 2022-04-04 Daniel Ofori-Sasu, Elikplimi Komla Agbloyor, Saint Kuttu, Joshua Yindenaba Abor
This article empirically examines the impact of the business cycle on the relationship between individual central bank policies and market power. We present a representative sample of 52 African ec...
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Socioeconomic Determinants of Household Investment Portfolio in India Journal of Emerging Market Finance Pub Date : 2022-03-29 Priya Rampal, Shreya Biswas
This study examines the determinants of asset holding by low- income households in India using the second wave of the Indian Human Development Survey. Our exploratory analysis indicates that even low-income households seem to hold portfolios that are in line with financial goals such as education and marriage. Employing parametric and non-parametric methods, the study finds that affordability is one
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Calling the Shots: Determinants of Financial Decision-making and Behavior in Domestic Migrant Households in India Journal of Emerging Market Finance Pub Date : 2022-03-28 Vinith Kurian, Shashank Sreedharan, Fabrizio Valenti
This article explores financial decision-making and behavior in migrant households. Literature on migration and financial inclusion usually focuses on either migrant workers and their financial needs or remittance flows and their effects on development, leaving the subject of household decision-making significantly underresearched. Using primary data from two sample surveys, one with migrant workers
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An Endless Bargain: A Participatory Approach to Understanding Intra-household Finance Journal of Emerging Market Finance Pub Date : 2022-03-08 Shriyam Gupta, Dhwani Yagnaraman, Aditya Jagati
While factors influencing intra-household dynamics, preferences of individual members, and their impact on household financial decision-making have been studied, the actual process of bargaining, and decision-making process remain uncaptured. We take a qualitative approach to address this gap and do so in two distinct ways. We first conduct a photo elicitation session (n = 55) to understand gender
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Characterizing India’s Financial Cycle Journal of Emerging Market Finance Pub Date : 2022-03-03 Harendra Behera, Saurabh Sharma
The severity of the effects of global financial crisis resuscitates the need for assessing the macro-financial linkages and measuring financial cycle to prevent the economy from major financial shocks. Our article measures financial cycle by using turning point analysis, spectral analysis and band-pass filter and provides the evidence on the existence of financial cycle in India. We find the length
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Multiclass Discriminant Analysis using Ensemble Technique: Case Illustration from the Banking Industry Journal of Emerging Market Finance Pub Date : 2022-02-03 P. K. Viswanathan, Sandeep Srivathsan, Wayne L. Winston
Linear discriminant analysis (LDA) has found extensive application in predicting bankruptcy. In this article, we elucidate a novel modelling approach for LDA that can also aid in gaining useful insights regarding the relative importance and ranking of factors in the banking industry. The model steers away from the traditional computation of the variance/covariance matrix and employs an ensemble technique
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Can Equity be Safe-haven for Investment? Journal of Emerging Market Finance Pub Date : 2022-01-23 Janani Sri S., Parthajit Kayal, G. Balasubramanian
Popular investment choices such as fixed income, gold, and real estate have generated low returns over long horizons. Equity seems to have performed much better despite its inherent risk. Although, investors prefer safe-haven assets, they are increasingly moving to equities in search for better returns. We consider whether equity could be a safe-haven investment if chosen from quality stocks’ basket
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Central Bank Communications and Professional Forecasts: Evidence From India Journal of Emerging Market Finance Pub Date : 2021-10-10 Ashima Goyal, Prashant Parab
We analyze the influence of qualitative and quantitative communications of the Reserve Bank of India (RBI) on inflation expectations of professional forecasters and draw out implications for policy. Estimating Carroll-type epidemiological models of expectation formation under information rigidities, we get a large speed of adjustment of professional forecasters’ expectations. Analysis of the determinants
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Competition and Banking Industry Stability: How Do BRICS and G7 Compare? Journal of Emerging Market Finance Pub Date : 2021-09-29 Abayomi Oredegbe
This study examines banking industry stability in BRICS and G7 from the period 2005 to 2014. The results show that stability level in a prior period affects stability in the subsequent period. Also, the study reveals that competition improves stability, which validates the competition-stability proposition. Economic growth enhances stability in BRICS but not in G7. Inefficiency weakens stability in
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Nonlinearity in Global Crude Oil Benchmarks: Disentangling the Effect of Time Aggregation Journal of Emerging Market Finance Pub Date : 2021-09-08 George Varghese, Vinodh Madhavan
We model the first and second moments of global crude oil benchmarks, using iterative pre-whitened generalized autoregressive conditional heteroskedasticity (GARCH) models and, in doing so, validate the efficacy of such models in assimilating the neglected nonlinearities in the underlying data-generating processes. The benchmarks considered for this study are Brent, Dubai/Oman, and West Texas Intermediate
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Antecedents of Stage-wise Investment Preferences of Venture Capital and Private Equity Firms in India: An Empirical Exploration Journal of Emerging Market Finance Pub Date : 2021-07-12 Poonam Dugar, Rakesh Basant
This article is a maiden attempt at exploring determinants of stage-specific investment choices of Indian venture capital and private equity (VCPE) firms. Analysis of 5,782 VCPE investment deals during 1998–2016 shows that firms’ preferences to invest in various stages (early vs. late) are significantly affected by the characteristics of the VCPE firms, features of the deal, and characteristics of
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Financial Access of Latin America and Caribbean Firms: What Are the Roles of Institutional, Financial, and Economic Development? Journal of Emerging Market Finance Pub Date : 2021-05-19 Lan Khanh Chu
This article examines the impact of institutional, financial, and economic development on firms’ access to finance in Latin America and Caribbean region. Based on firm- and country-level data from the World Bank databases, we employ an ordered logit model to understand the direct and moderating role of institutional, financial, and economic development in determining firms’ financial obstacles. The
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The Interplay Between Sentiment and MAX: Evidence from an Emerging Market Journal of Emerging Market Finance Pub Date : 2021-01-21 Nilesh Gupta, Joshy Jacob
Investors with lottery preferences are known to concentrate on stocks with rare but extreme past returns. We investigate the extent to which lottery preference, measured by the MAX variable, varies with the market-wide irrational sentiment. We find that the high-MAX stocks have higher overpricing in a high-sentiment market and earn a lower alpha, compared to the low-sentiment market. Accordingly, the
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Do Investors Overreact for Property and Financial Service Sectors? Journal of Emerging Market Finance Pub Date : 2020-12-14 Zhi Dong, Tien Foo Sing
There are limitations in the understandings of investors’ overreaction to the volatility in less transparent industrial sectors. Investors investing in a less transparent sector are likely to over-interpret available market information. This article compares investors’ reaction to market shocks across different industrial sectors, through analyzing the information content in implied volatility using
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Exploring the Yield Spread Between Sukuk and Conventional Bonds in Malaysia Journal of Emerging Market Finance Pub Date : 2020-11-13 Nurin Haniah Asmuni, Ken Seng Tan
This article aims to shed light on the differences in yield rate between conventional bond and sukuk in the Malaysian market. We find that the historical yield rates for the government-issued sukuk is significantly higher than the conventional bond. Conversely, there is a slight yield spread discount between the corporate-issued sukuk and bonds for all rating classes. We conclude that liquidity factor
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The Journal of Emerging Market Finance: A Bibliometric Overview (2002–2019) Journal of Emerging Market Finance Pub Date : 2020-09-15 Satish Kumar, Vinodh Madhavan, Riya Sureka
This study provides a comprehensive overview of the prominent trends and thematic structure of the Journal of Emerging Market Finance (JEMF). The article uses bibliometric methodology and in doing so, considers measures such as, but not limited to, h-index, annual publications and citation structure, total citations, citation per publication ratio, most productive authors, institutions and countries
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Crude Oil Volatility Transmission Across Food Commodity Markets: A Multivariate BEKK-GARCH Approach Journal of Emerging Market Finance Pub Date : 2020-08-23 M. Thenmozhi, Shipra Maurya
This study examines the time-varying price risk transmission in the nexus between crude oil and agricultural commodity prices in the context of non-grain-based biofuel producing country. Analysis of the short- and long-run dynamics of volatility in both spot and futures markets of maize, soybean and wheat and crude oil prices using the multivariate BEKK-GARCH model, indicate volatility spillover from
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Estimation of Macro-financial Linkages for the Indian Economy Journal of Emerging Market Finance Pub Date : 2020-08-23 Shesadri Banerjee, Jayanthi K. Anand, Shashanka Bhide
The widespread impacts of global financial crisis (2008-09) reinstate the need for better assessment of the macro-financial linkages for forecasting and policy evaluation. Our paper contributes to the relevant literature with evidence from the Indian financial sector. Following Castelnuovo (2013), a New Keynesian model with macro-financial linkages is estimated by the Bayesian technique for the sample
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The Relative Role of Sovereign CDS and Bond Markets in Efficiently Pricing Emerging Market Sovereign Credit Risk Journal of Emerging Market Finance Pub Date : 2020-07-17 Zubair Ali Raja, William J. Procasky, Renee Oyotode-Adebile
Extant literature reports mixed findings on the relative efficiency of credit default swaps (CDS) and bond markets in pricing emerging market sovereign credit risk. Using a more comprehensive data set than analyzed earlier, we reexamine this issue and find that CDS dominate bonds in the price discovery of this risk, an advantage we attribute to the greater relative liquidity of that market. One exception
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Intraday Variability and Trading Volume: Evidence from National Stock Exchange Journal of Emerging Market Finance Pub Date : 2020-07-09 Aravind Sampath, Arun Kumar Gopalaswamy
In this article, we investigate patterns in returns, volume and volatility and analyse the volume–return relationship using tick-by-tick data from the Indian equity market. Based on descriptive measures and regression frameworks, we document three important findings. First, we report unusually high volatility, trading volume and number of trades during the opening and closing minutes of the market
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Assessing the Effects of Anti-corruption Law on Entrepreneurial Finance: Evidence from Latin America Journal of Emerging Market Finance Pub Date : 2020-07-09 Francesca Battaglia, Marika Carboni, Antonella Francesca Cicchiello, Stefano Monferrà
Corruption normally causes distrust among investors and can negatively affect investments. Particularly in Latin America, decline of investments is one of the most significant problems. In such a context, anti-corruption laws can both fight corruption and promote business, restoring investors’ trust. In this article, we ask whether the introduction of an anti-corruption framework affecting both the
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Predicting Financial Health of Banks for Investor Guidance Using Machine Learning Algorithms Journal of Emerging Market Finance Pub Date : 2020-05-14 P. K. Viswanathan, Suresh Srinivasan, N. Hariharan
While earlier studies have focused excessively on bankruptcy prediction of banks, this study classifies banks based on their financial strength from the perspective of retail depositors who currently do not have an authentic guiding framework that helps them identify banks with higher risk profiles. Using machine learning techniques, we classify 44 Indian banks into distinct categories of financial
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Monetary Surprises and Global Financial Flows: A Case Study of Latin America Journal of Emerging Market Finance Pub Date : 2020-05-09 Eric Fischer
This article examines the effect of Federal Reserve announcements on global financial flows to Latin America since the Global Financial Crisis. The Federal Reserve announcements are classified using daily measures of expectations from a shadow rate term structure model as easing (unexpected), tightening (unexpected), easing (expected), and tightening (expected). This classification is then used for
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The Independence of Central Banks, Political Institutional Quality and Financial Sector Development in Africa Journal of Emerging Market Finance Pub Date : 2020-01-14 Abel Mawuko Agoba, Joshua Yindenaba Abor, Kofi Achampong Osei, Jarjisu Sa-Aadu
Central Bank Independence (CBI) as a mechanism for achieving lower inflation and effective regulation and supervision of the financial sector should promote financial sector development. Though there is not much difference in CBI legal provisions, it seems to be more effective in developed countries than in African countries. There are suggestions that this could be due to differences in political
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Has the Global Financial Crisis Changed the Market Response to Credit Ratings? Evidence from an Emerging Market Journal of Emerging Market Finance Pub Date : 2019-12-10 Kaveri Krishnan, Sankarshan Basu, Ashok Thampy
This article analyses the differential market response to credit rating revisions in the pre- and post-global financial crisis (GFC) period using data from India. By reviewing the stock price reaction to the announcement of long-term rating changes during the period 1996–2015, the study finds evidence that the stock price reacted less to rating announcements after the GFC of 2008. However, the difference
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Web-Based Investor Fear Gauge and Stock Market Volatility: An Emerging Market Perspective Journal of Emerging Market Finance Pub Date : 2019-12-09 Michael Graham, Jussi Nikkinen, Jarkko Peltomäki
This article considers web-based global investors’ crash fears as a gauge of global investors’ fears, and examines its effect on stock market volatility in a sample of emerging stock markets. We show that an increase in global investors’ crash fears significantly affects the volatility of stock index returns in emerging markets. The results are robust to the inclusion of the conventional investor sentiment/fear
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Sectoral Loan Portfolio Concentration and Bank Stability: Evidence from an Emerging Economy Journal of Emerging Market Finance Pub Date : 2019-12-09 Baah Aye Kusi, Lydia Adzobu, Alex Kwame Abasi, Kwadjo Ansah-Adu
In this study, the effect of sectoral loan portfolio concentration on bank stability is investigated in the Ghanaian banking sector between 2007 and 2014. Specifically, we investigate the linearity and non-linearity effects of sectoral loan concentration on bank stability given the limited exploration of this nexus. Employing a two-step generalized method of moments (GMM) robust random and fixed effects
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Foreign Direct Investment Determinants in Oil Exporting Countries: Revisiting the Role of Natural Resources Journal of Emerging Market Finance Pub Date : 2019-12-09 Mohamed Abdelaziz Eissa, Mohammed M. Elgammal
This article explores the determinants of foreign direct investment (FDI) in oil-dependent economies and revisits the role of natural resources in attracting FDI to countries of this kind. Panel data from the six Gulf Cooperation Council (GCC) countries, namely Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates, have been employed, covering the period from 1990 to 2015. First,
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‘Indian Stock Market Volatility’: A Study of Inter-linkages and Spillover Effects Journal of Emerging Market Finance Pub Date : 2019-06-21 Suparna Nandy (Pal), Arup Kr. Chattopadhyay
The article attempts to examine interdependence between Indian stock market and other domestic financial markets, namely, foreign exchange market, bullion market, money market, and also Foreign Institutional Investor (FII) trade and foreign stock markets comprising one regional stock market represented by Nikkei of Japan and other stock market for the rest of the world represented by Standard & Poor’s
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Price and Volatility Linkages Between Indian Stocks and Their European GDRs Journal of Emerging Market Finance Pub Date : 2019-06-21 Vinodh Madhavan, Partha Ray
This article tests for price and volatility linkages between Indian global depositary receipts (GDRs) traded in Luxembourg/London and their underlying shares traded in Mumbai. The relationship is studied between the GDR price and the domestic share price along with the appropriate exchange rates, the foreign stock index and the domestic stock index using the vector autoregression (VAR) and dynamic
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Gauging the Impact of Payment System Innovations on Financial Intermediation: Novel Empirical Evidence from Indonesia Journal of Emerging Market Finance Pub Date : 2019-06-18 Alexander Lubis, Constantinos Alexiou, Joseph G. Nellis
In this article, the relationship between innovations in the payment systems and financial intermediation is explored. By focusing on excess reserves and currency demand we provide evidence on the extant transmission mechanism. In this direction, a generalised method of moments (GMM) and vector error correction model (VECM) techniques are applied to a data set collated for Indonesia. We find that financial
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Does Board Composition Matter to Institutional Investors? Journal of Emerging Market Finance Pub Date : 2019-06-18 Shashank Bansal, M. Thenmozhi
This study examines the resource dependency and signalling role of independent directors from the perspective of institutional investor’s and also investigates if the presence of large blockholder moderates the signalling effect. This study uses the quasi-natural experiment to examine this relationship. The difference-in-difference (DiD) analysis of 5,298 firm observations covering 618 National Stock
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A VaR-based Downside Risk Analysis of Indian Equity Mutual Funds in the Pre- and Post-global Financial Crisis Periods Journal of Emerging Market Finance Pub Date : 2019-06-11 Soumya Guha Deb
This article analyses downside risk of Indian equity mutual funds from 1999 to 2014 using a value at risk (VaR)-based approach. We use weekly return data of a sample of 349 equity mutual funds during the said period to estimate their weekly VaRs on a rolling basis using some parametric and non-parametric models. Moving average (MA), exponentially weighted MA and GARCH (1, 1) are the parametric models
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Global Financial Crisis: Dynamics of Liquidity Risk in Emerging Asia Journal of Emerging Market Finance Pub Date : 2019-06-11 Suraj Kumar, Krishna Prasanna
This study investigates the dynamic impact of global and regional liquidity along with volatility on the liquidity of emerging Asian equity markets. Further, we empirically disentangle the effects of volatility and liquidity. We find that the external liquidity factors have a higher impact on domestic liquidity as compared to volatility. The impact of global volatility shocks was witnessed only during
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The Joint Dynamics of Liquidity and Volatility Across Small- and Large- index Indian Funds Journal of Emerging Market Finance Pub Date : 2019-06-07 Kriti Kulshrestha, Saumitra N. Bhaduri
The article explores the relationship between volatility and liquidity, as there is a change in market capitalisation (cap). Using three regimes of volatility, identified by the threshold vector auto-regression method, the results show that volatility affects liquidity differently for the three volatility regimes during the two periods (crisis and post-crisis) of study. The results show that there
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Threshold Effect of Bank-specific Determinants of Non-performing Assets: An Application in Indian Banking Journal of Emerging Market Finance Pub Date : 2019-04-01 Samaresh Bardhan, Rajesh Sharma, Vivekananda Mukherjee
The article investigates role of bank-specific factors on non-performing assets (NPAs) in Indian banking system in a panel threshold framework (Hansen, 1999, Journal of Econometrics, 93(2), 345–368), using an unbalanced panel of 82 scheduled commercial banks over the period of 1995–1996 to 2010–2011. We consider capital to risk-weighted assets ratio (CRAR) and credit growth as alternative threshold
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Do Country ETFs Influence Foreign Stock Market Index? Evidence from India ETFs Journal of Emerging Market Finance Pub Date : 2019-04-01 S. Narend, M. Thenmozhi
We examine the influence of country exchange traded funds (ETFs) on the country’s stock market indices, irrespective of their underlying benchmark. A pooled ordinary least square (OLS) analysis of a sample of 28 India ETFs listed in the US, UK, Canada, France, Japan, Israel and Singapore reveals that India ETFs have a significant impact on the country’s stock indices. We also document reverse causal
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Interlinkages Between USD–INR, EUR–INR, GBP–INR and JPY–INR Exchange Rate Markets and the Impact of RBI Intervention Journal of Emerging Market Finance Pub Date : 2019-04-01 Pami Dua, Ritu Suri
This article examines interlinkages between four major exchange rates, namely, USD–INR, EUR–INR, GBP–INR and JPY–INR in terms of returns and volatility spillovers using a vector autoregressive-multivariate GARCH–BEKK framework. In addition, we analyse the impact of RBI intervention on the returns, volatility and covariance of these exchange rates. The study finds significant bidirectional causality-in-mean
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Four-moment CAPM Model: Evidence from the Indian Stock Market Journal of Emerging Market Finance Pub Date : 2019-04-01 Dheeraj Misra, Sushma Vishnani, Ankit Mehrotra
This study aims at analysing the impact of co-skewness and co-kurtosis on the returns of the Indian stocks by incorporating co-skewness and co-kurtosis in the traditional capital asset pricing model (CAPM) of Sharpe, in a three-factor model of Fama and French and in a four-factor model of Carhart. The results of the study show that co-skewness and co-kurtosis have significant impact on the returns
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Perspective on Underpricing of IPOs in Emerging Economies Journal of Emerging Market Finance Pub Date : 2019-04-01 L V Ramana
Pricing of initial public offerings (IPOs) has received considerable attention from the perspective of asymmetric information theories, among others. Specific aspects of emerging markets have been incorporated into models to explain the varying degrees of underpricing. Using three features that are deemed to be important for such economies, that is, principal–principal conflicts, disclosure norms and