Journal articles on the topic 'Stock Market Reforms'
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Chellaswamy, Karthigai Prakasam, Natchimuthu N, and Muhammadriyaj Faniband. "Stock Market Reforms and Stock Market Performance." International Journal of Financial Research 12, no. 2 (January 14, 2021): 202. http://dx.doi.org/10.5430/ijfr.v12n2p202.
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This paper analyses the impact of stock market reforms on the stock market performance in India using regression based event-study method. We consider nine stock market reforms introduced from 1998 to 2018. We find that the impact of stock market reforms on Nifty trading volume and Nifty return is different. This paper documents that the impact of the additional volatility measures, T+3 and T+2 settlement cycles, and margin provisions for intra-day crystallized losses reforms show a positive impact on trading volume post-reform. In contrast, internet trading, prohibition of fraudulent and unfair trade practices, delisting of equity shares, substantial acquisition of shares and takeovers listing obligations and disclosure requirements reforms decrease the trading volume post-reform. Our results of Nifty return reveal that the additional volatility measures, the T+2 settlement cycle, the prohibition of fraudulent and unfair trade practices, substantial acquisition of shares and takeovers, listing obligations and disclosure requirements have a significant and positive impact on return post-reform. It is evident that the impact of all nine stock market reforms is insignificant on Nifty return.
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Nyasha, Sheilla, and Nicholas M. Odhiambo. "The Brazilian stock market development: A critical analysis of progress and prospects during the past 50 years." Risk Governance and Control: Financial Markets and Institutions 3, no. 3 (2013): 7–15. http://dx.doi.org/10.22495/rgcv3i3art1.
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This paper highlights the origin of the stock market in Brazil, and traces the reforms that have been undertaken to develop the stock market. It also highlights the growth of the Brazilian stock market, as well as the challenges currently facing the market. The country has one big stock market, known as the BM&FBOVESPA, which is one of the world’s largest stock markets. Over the years, a number of stock market reforms have been implemented in Brazil. Among these reforms have been the restructuring of the financial market, the replacement of the traditional trading systems by full electronic trading systems, the enactment of new laws governing the stock market, as well as the revision of the existing laws. In addition, the formation of a regulatory body known as Securities and Exchange Commission (CVM) in 1976 also assisted in the creation of an environment conducive for the growth and development of the stock market. Since the implementation of these reforms, the Brazilian stock market has developed significantly in terms of market capitalisation, the total value of stocks traded, and the turnover ratio.
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Nyasha, Sheilla, and N. M. Odhiambo. "Stock Market Development In The United Kingdom: Prospects And Challenges." International Business & Economics Research Journal (IBER) 12, no. 7 (July 16, 2013): 725. http://dx.doi.org/10.19030/iber.v12i7.7963.
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This paper highlights the origin and development of the U.K. stockmarket. The country consists of one major stock market, known as the London Stock Exchange, which is one of the worlds largest stock markets. Stock market reforms have been implemented since the Big Bang of 1986 and the Exchange responded positively to most of these reforms, but not so positively to others. As a result of the reforms, the U.K.s stock market has developed, in terms of market capitalisation, the total value of stocks traded and the turnover ratio.Although the U.K. stock market has developed over the years, it still faceswide-ranging challenges, such as the uncertainties that come with new regulation and regulatory changes dominating at both domestic and international levels and the sovereign debt crisis that has left the U.K. stock market volatile.
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Nyasha, Sheilla, and N. M. Odhiambo. "The Dynamics Of Stock Market Development In Kenya." Journal of Applied Business Research (JABR) 30, no. 1 (December 30, 2013): 73. http://dx.doi.org/10.19030/jabr.v30i1.8284.
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This paper highlights the origin of the stock market in Kenya, and traces the reforms that have been undertaken to develop the stock market. It also highlights the growth of the Kenyan stock market, as well as the challenges currently facing the market. The country has one stock market, known as the Nairobi Securities Exchange (formerly the Nairobi Stock Exchange). It is one of Africas largest stock markets. Since the early 1980s, a number of stock market reforms have been implemented in Kenya. These include the formation of a regulatory body (Capital Markets Authority CMA) in 1989, the replacement of the "Call-Over" trading system by the floor-based "Open-Outcry System" in 1991, the reduction of listing costs, the relaxation of the exchange control for locally controlled companies, and the repeal of the Exchange Control Act. Following these reforms, Kenyas stock market has developed significantly in terms of market capitalisation, the total value of stocks traded, and the turnover ratio. Although the stock market in Kenya has developed over the years, like many other developing countries' markets, it still faces a number of wide-ranging challenges.
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Nyasha, Sheilla, and Nicholas M. Odhiambo. "The Australian stock market development: Prospects and challenges." Risk Governance and Control: Financial Markets and Institutions 3, no. 2 (2013): 39–48. http://dx.doi.org/10.22495/rgcv3i2art3.
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This paper highlights the origin and development of the Australian stock market. The country has three major stock exchanges, namely: the Australian Securities Exchange Group, the National Stock Exchange of Australia, and the Asia-Pacific Stock Exchange. These stock exchanges were born out of a string of stock exchanges that merged over time. Stock-market reforms have been implemented since the period of deregulation, during the 1980s; and the Exchanges responded largely positively to these reforms. As a result of the reforms, the Australian stock market has developed in terms of the number of listed companies, the market capitalisation, the total value of stocks traded, and the turnover ratio. Although the stock market in Australia has developed remarkably over the years, and was spared by the global financial crisis of the late 2000s, it still faces some challenges. These include the increased economic uncertainty overseas, the downtrend in global financial markets, and the restrained consumer confidence in Australia.
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Nyasha, Sheilla, and Nicholas M. Odhiambo. "The dynamics of stock market development in the United States of America." Risk Governance and Control: Financial Markets and Institutions 3, no. 1 (2013): 93–102. http://dx.doi.org/10.22495/rgcv3i1c1art3.
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This paper highlights the origin and development of the stock market in the United States of America. The country consists of several stock exchanges, with the three largest being the NYSE Euronext (NYX), National Association of Securities Dealers Automated Quotation (NASDAQ), and the Chicago Stock Exchange. Stock market reforms have been implemented since the stock market crash of 1929; and the exchanges responded positively to some of these reforms, but not so positively to some of the reforms. As a result of the reforms, the U.S. stock market has developed in terms of market capitalisation, the total value of stocks traded, and the turnover ratio. Although the U.S. stock market has developed over the years, its market still faces wide-ranging challenges.
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kh. Bouresli, Amani, and Fayez A. Abdulsalam. "New market reforms and stock exchange liquidity: the case of Kuwait." Investment Management and Financial Innovations 16, no. 1 (January 21, 2019): 46–64. http://dx.doi.org/10.21511/imfi.16(1).2019.04.
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In developing markets, new regulations are imposed to protect investors, to assure fairness and to enhance trust through controlling all types of market abuse. In addition, these regulations are imposed to enhance the overall market performance and efficiency. Market liquidity is one of the main pillars used to measure market overall performance. In this paper, the authors attempt to analyze market liquidity before and after the passage of the Capital Market Authority Law of 2010 (CMA), aimed at enhancing investors’ confidence and reinforcing better disclosure quality and accountability for Kuwait public companies. By introducing six liquidity measures that captures market depth, turnover, and volatility, the authors documented highly significant deterioration in all the measures following the CMA Law with more profound effect on smaller firms. The researchers concluded that overstated regulations in developing markets, in spite of its goal of improving market overall performance, structure, enhancing investors’ protection, and market integrity, can have an adverse effect on market efficiency.
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Bonfiglioli, Alessandra, Rosario Crinò, and Gino Gancia. "Economic uncertainty and structural reforms: Evidence from stock market volatility." Quantitative Economics 13, no. 2 (2022): 467–504. http://dx.doi.org/10.3982/qe1551.
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Does economic uncertainty promote the implementation of structural reforms? We answer this question using one of the most exhaustive cross‐country panel data sets on reforms in six major areas and measuring economic uncertainty with stock market volatility. To identify causality, we exploit exogenous differential variation in countries' exposure to foreign volatility shocks due to predetermined and time‐invariant bilateral characteristics. Across all specifications, we find that stock market volatility has a positive and significant effect on the adoption of reforms. This result is robust to the inclusion of a large number of controls, such as political variables, economic variables, crisis indicators, and a host of country, reform and time fixed effects, as well as across various approaches for accommodating heterogeneous trends and contemporaneous shocks. Overall, this evidence suggests that times of market turmoil, which are characterized by a high degree of uncertainty, may facilitate the implementation of reforms that would otherwise not pass.
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CATALÁN, MARIO. "Pension funds and corporate governance in developing countries: what do we know and what do we need to know?" Journal of Pension Economics and Finance 3, no. 2 (July 2004): 197–232. http://dx.doi.org/10.1017/s1474747204001532.
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Conventional wisdom holds that pension reforms from pay-as-you-go to fully funded systems spur the development of stock markets through a corporate governance channel, i.e. pension funds become large shareholders of publicly traded firms and therefore have the incentives to monitor managers and improve investor protections. This paper reviews the literature on the corporate governance channel associated with pension reforms in developing countries, and asks what we know and need to know about it. We know that pension funds are not yet large shareholders of publicly traded firms in developing countries. However, econometric results suggest that pension reforms lead to stock market development, but do not allow us to identify and separate the corporate governance channel. We know that pension reforms are followed by pro-investor legislation, but there is no convincing evidence that the pro-investor laws are enforced. We need to know more about the effects of pension reform on stock prices and performance of publicly traded firms, and whether pension fund management companies act in the best interest of pensioners. The paper also reviews the political economy explanations of the links between pension fund specific capital controls and the corporate governance channel, and suggests that there is a trade-off between the objectives of pensioners' welfare maximization, and corporate governance reform and stock market development.
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Kim, Oksana. "Western-style capital market reforms in Russia: Implications for market efficiency and firms’ financing decisions." Risk Governance and Control: Financial Markets and Institutions 10, no. 3 (2020): 62–74. http://dx.doi.org/10.22495/rgcv10i3p5.
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Over the past decade, the Russian government implemented numerous reforms aimed at attracting investor capital and improving the capital market conditions. These reforms included adoption of stringent listing regulations and governance norms, revisions in the tax and ownership laws, restructuring of the major stock exchanges, and more importantly, adoption of International Financial Reporting Standards (IFRS) in 2011. We employ an adaptive market hypothesis (AMH) perspective formulated by Lo (2004, 2005) to examine whether the informational efficiency of the market changed over time as a result of these reforms. While we report that the Russian stock market is still not weak-form efficient, as it was before the reforms, we find the evidence of improvement in efficiency over time. Next, we find that financing decisions of Russian public firms changed following adoption of IFRS when financial statements became more transparent and better aligned with informational needs of local and foreign investors. Particularly, Russian companies that adopted IFRS were more likely to raise finance via issuance of equity rather than debt instruments, whereas for non-adopters there was no change in the firm capital structure. Finally, we report that there was an increase in the inflow of foreign direct investments (FDI) in the post-reform period, suggesting that the above noted reforms conferred significant benefits to the entire Russian economy.
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Masoub, Najeb. "Stock Markets." International Journal of Finance & Banking Studies (2147-4486) 2, no. 4 (October 21, 2013): 13–29. http://dx.doi.org/10.20525/ijfbs.v2i4.160.
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The stock market is a common feature of a current economy and it is reputed to achieve some necessary functions, which promote the growth and development of the economy. To achieve this objective, the endogenous growth literature and research, and recent theoretical studies have tried to provide a link between the literature of endogenous growth theory and financial markets. Providing evidence of stock market development will assist policy makers in designing reforms that do indeed promote the growth rate, enhancing stock market development as economic growth through to the banking system of financial sectors, and to the degree of investor’s right; furthermore, allowing risk sharing encourages speculative and productive investment (see, e.g. Greenwood and Jovanovic (1990) and Bencivenga and Smith (1991)). The results of the previous study, which established positive links between the stock market and economic growth, suggests the pursuit of policies geared towards rapid development of the stock market.
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Lukanima, Benedicto Kulwizira, Yuli Paola Gómez-Bravo, and Luis Javier Sanchez-Barrios. "The impact of MILA market-maker facility on volatility of the Colombian stock market." Revista Contabilidade & Finanças 32, no. 86 (August 2021): 345–58. http://dx.doi.org/10.1590/1808-057x202112330.
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ABSTRACT In 2014, the Colombian Stock Exchange commenced the implementation of its market-maker facility (MMF), aiming at improving market efficiency. This paper examines the impact of the MMF program on three volatility-related aspects: volatility persistence, risk premium, and information asymmetry. This paper provides new insights about the anticipated outcomes of Mercados Integrados Latinoamericanos (MILA) reforms, specifically the MMF on the volatility of the Colombian stock market. This topic has not been fully addressed in the existing literature. This study, therefore, provides useful information for regulators and policy makers, in endeavors to address key issues raised during the World Economic Forum (WEF) of 2016. This paper poses a challenge to policy makers and stock market regulators in Colombia to revisit the reform program and address the factors limiting the effectiveness of market reforms. This paper provides justification for replicating the study to cover other MILA countries due to existing differences in some domestic market policies and structures. The paper employs conditional variance models for measuring volatility persistence, risk premia, and information asymmetry. The models are employed on the COLCAP stock index (Colombia) observed from January 17, 2008 to May 30, 2019. Observations are divided into two samples - pre- and post-MMF. This paper provides evidence of the impacts of the MMF reforms in the Colombian stock market. Specifically, the MMF seems to have an impact on the following aspects: (i) the magnitude in which current returns depend on previous returns has increased; (ii) investment portfolio returns, which are generally low, have declined after the MMF, leading to less risk compensation; (iii) the MMF does not seem to have affected the volatility of market returns and information asymmetry; (iv) volatility persistence increased in magnitude.
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Li, Hong. "The impact of China's stock market reforms on its international stock market linkages." Quarterly Review of Economics and Finance 52, no. 4 (November 2012): 358–68. http://dx.doi.org/10.1016/j.qref.2012.10.003.
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Dhankar, Raj S., and Rohini Singh. "Application of CAPM in the Indian Stock Market A Comprehensive Reassessment." Asia Pacific Business Review 1, no. 2 (July 2005): 1–12. http://dx.doi.org/10.1177/097324700500100202.
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There is conflicting evidence on the applicability of Capital Asset Pricing Model in the Indian stock market. Data for 158 stocks listed on the Bombay Stock Exchange was analyzed using a number of tests from 1991–2002, the period which roughly coincides with the period after liberalization and initiation of capital market reforms. Taken in aggregate the various empirical tests show that CAPM is not valid for the Indian stock market for the period studied.
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Varma, J. R., and V. Raghunathan. "Impact of the Budget on the Capital Markets." Vikalpa: The Journal for Decision Makers 22, no. 2 (April 1997): 19–22. http://dx.doi.org/10.1177/0256090919970204.
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This was a budget that carried reforms forward in all the main areas – fiscal correction, tax reforms, and tariff reforms. Most importantly, the budget broke the vicious cycle of worsening expectations that had put the stock markets into a bear grip and pushed business confidence to an all time low. According to J R Varma and V Raghunathan, the budget ought to go a long way in reviving the stock market and restoring business confidence.
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LIN, Lin. "Venture Capital Exits and the Structure of Stock Markets in China." Asian Journal of Comparative Law 12, no. 1 (January 18, 2017): 1–40. http://dx.doi.org/10.1017/asjcl.2016.15.
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AbstractExisting literature suggests a strong relationship between a vibrant venture capital market and an active stock market: venture capital flourishes when venture capitalists can readily exit from successful portfolio companies through IPOs, and IPOs are in turn facilitated by active and efficient stock markets. This article uses China as a case study to explore the connection between the stock market and venture capital market. Through empirical studies, this article confirms the existing literature by demonstrating a close connection between the stock market and venture capital market in China. It also refines the existing literature by finding that, for venture capital availability, laws and policies also matter in China. Strong and sustained law reforms and government policies aimed at improving the institutional structure and regulatory environment of the stock market can facilitate venture capital-backed exits, which in turn lead to an increase in new venture capital availability in China. Nonetheless, numerous IPO closures have led to freeze-ups in China’s venture capital market. Also, there remain a multiplicity of institutional impediments to the efficient operation of the stock market and the effective implementation of IPO reforms in China. These may in turn hinder the development of the Chinese venture capital industry.
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PeÑa, J. Ignacio. "Daily seasonalities and stock market reforms in Spain." Applied Financial Economics 5, no. 6 (December 1995): 419–23. http://dx.doi.org/10.1080/758538601.
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Kotha, Kiran Kumar, and Vijaya B. Marisetty. "Market quality, market reforms and investor familiarity: evidence from the Indian stock market." Law and Financial Markets Review 10, no. 3 (July 2, 2016): 127–32. http://dx.doi.org/10.1080/17521440.2016.1243879.
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Miloş, Laura Raisa, Cornel Haţiegan, Marius Cristian Miloş, Flavia Mirela Barna, and Claudiu Boțoc. "Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets." Sustainability 12, no. 2 (January 10, 2020): 535. http://dx.doi.org/10.3390/su12020535.
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In this paper, we present a comparative investigation of the multifractal properties of seven Central and Eastern European (CEE) stock markets using recent financial data up to August 2018 by employing seasonal and trend decompositions before applying multifractal detrended fluctuation analysis. We find that stock indices returns exhibit long-range correlations, supporting the idea that the stock markets in question are not efficient markets and have not reached a mature stage of market development. The results of the paper are of interest to investors looking for opportunities in these stock exchanges and also to policy makers in their endeavour of realizing institutional reforms in order to increase stock market efficiency and to support the sustainable growth of the financial markets.
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OJO, OKE MICHAEL, and ADEUSI S.O. "IMPACT OF CAPITAL MARKET REFORMS ON ECONOMIC GROWTH: The Nigerian Experience." Australian Journal of Business and Management Research 02, no. 02 (March 9, 2012): 20–30. http://dx.doi.org/10.52283/nswrca.ajbmr.20120202a03.
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This study examines the impact of capital market reforms on the Nigerian economic growth between 1981 and 2010. The prevailing challenges in the World financial markets; especially the capital market justifies the various forms of reforms going on around the World. The ordinary least square method of regression and the Johansen co-integration analysis were employed to analyse the secondary data sourced from the Central Bank of Nigeria statistical bulletin, the Nigeria Stock Exchange Fact book and the Nigeria Security and Exchange Commission Reports. The results show that capital reforms positively impact the economic growth. The study recommends among others that government should objectively evaluate enacted laws and reforms agenda in a manner that will enhance economic growth rather than considering political issues before embarking on reforms.
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Majnoni, Giovanni, and Massimo Massa. "Stock Exchange Reforms and Market Efficiency: the Italian Experience." European Financial Management 7, no. 1 (March 2001): 93–116. http://dx.doi.org/10.1111/1468-036x.00146.
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Tsagkanos, Athanasios. "Stock market development and income inequality." Journal of Economic Studies 44, no. 1 (January 9, 2017): 87–98. http://dx.doi.org/10.1108/jes-08-2015-0155.
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Purpose The purpose of this paper, in contrast to other studies, is to examine an indirect relationship in terms of the effect of income inequality with stock market development in countries South of the Euro-zone during the period 2002-2013. Design/methodology/approach The author adopts a new econometric method, the Improved Augmented Regression Method, to obtain bias-reduced and stationary-corrected estimators. Findings The results reveal a negative relationship that puts into doubt the recovery of growth. Originality/value The new econometric methodology leads to a novel suggested policy on the need for reforms adopting a low-income tax rate system and reinforcement of export-oriented productivity. This conclusion is strengthened by the respective relationship in USA.
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Dengjun, Zhang. "Interdependence between Nordic stock markets and financial cooperation." Review of Accounting and Finance 14, no. 2 (May 11, 2015): 172–88. http://dx.doi.org/10.1108/raf-03-2013-0036.
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Purpose – This study aims to link the financial cooperation in the Nordic region and the interdependence between the stock markets in this area. The main emphasis is placed on the evolution of this interdependence as the financial integration was proceeding. Design/methodology/approach – Johansen’s cointegration technique and the exponential generalized autoregressive conditionally heteroskedastic model are applied to test the long-run and short-run interdependences, respectively, among Nordic stock markets. In particular, the recursive estimation approach is used to reveal the evolution of the interdependence between those markets. Findings – The existence of two cointegrations over the sample period indicates that the markets depend on each other to some extent. The recursive estimation of Johansen’s model further reveals that the interdependence had been greatly improving until late 2008. The interdependence between those markets is also confirmed convincingly by the short-term dynamics, noting that the spillover effects between most pairs of stock volatilities are witnessed in the empirical results. Practical implications – The findings show the dynamics of the long-run correlations between the Nordic stock markets, which imply the intrinsic response to the process of financial market reforms, the 2008 global financial crisis and the period after the crisis. The evidenced information about determinants of the interdependence between Nordic stock markets is sending strong signals to investors to enhance their investment strategies. Originality/value – Most of the existing studies have been restricted to the static long-run and/or short-run interdependence among those markets. However, this study contributes to the literature by investigating the dynamics of interdependence among the Nordic stock markets over time; moreover, the evolution of the market interdependence is sketched closely to the process of the regional financial market reforms.
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Lin, Chiou-Fa. "Transparency — An Empirical Study Using Taiwan Stock Exchange Data." Review of Pacific Basin Financial Markets and Policies 09, no. 01 (March 2006): 129–47. http://dx.doi.org/10.1142/s0219091506000690.
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Understanding the impacts of transparency in capital markets is important for determining the trading mechanism and for evaluating market efficiency and market fairness. The recent reforms covering trade transparency on the Taiwan Stock Exchange give us an opportunity to address and examine the relevant arguments. Evidence from this study indicates that increasing trade transparency may create a more efficient market due to decreased effective spreads compared with before the event. Asymmetric information also declines after transparency is liberalized. However, the movement direction of the realized spread does not seem obvious or pronounced. The implication from our results is that the exact effects from trade transparency may be dependent on the stock market's structure itself.
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Savchenko, M. "Integration of Ukraine into European Union securities market." Galic'kij ekonomičnij visnik 69, no. 2 (2021): 168–78. http://dx.doi.org/10.33108/galicianvisnyk_tntu2021.02.168.
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The paper deals with the main parameters of the Ukrainian securities market at the current stage, identifies its functioning problems, gives a set of measures for the effective implementation of Ukraine's desire to integrate the national stock market into the European Union. Compared with the stock markets of the EU countries, the domestic securities market is underdeveloped, poorly regulated and illiquid, therefore there is the need to develop it and implement the European legislative initiatives. The paper covers the basic laws in the field of legal regulation of the Ukrainian and EU securities market. The investigation includes the results of the research of the current experience in leading European countries in terms of capitalization of the largest stock exchanges in Europe. The classification of 5 largest European stock exchanges is given and the influence of COVID-19 virus on their activity is analyzed. The main trends in the field of securities investment market of the largest stock exchanges in Europe and Ukraine are led. While examining statistical data concerning the capitalization of European stock exchanges in comparison with the PFTS of Ukraine in 2019, the LSE (London Stock Exchange) ranks 1st with €3.86 bn., 2nd place is taken by Euronext – €3.4 bn., 3rd place by Deutsche Börse having capitalization volume at the level of €1.9 bn., and PFTS Ukraine – €0.17 bn., which indicates that Ukrainian securities market is insufficiently elaborated. Nowadays, the Ukrainian securities market repeats European historical development trends, and at this stage it largely depends on the directions of development that international stock markets can take. Changes in European securities markets are extremely rapid and require competent response from regulatory structures. The rapid development of the European stock market, accompanied by the emergence of advanced technologies in the field of securities and new financial instruments, make it necessary to monitor all the changes and innovations that happen in the Ukrainian securities market in order to develop more effective recommendations for improving its functioning and regulation. In addition, integration with the European Union requires deeper and more radical reforms of the domestic state administration, macroeconomic regulation, property relations, and anti-corruption policy. Only a large-scale and complete reform will enable progressive renewal and effective, socially responsible integration into the EU countries, taking into account national interests.
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Zhang, Lin. "Exit of Chinese Domestic Venture Capital: Legal Impediments and Reform Measures." Business Law Review 38, Issue 3 (May 1, 2017): 109–15. http://dx.doi.org/10.54648/bula2017016.
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The American experience tells us that a fair and efficient stock market is vital for the exit of venture capital from their successful portfolio companies. Unfortunately, the current multi-tier stock market in China, including the Main Boards, the Small and Medium-sized Enterprise Board (SME Board) and the Growth Enterprise Markets (GEM), cannot offer smooth exit channels for Chinese domestic venture capital either because of their demanding listing rules or because of their problematic listing approval systems. Confronted with this unsatisfactory situation, legal reforms must be carried out as quickly as possible.
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Nurasheva, K. K., A. T. Mergenbaeva, D. A. Kulanova, and G. I. Abdikerimova. "The IPO Market: Global Practices, Development Trends and IPO in Kazakhstan." Digest Finance 25, no. 1 (March 30, 2020): 4–16. http://dx.doi.org/10.24891/df.25.1.4.
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Subject. The article discusses the stock market of Kazakhstan, which is crucial for the economy. Its weaknesses inhibit the development and impedes market reforms. We review IPO as a segment of the stock market. Objectives. The study analyzed the global IPO market in terms of the number of placements and volume of capital. We also review what made investment initiatives a success or a failure, investigating milestones of the IPO market evolution in Kazakhstan and formulating our proposals for its further growth. Methods. The study applies methods of relevant sampling, logical reasoning, data grouping, systems and statistical analyses. We intensively used the content analysis of available sources. Results. The IPO market develops in a different manner across countries. Analyzing major placements, even the risk assessment is found to not necessarily make a placement a success. Weak development institutions, unstable banking sector inhibit the development of Kazakhstan's stock market. The first attempts of IPO resulted in a low capitalization of stocks, high volatility due to small volumes. Kazakh IPOs are exposed to the risk associated with ownership, enterprise privatization, uncertainty of price and tariff regulation. Common people do not have enough skills and money to offer their funds in the local stock market. We suggest making the corporate operations more transparent, labeling them as public, determine clear guarantees for common shareholders The suggestions concerning Kazakhstan's IPO market will strengthen the stock market. Research is also useful to emerging economies. Conclusions and Relevance. Kazakh IPO does not meet the development level of the economy. The Kazakh authorities shall be decisive to fairly distribute income, ensure a growth in people's wellbeing, thus expanding their opportunities for acquiring securities. Laws should be refined and enhanced in terms of shareholders' rights protection, transparency of corporate operations, broad involvement of people into operations of stock markets.
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Khalid, Ahmed M., and Gulasekaran Rajaguru. "Financial Market Integration in Pakistan: Evidence Using Post-1999 Data." Pakistan Development Review 45, no. 4II (December 1, 2006): 1041–53. http://dx.doi.org/10.30541/v45i4iipp.1041-1053.
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The recent wave of financial sector reforms and internationalisation in emerging markets has increased perceived interlinkages within various sectors of national financial markets. For example, the existence of a strong linkage between stock prices and exchange rates is a popular topic in academic research. Similarly, changes in stock prices and exchange rates are expected to influence movements in interest rates. A number of hypotheses suggest such a causal relationship. For instance, using a goods market approach, any changes in the value of currency would affect the competitiveness of multinational firms and hence influence stock prices [Dornbusch and Fischer (1980)]. Similarly, the hypotheses of ‘exchange rate pass-through’ and ‘interest rate pass-through’ suggest that changes in exchange rates and/or interest rates could affect stock prices. The portfolio balance model suggests that fluctuations in stock prices influence exchange rate changes.
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de la Torre, Augusto, Juan Carlos Gozzi, and Sergio L. Schmukler. "Stock market development under globalization: Whither the gains from reforms?" Journal of Banking & Finance 31, no. 6 (June 2007): 1731–54. http://dx.doi.org/10.1016/j.jbankfin.2006.11.008.
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AlHomaidy, Mohammed. "Lack of Reform Effect on Exchange Efficiency- Empirical Evidence from Saudi Market Index –." Research in Applied Economics 12, no. 4 (December 25, 2020): 46. http://dx.doi.org/10.5296/rae.v12i4.18625.
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As development of financial markets has been a growing issue after the financial crisis 2008, this paper has tested efficiency on one of the largest emerging securities markets in the world. It examines lack of reform impact on efficiency of Saudi stock exchange (TASI index) employing random walk hypothesis (RWH) through a battery of parametric and nonparametric tests including autocorrelations, unit root, variance ratio (VR) and Brock, Dechert, and Scheinkman (BDS) test.The study specifically aims to test weak form efficiency before and after massive efforts implemented to reform Saudi exchange. Findings have concluded in a consensus verdict that there is no change observed in TASI index behaviour, and hence it rejected to be a weak-form efficient market. Thus, policy makers and regulators should initiate further reforms; deep regulations and reorganization development to address inefficiency.
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Singh, Amit Kumar, and Neha Nainwal. "Estimating the Long-Run Determinant of the Efficiency of the Stock Market in India." Asia-Pacific Journal of Management Research and Innovation 13, no. 1-2 (March 2017): 70–80. http://dx.doi.org/10.1177/2319510x18767714.
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One of the prominent views is that development in a stock market has a positive impact on economic growth. The role of the stock market becomes important as it leads to capital formation in an economy which is used for producing goods and services in it, leading to growth in the real sector. However, it is only possible if the stock market is efficient enough to mobilise saving from a deficit spender unit to a surplus spender unit. Therefore, our study proposes to estimate the determinant of stock efficiency with the help of a fully modified ordinary least-squares model. The result of the analysis indicates that although both the risk-free interest rate and market capitalisation have a positive and significant impact on stock return, the impact of market capitalisation is larger. In terms of dynamic analysis, the error correction model shows that the speed of adjustment is around 50 per cent or time taken for re-establishing the long-run equilibrium is about two years. As market capitalisation is one of the important determinants of the efficiency of a stock market, the government should bring new reforms in the capital and money markets so that new financial innovations can be introduced in the market. Simultaneously, the regulation should be made to provide higher protection to the investor which further helps them to increase their confidence in the market.
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Bhaumik, Sumon Kumar, Manisha Chakrabarty, Ali M. Kutan, and Ekta Selarka. "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market." Journal of Quantitative Economics 19, no. 4 (November 5, 2021): 795–818. http://dx.doi.org/10.1007/s40953-021-00253-z.
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Saleem, Kashif. "Modeling Long Memory In The Russian Stock Market: Evidence From Major Sectoral Indices." Journal of Applied Business Research (JABR) 30, no. 2 (February 27, 2014): 567. http://dx.doi.org/10.19030/jabr.v30i2.8426.
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<p>This paper studies the market efficiency of modern Russian stock market. In particular, we look at the long memory in stock market volatility in the Russian financial market. To examine the temporal dependencies in depth we utilize major sectors of the Russian stock market. We take a GARCH modeling approach. Specifically, we estimate a FIGARCH model proposed by Baillie et al. (1996) using daily returns. We find evidence of long memory in all sectors of the Russian equity market, implying that, all the market sectors under investigation are weak form inefficient. Our results show that the volatility has a predictable structure in all the sectors of modern Russian stock market, signifying the need of regulatory and economic reforms within the Russian financial system.</p>
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Ali, Farman, Pradeep Suri, Tarunpreet Kaur, and Deepa Bisht. "Cointegration and causality relationship of Indian stock market with selected world markets." F1000Research 11 (November 1, 2022): 1241. http://dx.doi.org/10.12688/f1000research.123849.1.
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Background: The purpose of this study is to explore the trends and causes of established and emerging nations' stock market integration with India. The National Stock Exchange (NSE) indices act as a counterweight to international market indices. This study investigates the sustained interest of foreign investors in the Indian stock market in the wake of capital market reforms, as well as whether it moves in tandem with other markets in Asia and the United States. Methods: Our study examined the possibility of cross-country cointegration between the largest economies and indices around the world using multiple financial econometric models, such as Augmented Dickey-Fuller, Unit Root, Correlation, and Johansen Cointegration. Results: The findings of this study significantly support the notion that Indian and international financial markets are highly integrated. Vector error correction model indicates that the Indian market (NSE) is highly cointegrated with the US market (National Association of Securities Dealers Automated Quotations) and increased volatility signifies global contagion. Conclusion: A cursory examination of the data reveals distinct investment and portfolio diversification options for global investors. This could assist regulators in formulating more effective rules regarding price discovery processes.
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Makarenko, P. "THE ECONOMIC CRISIS AS A PREREQUISITE FOR REGIONAL SHIFTS IN THE ECONOMY OF JAPAN." Bulletin of Taras Shevchenko National University of Kyiv. Geography, no. 66-67 (2017): 127–33. http://dx.doi.org/10.17721/1728-2721.2017.66.21.
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In article analyzed the signs and consequences of the economic crisis in Japan, revealed a system of anti-crisis government measures to stimulate economic growth, the stock market and real estate market, public policy and social programs. Successful anti-crisis measures and the negative effects of regulatory policy in the fall of domestic and foreign markets were considered. We were analyzed three major economic crises: the post-war crisis, the crisis of the 90s, the 2008 financial crisis. The economic crisis of the early 90s had a very specific background; analysis and reflection of them are allowed to reduce the crisis of 2008. The first crisis was caused mainly by internal economic factors, and the second – the global financial crisis. Pre-crisis economic had certain market conditions. During export economy Japan generated industrial growth, increase a foreign production, results of direct investment. Japanese companies had pursued a policy of active promotion in Asian markets. Over the years 2002-2007 decline the consumer demand, and in 2008 there were the first signs of recession. Textile and chemical industry, general engineering, ferrous metallurgy, information and communication electronic equipment had reduced production and profits. After analyzing the current situation in the world markets, the Japanese government approved the “Complex strategic measures to overcome the crisis.” The government executed the following major steps: 1. Increase local and regional regulation; 2. Reduction of taxes; 3. Exchange and stock markets regulation; 4. Reduce military spending; 5. The increase in exports, business building in regional market centers; 6. Promote small and medium enterprises (SMEs); 7. Formation of innovative markets; 8. Development of logistics infrastructure; 9. Reduce energy dependence, changing sources of energy; 10. The reform of social policy; 11. The reform of regional policy and investment; 12. The development of tourism projects. The experience of Japan can be adapted a series of reforms: decentralization, solving demographic problems, increasing regional and international business, scientific and technological development, investment in infrastructure and trade logistics, tourism development. Successfully reforms and strategic location was allowed Japan to survive the economic crisis and achieve economic growth.
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Farooq, Mohammad, and Wong Wing Keung. "Linkage between Stock Market Prices and Exchange Rate: A Causality Analysis for Pakistan." Pakistan Development Review 43, no. 4II (December 1, 2004): 639–49. http://dx.doi.org/10.30541/v43i4iipp.639-649.
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Globalisation and financial sector reforms in developing economies have ushered in a sea change in the financial architecture of the economies. In the contemporary scenario, the activities in the financial markets and their relationships with the real sector have assumed significant importance. Correspondingly, researches are also being conducted to understand the current working of the economic and the financial system in the new scenario. Interesting results are emerging particularly for the developing countries where the markets are experiencing new relationships which are not perceived earlier. The analysis on stock markets has come to the fore since this is the most sensitive segment of the economy. The stock markets of emerging economies have been of vital importance to the global investment community. Since emerging markets are more volatile than the well developed stock market, therefore the emerging markets tend to be unrelated to one another and with the developed markets. Numerous investors worldwide select to diversify their funds across the emerging markets.
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Sabater Marcos, Ana M., Teresa Duarte Atoche, and Joaquina Laffarga Briones. "The influence that Spanish Labour Reform represents on Madrid Stock Market: An empirical analysis." PLOS ONE 16, no. 10 (October 6, 2021): e0258004. http://dx.doi.org/10.1371/journal.pone.0258004.
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Empirical evidence for Spanish Stock Market shows that labour events, like a firm level collective agreement, have informative content for the market due to the loss of wealth that it implies for the investor. Labour Reforms which Spain experienced between the years 2010 and 2012 have allowed the jeopardising of employment and the destruction of jobs, substituting one well paid by another of lower cost for the firm, the cost of dismissal, or the proposals of substituting payoffs by the so-called Austrian backpack, and the elimination of the distinction between temporary and permanent contracts. These Labour Reforms affect many of the accounting and financial variables, which are the subject of analysis and follow-up by investors and analysts, next to the idiosyncrasy of the Open Shop System that is followed in Spain, the present article means to explore the effect on Madrid Stock Market. Our results, applying analysis techniques with decision trees where we control the effect of the economic crisis on the market reaction, show that the Labour Reforms of 2010 to 2012 are incorporated as negative, or positive, information when the investor perceives a possible decrease, or increase, in its future cash flows.
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Jung, Hoyong. "The Korean National Pension Service." Asian Survey 60, no. 6 (November 2020): 1116–41. http://dx.doi.org/10.1525/as.2020.60.6.1116.
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In July 2018, the Korean National Pension Service (KNPS), one of the world’s largest pension funds, introduced a stewardship code, and in February 2019 it first exercised active shareholder engagement in an investee. Using an event study methodology, we examine whether this institutional investor’s active shareholder engagement affected the stock market. We find that the stock value of the KNPS’s investees was reduced after the active shareholder engagement. The effect was larger in the case of small-cap stocks, companies in which the KNPS has a 5–10% share, and firms with a lower environmental, social, and governance grade. This implies that market concerns about government intervention are valid, and institutional reforms are necessary, including specific guidelines to balance shareholder and management rights.
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TONG, Sarah Y., and Xiangru YIN. "Mixed Ownership Reforms of China’s State-owned Enterprises." East Asian Policy 11, no. 02 (April 2019): 104–16. http://dx.doi.org/10.1142/s1793930519000217.
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SOE mixed ownership reform has gained increasing prominence. In addition to government top-design policies, various pilot experiments have been carried out. Additionally, broader and more sophisticated methods are also employed, including stock market listing, capital and asset restructuring, and employee stock ownership plan. However, issues remain. The role of non-state parties that own part of the state firms is still poorly defined, thus their impact is uncertain. Government efforts to strengthen Party leadership have also dampened confidence of non-state investors.
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Mahamasiddiq, Amonboev. "Establishing Stock Market Attractiveness and Investment Infrastructure in Uzbekistan through Effective Implementation of Corporate Governance Mechanisms." INTERNATIONAL JOURNAL OF INNOVATION AND ECONOMIC DEVELOPMENT 4, no. 1 (2018): 19–28. http://dx.doi.org/10.18775/ijied.1849-7551-7020.2015.41.2002.
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Over the years, large scale of economic reforms has been undertaken in Uzbekistan in order to develop necessary measures to improve investment climate. Compared to GDP, the annual turnover of stock market is 550 times smaller in Uzbekistan and the sale of securities constitutes only 1,6% of GDP. This shows the low level of market infrastructure development. This article assesses the development potential of the stock market and the scale of development of corporate governance mechanisms in Uzbekistan and provides the application of scientific and theoretical proposals considering economic, political and financial factors. Secondary data sources were used to formulate the paper with the main focus of reviewing best foreign practices.
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Yoon, Deok Ryong, and Bradley O. Babson. "Understanding North Korea's Economic Crisis." Asian Economic Papers 1, no. 3 (July 2002): 69–89. http://dx.doi.org/10.1162/153535102320894009.
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This paper provides an overview of the current economic situation in North Korea and suggests some possible strategies for recovery, including ways of mobilizing financing and implementing essential market reforms. Throughout the 1990s, North Korea suffered a severe economic downturn after the abrupt collapse of the cooperative network of socialist countries. Because the needs of the military had been given first priority and foreign trade was limited, infrastructure and capital stock deteriorated. At present North Korea is in a poverty trap, and the plans of the State Planning Commission no longer work. In addition to the “official” economy, North Korea's overall economic structure includes economies run by the Workers Party, the military, and ordinary citizens (the informal market). Efforts to promote foreign investment and trade, combined with only small changes in this inefficient economic structure, are unlikely to succeed. North Korea's economic rehabilitation should begin with more market-oriented policy reforms and capital formation, but because the country is unable to design and implement economic reforms or to accumulate capital stock on its own, assistance must be sought from outside.
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ZHENG, Yongnian, and Gang CHEN. "China's Politics: Bold Reforms and Unabated War on Corruption." East Asian Policy 08, no. 01 (January 2016): 16–24. http://dx.doi.org/10.1142/s1793930516000027.
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In 2015, the XI administration snared 30 ministerial-and-above officials including Guo Boxiong of the Central Military Commission for corruption; abolished the long-delayed one-child policy; restructured state-owned enterprises; and overhauled the military by rejigging existing military regions and executing a cut of 300,000 army personnel. In the stock market meltdown, many officials, securities brokers and fund managers were arrested for insider trading and market manipulation. The stabilisation of the market laid the foundation for many long-awaited financial reforms.
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Huang, Wei. "Ownership, tax and intercorporate loans in China." International Journal of Accounting & Information Management 27, no. 1 (March 4, 2019): 111–29. http://dx.doi.org/10.1108/ijaim-09-2017-0114.
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Purpose This paper aims to investigate the interconnections between corporate ownership, tax system and controlling shareholder tunneling through intercorporate loans in an emerging market setting. Design/methodology/approach China’s Enterprises Income Tax reform in 2008 abolished its previous multiple-tiers tax system under which foreign direct investment (FDI) firms enjoyed preferential tax rates than domestic firms by introducing a new unified-rate tax system. Using difference-in-differences tests, the author analyzes changes of controlling shareholders tunneling through intercorporate loans among Chinese listed companies around this reform. Findings The author documents significant reductions of intercorporate loans after the reform. More importantly, the author reveals that foreign-invested firms experienced larger reductions of intercorporate loans than domestic firms. The author also shows that state association matters for domestic firms’ response to the reform. In addition, the author documents positive stock market reaction to the tax reform announcement for firms that exhibited higher level of tunneling prior to the reform, indicating market expectation of reduced principal-principal conflict post-reform. Research limitations/implications The findings suggest effective corporate governance system is warranted to constrain intercorporate fund transfers in emerging markets where tax incentives are used for attracting inward foreign direct investments. Institutional reforms in emerging markets aimed at removing market frictions can alleviate the problem of controlling shareholder expropriations of minority interests or tunneling. Originality/value This is a pioneering study that reveals the role of tax as a public governance mechanism in weak minority investor protection environment.
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Tigari, Harish, and R. Aishwarya. "Capital Markets in India: A Conceptual Framework." Shanlax International Journal of Economics 8, no. 1 (December 1, 2019): 53–59. http://dx.doi.org/10.34293/economics.v8i1.1321.
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The history of Indian capital market goes back to the 18th century when the securities of East Indian company was traded. The contribution of Indian capital market for the sustainability of Indian economy is considerably since the year 1890’s. The capital market plays a role in terms of wealth distribution and economic development of a country like India. Capital market acts as a transformer of savings into capital investment. The capital market has witnessed a major reforms since the implementation of New Economic Policy 1991 and thereafter. The Indian government and SEBI have adopted the various reforms in order to enhance the performance of Indian stock exchanges. The present study tries to analyze the recent reforms in Indian capital market from the year 2010 onwards. The present research is largely based on the secondary data. The statistical facts and figures regarding the growth and development of the capital market was available from various journals, publications and websites.
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Bonga, Wellington Garikai. "A Nimble Review of the Development Path of Sierra Leone Stock Market." Saudi Journal of Economics and Finance 6, no. 12 (December 8, 2022): 416–21. http://dx.doi.org/10.36348/sjef.2022.v06i12.003.
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Economies with more active stock markets develop faster over successive decades. Such development remains attainable even after adjusting for various other factors underlying economic growth. Sierra Leone is one country whose stock market is now more than a decade old but remains poorly active. The number of listings as well as participation in the stock market remains low and insignificant. The study made a light review of the development path of the stock market in an effort to identify the derailing issues and suggesting ways to resolve. Through the review, it was obtained that there exist combinations of factors hindering the growth of the stock market. Inadequate support from the government has been identified, the privatisation concept was never implemented to the expected level, nature of business in the economy being mainly family-oriented and single proprietors, low levels of awareness of the general populace to issues of stock exchanges, limited participation by foreign investors, and high levels of corruption all are impacting factors. Significant reforms have to be made in the regulatory environment. Privatisation journey should be pursued effectively to improve listing by large firms. Foreign participation in the stock market elevated to some significant levels. The economy should continue to address issues of corruption so as to minimise its impact to institutional development. Public awareness should be enhanced to improve stock market participation by natives. Policies that promote foreign direct investment should be implemented. Management of political climate remains crucial for investors to have confidence and trust in their investments thereby attracting more for further development. Policy makers should walk the talk and demonstrate highest levels of commitment.
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Alam, Md Mahmudul, Shakila Yasmin, Mahmudur Rahman, and Md Gazi Salah Uddin. "Effect of Policy Reforms on Market Efficiency: Evidence from Dhaka Stock Exchange." Economics Research International 2011 (March 23, 2011): 1–8. http://dx.doi.org/10.1155/2011/864940.
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The paper tries to find evidence supporting the impact of continuous policy reforms on the market efficiency on the Dhaka Stock Exchange (DSE). Different policies formed/reformed from 1994 to 2005 were categorized in eleven groups depending on their time of issue and subject matter. To get the result, both nonparametric test (Kolmogrov-Smirnov normality test and run test) and parametric test (autocorrelation test, autoregression) have been performed. Analyses were done for each policy group, and it is found that formed/reformed policies for DSE during the study period failed to improve the market efficiency even in the weak form level.
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Ngugi, Rose W., Victor Murinde, and Christopher J. Green. "How Have the Emerging Stock Exchanges in Africa Responded to Market Reforms?" Journal of African Business 4, no. 2 (April 2003): 89–127. http://dx.doi.org/10.1300/j156v04n02_06.
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Maini, Neeraj. "Perceptions of Women Investors in Relation to Stock Market." Management and Labour Studies 42, no. 4 (November 2017): 316–38. http://dx.doi.org/10.1177/0258042x17731979.
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Investors are the major source of providing risk capital and therefore are considered as the soul of capital market. A package of reforms consisting of measures to liberalize, regulate and develop the securities market to improve market efficiency, enhance transparency, prevent unfair trade practices and bring the Indian market up to international standards has been in implementation since the 1990s. Over the years, a number of checks have been set up to protect investors, enhance their confidence and to avoid systematic failure of the market. As the economy is developing, the mindset of people is also changing at a very fast pace. Over a period of time, there has been a change in the economic status of women. Financial planning is becoming imperative for women now. The Indian capital market also makes initiative steps to motivate women investors in stock market. This shows a gradual increase and interest of women investors to participate in trade practices and also show their success in the investment. No doubt India’s security market has transformed itself into a major global market but the task is however only partly done. The woman investor is still not aware or confident of investing opportunities in the markets. Therefore, the present study has been conducted to analyse the perceptions of women investors regarding development and operations of stock market. The study is based on primary data collected through the random sample of 500 women investors of Punjab and Chandigarh spread over five major cities. The study found that majority of respondents agreed to the perceptions formed. Results also showed that education did affect the agreement level but working status could not alter the agreement level of women investors regarding the perceptions.
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Kohli, Bindya, and Deepa Pillai. "Influence of Board Reformation on the Stock Returns: an Event Study." International Journal of Engineering & Technology 7, no. 3.16 (July 26, 2018): 71. http://dx.doi.org/10.14419/ijet.v7i3.4.16186.
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Investor sentiments pertaining to stocks are propelled by the contentions of financial sector reforms, fiscal policy and management change. Any uncertainty has a significant impact on the stock prices and returns accruing to the company. The paper examines the effect of change in management on the stock returns of a corporate entity. Organizational performance is dependent on the realization of the numerous roles the board of directors are entrusted with. Any change in the composition of the board through the resignation, retirement or ouster can thus have a significant impact on the stock prices and returns accruing to the company. It is anticipated that voluntary resignations, age related turnovers have small or negative impact on the stock price reactions. The paper investigates the impact of the ouster of the Chairman of the Tata group on the volatility of the daily prices and returns of four companies under the Tata umbrella. Event study methodology has been adopted following the market model of return generating process. Investors react to the market information thereby affecting the security prices positively or negatively during the event window. The findings disclose market sentiments are affected on the occurrence of the event though the acceptance of the event may be unforeseen.
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Sinha, Pankaj, and Shalini Agnihotri. "Impact of non-normal return and market capitalization on estimation of VaR." Journal of Indian Business Research 7, no. 3 (August 17, 2015): 222–42. http://dx.doi.org/10.1108/jibr-12-2014-0090.
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Purpose – This paper aims to investigate the effect of non-normality in returns and market capitalization of stock portfolios and stock indices on value at risk and conditional VaR estimation. It is a well-documented fact that returns of stocks and stock indices are not normally distributed, as Indian financial markets are more prone to shocks caused by regulatory changes, exchange rate fluctuations, financial instability, political uncertainty and inadequate economic reforms. Further, the relationship of liquidity represented by volume traded of stocks and the market risk calculated by VaR of the firms is studied. Design/methodology/approach – In this paper, VaR is estimated by fitting empirical distribution of returns, parametric method and by using GARCH(1,1) with Student’s t innovation method. Findings – It is observed that both the stocks, stock indices and their residuals exhibit non-normality; therefore, conventional methods of VaR calculation are not accurate in real word situation. It is observed that parametric method of VaR calculation is underestimating VaR and CVaR but, VaR estimated by fitting empirical distribution of return and finding out 1-a percentile is giving better results as non-normality in returns is considered. The distributions fitted by the return series are following Logistic, Weibull and Laplace. It is also observed that VaR violations are increasing with decreasing market capitalization. Therefore, we can say that market capitalization also affects accurate VaR calculation. Further, the relationship of liquidity represented by volume traded of stocks and the market risk calculated by VaR of the firms is studied. It is observed that the decrease in liquidity increases the value at risk of the firms. Research limitations/implications – This methodology can further be extended to other assets’ VaR calculation like foreign exchange rates, commodities and bank loan portfolios, etc. Practical implications – This finding can help risk managers and mutual fund managers (as they have portfolios of different assets size) in estimating VaR of portfolios with non-normal returns and different market capitalization with precision. VaR is used as tool in setting trading limits at trading desks. Therefore, if VaR is calculated which takes into account non-normality of underlying distribution of return then trading limits can be set with precision. Hence, both risk management and risk measurement through VaR can be enhanced if VaR is calculated with accuracy. Originality/value – This paper is considering the joint issue of non-normality in returns and effect of market capitalization in VaR estimation.