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1
Dayanandan, Ajit, i Jaspreet Kaur Sra. "Accrual management and expected stock returns in India". Journal of Accounting in Emerging Economies 8, nr 4 (5.11.2018): 426–41. http://dx.doi.org/10.1108/jaee-08-2016-0073.
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Purpose The purpose of this paper is to examine whether the stock market in India is efficient in the semi-strong form. Design/methodology/approach The study uses financial and stock market data of 1,135 listed Indian companies (non-financial) during 2003–2011 collected from Capital IQ to estimate discretionary accruals (DA) using modified Jones model (1995). The study also examines using the widely used Mishkin (1983) test to whether equity market prices accruals in India. The study is conducted for profit/loss-making firms separately as well as for a hedge portfolio of firms based on the lowest to highest accruals. Findings The empirical study of DA of 1,135 listed Indian companies (non-financial) during 2003–2011 shows that the estimated average DA of the corporate sector in India comes to 1 percent of the total assets of these firms. An empirical analysis whether equity market prices DA in India finds no evidence of investors/market pricing DA. Empirical evidence also finds that the results are invariant for profit/loss-making firms as well as portfolio of firms based on the lowest to highest accruals in the Indian context. The empirical evidence shows that the Indian equity market is inefficient with regard to the incorporation of accruals in expected returns of stocks. Research limitations/implications This study builds on the previous literature on accrual pricing in the context of the USA and developed markets. The study extends the empirics to the one of the largest emerging market economy – India. This issue is important not only to investors, but also to policy makers and researchers because the mispricing of accruals could potentially lead to misallocation of capital. The study has implications for stock/firm valuations and cost of equity/capital. Originality/value This is the first study for the pricing of accruals and test of semi-strong efficiency of the Indian stock market.
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G Nagarakatte, Sangeetha, i Natchimuthu Natchimuthu. "Return and volatility spillover between India, UK, USA and European stock markets: The Brexit impact". Investment Management and Financial Innovations 19, nr 1 (8.02.2022): 121–34. http://dx.doi.org/10.21511/imfi.19(1).2022.09.
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The 2016 Brexit referendum created potential turmoil in financial markets. The purpose of this study is to examine the impact of the Brexit referendum on the return and volatility spillover between the EU, the UK, and the USA stock markets and the Indian stock market during the pre- and post-Brexit referendum period. The VAR and bivariate GARCH BEKK models were employed. The study results suggest that before the Brexit referendum, Indian stock market returns made no significant return spillover on the other markets. On the contrary, following the referendum, Indian stock returns significantly spilled over to France, Germany, the UK, and the USA stock market returns. The study results also identified a substantial increase in the bidirectional volatility spillover between India-France, India-UK, and India-USA during the post-Brexit referendum period. Therefore, the investors’ opportunity to invest simultaneously in India, UK, EU, and US stock markets for portfolio diversification is limited. India was affected mainly by its own past shocks before the Brexit referendum. However, after the Brexit referendum, Indian markets are getting more and more integrated with other markets. In order to reap the diversification benefits, a prudent investment strategy will need to be developed in the future, especially during times of economic and political uncertainty and market crisis.
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Anjana Raju, Guntur, i Sanjeeta Shirodkar. "Derivative trading and structural breaks in volatility in India: an ICSS approach". Investment Management and Financial Innovations 17, nr 2 (2.07.2020): 334–52. http://dx.doi.org/10.21511/imfi.17(2).2020.26.
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Researchers argue that ignoring the structural breaks in the time-series variance can cause significant upward biases in the degree of persistence in estimated GARCH models. Against this backdrop, the present study empirically examines the effect of stock futures on the underlying stock’s volatility in India by incorporating the structural breaks with the help of ICSS test and AR (1)-GARCH (1, 1) model for 30 most liquid and actively traded underlying stocks and their associated futures contracts. The study period ranges from the 1st January 2000 or the listing date of the particular stock (whichever is prior) till 31st March 2019. The study contributes to the on-going debate regarding the effect of derivatives on the underlying stock market’s volatility in two ways. Firstly, by taking into consideration the breaks in the volatility and, secondly, studying the effect of single stock futures will allow us to evaluate company-specific response to futures trading directly. The study offers a mixed outcome for the stocks under consideration. However, there is evidence of a decline in unconditional volatility for the majority of the stocks. The overall findings indicate that trading in stock futures may not have any detrimental effect on the underlying stock’s volatility.
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Gupta, Anjali, i Purushottam Kumar Arya. "Impact of splits on stock splits ratios around announcement day: empirical evidence from India". Investment Management and Financial Innovations 17, nr 3 (6.10.2020): 345–59. http://dx.doi.org/10.21511/imfi.17(3).2020.26.
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Stock split should not have any impact on share prices, and there should be no value creation. The purpose of this study is to find any impact of stock splits announced in India between 1999 and 2019 on stock returns. The study aims to find differences in the impact of stock splits on stock returns with differences in stock split ratios. To examine the impact, the study includes 224 splits and adopts the standard event study methodology to find results. The presence of an abnormal return around split announcement day is the main factor, which determines the impact of stock split on the stocks. Average Abnormal Returns and Cumulative Average Abnormal Returns on percentage basis, z-test and p-value are used to statistically analyze the impact on stock prices around the announcement day of splits. These tests are used across different window periods (e.g., 20 days, 10 days and 5 days) around the event day (announcement day) to check if the impact of the event continues or decreases over time. The results point to a significant positive impact of stock splits on the returns of stock around the day the split was announced. The results also show that the impact is stronger for stock splits with ratios 10:1 (2.72 percent) and 10:2 (2.14 percent). It can be suggested that 10:1 and 10:2 are the most popular split ratios that receive maximum ongoing response to splits in the announcement window.
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Sahu, Tarak Nath, i Krishna Dayal Pandey. "Money Supply and Equity Price Movements During the Liberalized Period in India". Global Business Review 21, nr 1 (22.03.2018): 108–23. http://dx.doi.org/10.1177/0972150918761084.
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This study attempts to contribute towards the prevalent understanding and the extant literatures on the effect of changes in money supply as an important monetary policy shock on the stock prices of India by using a time-varying parameter models with vector autoregressive specification during the period 1996 to 2016. The result of Johansen’s cointegration test suggests a significantly positive long-run co-movement between the growth of money supply and stock prices in India but the result of vector error correction model (VECM) does not exhibit any significant relationship in short run. Further, the error correction term of the VECM reveals a long-run unidirectional causality from money supply to stock prices. However, the Granger causality test confirms that the growth rate of money supply does not cause the stock market movement in India in short run. Finally, the variance decomposition analysis reveals that both the Indian stock markets are strongly exogenous in the sense that shocks to money supply explain only a small portion of the forecast variance error of the market indices. Again, the impulse response function analysis indicates that a positive shock in money supply has a small but persistently positive effect on stock prices in India.
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Sehgal, Sanjay, i Meenakshi Gupta. "Tests of Technical Analysis in India". Vision: The Journal of Business Perspective 11, nr 3 (lipiec 2007): 11–23. http://dx.doi.org/10.1177/097226290701100303.
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The study evaluates the economic feasibility of technical analysis in the Indian stock market. It discusses that technical indicators do not outperform Simple Buy and Hold strategy on net return basis for individual stocks. Technical indicators seem to do better during market upturns compared to market downturns. However, technical based trading strategies are not feasible vis-à-vis passive strategy irrespective of market cycle conditions. Technical indicators also do not provide economically significant profit for industry as well as economy based data. Combining fundamentals with technical information, we find, that technical indicators are more profitable for small stocks compared to big stocks and for high value stocks compared to low value stocks. However, the economic feasibility of fundamentals' based technical strategies is still questionable. Our results seem to confirm with the efficient market hypothesis.
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Kumar, Gaurav, i Arun Kumar Misra. "Long run commonality in Indian stocks: empirical evidence from national stock exchange of India". Journal of Indian Business Research 12, nr 4 (20.05.2020): 441–58. http://dx.doi.org/10.1108/jibr-09-2016-0091.
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Purpose The purpose of this paper is to investigate long-run commonality in liquidity using multiple proxies computed from limited order book data of NIFTY50 stocks. The findings indicate the existence of systematic liquidity or commonality on NIFTY50 market and comprising industries. Design/methodology/approach The sample comprises all intraday transactions corresponding to NIFTY 50 stocks for April 2015. The study runs firm by firm time series regressions to test the concept of long-run commonality, while controlling other effects. Findings Strong evidence is found in support of long-run commonality across three liquidity measures. On the basis of significance (10%) of long-run commonality beta (βLR), the strength of long-run commonality is found to be highest in natural resources and infrastructure sector. Portfolios having greater exposure to these sectors will face diversification risk to a great extent. Practical implications Knowledge of long-run commonality helps portfolio managers in formulating diversification strategies and reshuffling the portfolio over the period. Commonality risk being non-diversifiable is a policy concern for regulators and central bankers. Its empirical evidence will assist in managing exchange organization and thus preventing market crashes because of sudden liquidity evaporation. Originality/value Although there are recent studies documenting commonality in short run, little empirical work has been done on commonality in the long run and in emerging markets such as India. This research contributes to the literature by testing concept of commonality in long-run on NIFTY50 stocks using detailed transaction data from National Stock Exchange.
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Bhattacharjee, Nayanjyoti, i Anupam De. "A Perspective on Industry Classification and Market Reaction to Corporate News: Evidence from India". Scientific Annals of Economics and Business 65, nr 1 (1.03.2018): 31–50. http://dx.doi.org/10.2478/saeb-2018-0001.
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Abstract In this paper, we provide a cross-industry perspective on the market reaction to different corporate news in the context of Indian stock market. We have studied the price and volume movements associated with eight broadly defined news categories namely Analyst Calls, Earnings, Earnings Forecasts, Finance, Legal and Regulatory, Management, Operations and Restructuring. We have employed the standard event study methodology on a sample of stocks listed on the National Stock Exchange of India for the purpose of our study. We observe that the market reaction to firm specific corporate news varies according to the type of news across different industry groups. We also observe that the sentiment of the news is a critical factor which influences the market reaction to such news flow across industry groups. We also provide a cross-industry perspective on the relative importance of different corporate news categories after taking into account the sentiment of the news in the context of Indian stock market.
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T. A., Krishna, i Suresha B. "Do geopolitical tensions instigate mindless following in stock markets? An empirical enquiry into the indices of CNX Nifty HFT". Investment Management and Financial Innovations 18, nr 2 (24.06.2021): 335–49. http://dx.doi.org/10.21511/imfi.18(2).2021.27.
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Geopolitical tensions between nations play a crucial role in triggering volatility and affecting the investors’ behavior in stock markets. This empirical work attempts to detect the traces of herding and bubble embedded in the Indian stock indices of CNX Nifty 50 and CNX Nifty 100 (both in High-Frequency Trading domains) during the latest events of geopolitical tensions escalated between India-China and India-Pakistan. An event window approach is employed to capture the impact of these events on herding behavior and information uncertainty in the considered stock indices. Multifractal Detrended Fluctuation Analysis (MFDFA) is applied to compute the Hurst value in all the trading days of the event window. The results of both indices exhibit conclusive evidence of herding and bubble formation during the overall period of geopolitical tensions between India-China and India-Pakistan. However, the degree of herding in the stock indices intensifies to a profound pattern when the tensions between India and China escalated into deadly violent clashes, and also during the heightened tensions between India and Pakistan that eventually ended up in airstrikes across the boundaries. The overall level of information uncertainty depicted by entropy is within control. The volatility in these stock indices has been confirmed to follow a unidirectional pattern. AcknowledgementsThe authors express their sincere thanks of gratitude to Dr. Bikramaditya Ghosh (Professor, Department of Finance and Analytics, RV Institute of Management, Bangalore, India) for his instrumental role in encouraging and motivating them to accomplish this research task. The authors also extend their sincere thanks to Dr. Manu K.S. (Assistant Professor, School of business and management, CHRIST (Deemed to be university), Bangalore, India) for his continued support throughout this empirical investigation.
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Baker, H. Kent, i Sujata Kapoor. "Why Indian firms issue stock distributions". Managerial Finance 41, nr 7 (13.07.2015): 658–72. http://dx.doi.org/10.1108/mf-08-2014-0213.
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Purpose – The purpose of this paper is to investigate the opinions of managers of Indian firms on stock splits and bonus shares (stock dividends) and relate them to explanations for stock distributions identified in the prior literature. Design/methodology/approach – The authors use descriptive statistics from a mail survey to the company secretaries of 500 firms listed on the National Stock Exchange of India to elicit their responses about statements involving stock splits and bonus shares. Findings – The survey evidence shows that among the competing motives for stock splits, the liquidity hypothesis receives the highest level of support followed by the attention-getting variant of the signaling hypothesis, signaling, and the preferred trading range hypotheses. Regarding bonus shares, respondents express strong support for the retained earnings, liquidity, and signaling hypotheses but lesser support for the cash substitution and preferred trading range hypotheses. Research limitations/implications – The survey evidence provides new insights into the stated motivations for stock distributions, especially bonus shares, among Indian firms but the ability to generalize the results is tempered by the relatively small number of respondents. This limits the ability to test for statistically significant differences between the various competing hypotheses. Hence, the results are suggestive rather than definitive. Practical implications – The survey evidence suggests that no single explanation dominates all others for issuing stock splits or bonus shares in India. Thus, managers have multiple reasons for engaging in stock distributions. Originality/value – Few studies use survey methodology to examine Indian dividend policy. Given the dearth of survey evidence on stock distributions among Indian firms, this study not only updates the limited evidence on stock splits but also provides the first survey evidence about managerial views on bonus shares.
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Seth, Neha, i Laxmidhar Panda. "Time-varying Correlation Between Indian Equity Market and Selected Asian and US Stock Markets". Global Business Review 21, nr 6 (7.08.2019): 1354–75. http://dx.doi.org/10.1177/0972150919856962.
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The purpose of this article is to examine the dynamic relationship between the Indian stock market and the selected Asian and US stock markets during the post-crisis period. This article uses univariate GARCH (Generalized Autoregressive Conditional Heteroskedasticity) family models on daily observations from March 2009 to December 2015 to evaluate the volatility persistence and leverage effect on Asian developed (Japan, Singapore and Hong Kong) and emerging markets (India, China, Indonesia, Korea, Malaysia and Taiwan) along with the US stock market. AR (Autoregressive) ( 1 )-GARCH (1, 1)-ADCC (Asymmetric DCC) model is employed to find out the dynamic correlation between the Indian equity market and other selected stock markets. The results of the present study give evidence of the leverage effect in conditional volatility but not in conditional correlation, which implies that the rise in conditional volatility is more due to negative shocks than positive ones. On the other hand, dynamic conditional correlation (DCC) does not support any asymmetric effect for the time-varying correlation. The result of average conditional correlation shows the existence of higher diversification opportunities for Indian investors in Malaysian, Chinese and Japanese stock markets (having lower conditional correlation) than in Hong Kong, Indonesian and South Korean markets. The DCC fluctuates more in the cases of India with Singapore, Hong Kong and Indonesia over the sample period. It indicates that the stability of DCC is less reliable and the coefficient of correlation may not be used as a guide for portfolio decisions. But the cases of India with the USA, Japan and China show more stable conditional correlation coefficients. This article investigates the volatility persistence and time-varying relationship among Asian stock markets during the recent period, 2009–2015. The results of this article may be helpful in international portfolio planning and will contribute towards the literature on asymmetric time-varying relationships among Asian markets.
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Chaudhary, Rashmi, Priti Bakhshi i Hemendra Gupta. "The performance of the Indian stock market during COVID-19". Investment Management and Financial Innovations 17, nr 3 (16.09.2020): 133–47. http://dx.doi.org/10.21511/imfi.17(3).2020.11.
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The current empirical study attempts to analyze the impact of COVID-19 on the performance of the Indian stock market concerning two composite indices (BSE 500 and BSE Sensex) and eight sectoral indices of Bombay Stock Exchange (BSE) (Auto, Bankex, Consumer Durables, Capital Goods, Fast Moving Consumer Goods, Health Care, Information Technology, and Realty) of India, and compare the composite indices of India with three global indexes S&P 500, Nikkei 225, and FTSE 100. The daily data from January 2019 to May 2020 have been considered in this study. GLS regression has been applied to assess the impact of COVID-19 on the multiple measures of volatility, namely standard deviation, skewness, and kurtosis of all indices. All indices’ key findings show lower mean daily return than specific, negative returns in the crisis period compared to the pre-crisis period. The standard deviation of all the indices has gone up, the skewness has become negative, and the kurtosis values are exceptionally large. The relation between indices has increased during the crisis period. The Indian stock market depicts roughly the same standard deviation as the global markets but has higher negative skewness and higher positive kurtosis of returns, making the market seem more volatile.
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Yadav, Miklesh Prasad, Aastha Khera i Nandita Mishra. "Empirical Relationship Between Macroeconomic Variables and Stock Market: Evidence from India". Management and Labour Studies 47, nr 1 (26.10.2021): 119–29. http://dx.doi.org/10.1177/0258042x211053166.
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This study investigates the relationship between the Indian stock market price behaviour and macroeconomic variables. The proxy for the Indian stock market is the BSESENSEX while Foreign Reserve, Exchange Rate (Indian vs. US Dollar) and CPI are proxies for the macroeconomic variables. The Johansen Cointegration Test and the Vector Error Correction Model (VECM) on monthly data collected from websites of Reserve Bank of India and Bombay Stock Exchange within the time period of January 2000 and February 2020 have been applied. We observe a contradiction between the results of trace statistics and the maximal eigenvalue of the Johansen Cointegration. The -trace statistics of cointegration allude to the long-run association between the Indian stock market and its constituent macroeconomic variables. The VECM is then applied to examine the long-run and short-run causalities and the results reveal the same. This study has profound implications for investors to diversify their portfolio, considering the impact of the constituent selected macroeconomic variables in the short run and long run. JEL Codes: B22, J11, R53
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Dhamija, Sanjay, i Ravinder Kumar Arora. "Initial and After-market Performance of SME IPOs in India". Global Business Review 18, nr 6 (4.09.2017): 1536–51. http://dx.doi.org/10.1177/0972150917713081.
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This article examines the initial and after-market performance of the initial public offerings (IPOs) listed on the recently launched platform for small and medium enterprises (SMEs) by the Bombay Stock Exchange (BSE), Mumbai and the National Stock Exchange (NSE). The study does find evidence of underpricing of IPOs by SMEs in line with other studies internationally. However, the level of underpricing is found to be lower than that of IPOs listed on the main board stock exchanges in India, reported by earlier studies. This may be partially due to the fact that the SME platform is at an infancy stage and has failed to attract investors’ fancy. This is reflected in a low level of oversubscription of SME IPOs at 1.35 times on average. The multivariate analysis identifies the type of offer, size of issue, promoter holding, extent of oversubscription, lead manager prestige and the stock exchange of listing as the key determinants of underpricing of SME IPOs. Post listing, these IPOs have significantly out-performed the benchmark index. The finding is inconsistent with the results of other studies on the main board exchanges where the IPOs, in general, are found to underperform the markets over a significant period of time post listing. This may partly be attributed to thin trading in these stocks and, therefore, to their lower level of liquidity. The findings have significant implications for stock-market regulators, issuers and investors.
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De Sarkar, Partha, Surendra S. Yadav i D. K. Banwet. "Integration of Indian Capital Markets with Global Markets: An Empirical Study". Vision: The Journal of Business Perspective 6, nr 2 (lipiec 2002): 73–79. http://dx.doi.org/10.1177/097226290200600207.
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From 1997 onwards, the effect of globalization is becoming evident in the Indian capital markets. The stock prices of Indian companies and the stock market indices have been driven not just by the macro and micro factors of the Indian economy. Events in other parts of the world have also increasingly started having an impact. This is in stark contrast to the situation in the insular days prior to 1991, when major policy changes were made by the Indian government to open up the economy. The increased volatility of stock markets and reduction in controls over capital movements across borders has reflected in the stock prices in India. This paper aims at validating that indeed globalization has found its way into the Indian capital markets. It estimates the extent of correlation between the major world stock markets in USA, UK, Japan and Hong Kong with the Indian Stock Market Index like the BSE Sensex and also how portfolio fund flows have affected its movement. The study restricts itself to the period between January 1997 and June 2000. In brief, this paper seeks to: establish the relationship between the Bombay 30 Stock Sensitivity Index (SENSEX) and the global indices mentioned above like Dow Jones Industrial Average, NASDAQ Composite of USA, FTSE100 of UK, Nikkei 225 of Japan and the Hang Seng of Hong Kong. look at how portfolio funds flows have been affecting the Indian stock market.
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SHAKILA, BOLAR, PINTO PRAKASH, IQBAL THONSE HAWALDAR, CRISTI SPULBAR i RAMONA BIRAU. "The holiday effects in stock returns: a challenge for the textile and clothing industry of India". Industria Textila 71, nr 04 (31.08.2020): 327–33. http://dx.doi.org/10.35530/it.071.04.1710.
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This research paper examines the holiday effects presence on the Bombay Stock Exchange (BSE), which is a major Indian stock exchange. Textile and clothing industry in India is one of the most important producers in the world, but also the second exporter of textile and apparels globally. The empirical analysis investigates the impact of holiday effect on the development of textile and clothing industry in India. The holiday effect is one of the most important calendar anomalies identified in the financial markets. The methodological approach includes the non-parametric Mann-Whitney U-test used to test the equality of means for different sub-sets. The findings revealed that the mean returns for pre-holiday and post holidays were greater compared to that of remaining days, but the empirical results showed that they were not statistically significant for selected stocks of BSE based on daily stock returns data for Ruby Mills and Mafatlal Industries
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Shanthi, A., i R. Thamilselvan. "Optimal Hedge Ratio and Hedging Effectiveness in Stock Futures Market: Evidence from National Stock Exchange, India". Restaurant Business 118, nr 3 (11.03.2019): 137–52. http://dx.doi.org/10.26643/rb.v118i3.7637.
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The major objective of the study is to examine the performance of optimal hedge ratio and hedging effectiveness in stock futures market in National Stock Exchange, India by estimating the following econometric models like Ordinary Least Square (OLS), Vector Error Correction Model (VECM) and time varying Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) model by evaluating in sample observation and out of sample observations for the period spanning from 1st January 2011 till 31st March 2018 by accommodating sixteen stock futures retrieved through www.nseindia.com by considering banking sector of Indian economy. The findings of the study indicate both the in sample and out of sample hedging performances suggest the various strategies obtained through the time varying optimal hedge ratio, which minimizes the conditional variance performs better than the employed alterative models for most of the underlying stock futures contracts in select banking sectors in India. Moreover, the study also envisage about the model selection criteria is most important for appropriate hedge ratio through risk averse investors. Finally, the research work is also in line with the previous attempts Myers (1991), Baillie and Myers (1991) and Park and Switzer (1995a, 1995b) made in the US markets
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Sehgal, Meru, i Shruti Gupta. "Stock Markets in Changing Times". International Journal of Business Analytics 8, nr 3 (lipiec 2021): 14–25. http://dx.doi.org/10.4018/ijban.2021070102.
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The impact of COVID-19 on the stock markets of US, UK, and India has been analyzed. Daily market returns of the stock indices (Dow Jones Industrial Average, FTSE-100, Nifty 50 Index, and Nifty Bank Index) have been examined using paired t-test for 40 days before and after the reporting of the first case. Index performance has also been investigated for the quarter ending June 2020 along with comparative performance analysis of the indices with Nifty Bank Index. The results showed that markets have borne substantially negative returns, but they are not statistically significant. This indicates the resilience of these markets to restore to previous index levels after taking a short-term hit. This paper adds value to the literature by acting as a resource for academia as well as industry by spelling out changes in markets during this pandemic and supporting evidence from Indian banks that are catalysts of growth for businesses in uncertain times.
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Kumar, Sanjay, Jiangxia Liu i Jess Scutella. "The impact of supply chain disruptions on stockholder wealth in India". International Journal of Physical Distribution & Logistics Management 45, nr 9/10 (5.10.2015): 938–58. http://dx.doi.org/10.1108/ijpdlm-09-2013-0247.
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Purpose – Supply chain structure, characteristics, and applicable policies differ between developing and developed countries. While most supply chain management research is directed toward supply chains in developed countries, the authors wish to explore the financial impact of disruptions on supply chains in a developing country. The purpose of this paper is to highlight the importance of effective supply chain management practices that could help avoid or mitigate disruptions in Indian companies. The authors study the stock market impact of supply chain disruptions in Indian companies. The authors also aim to understand the difference in financial implications from disruptions between companies in India and the USA. Design/methodology/approach – Event study methodology is applied on supply chain disruptions data from Indian companies. The data are compiled from public news release in Indian press. A data set of 301 disruptions for a ten-year period from 2003-2012 is analyzed. Stock valuation of a company is used to assess the financial impact. Findings – The results show that Indian companies on average lose −2.88 percent of shareholder wealth in an 11-day window covering the event day and five days pre- and post-disruption announcement. A significant stock decline was observed as early as three days prior to announcement, indicating possibility of insider trading and information differentials between investors. Irrespective of the location and responsibility of a disruption, companies experience significant negative returns. Company size, book-to-market ratio, and debt-to-equity ratio were found to be insignificant in affecting the stock market reactions to disruptions. The authors also compiled supply chain disruptions data for US companies. When compared to the US companies, Indian companies register a significantly higher stock decline in the event of a disruption. Research limitations/implications – Supply chain disruptions data from India and the USA are analyzed. Broad applicability of results across countries may require studying other developing countries. The research demonstrates potential effectiveness of investment in supply chain management initiatives. It also motivates research focussed specifically on supply chains in developing countries. Practical implications – Supply chain decision makers in India could benefit from investment in disruptions management and mitigation practices. The results provide a valuation of effective supply chain management. The findings provide guidance for investors in making decisions when supply chains face disruptions. Originality/value – The paper studies the financial consequences of supply chain disruptions in a developing country. The study is valuable because of increasing globalization, outsourcing, and the economic role of developing countries.
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Arasu, B. Senthil, Desti Kannaiah, Nancy Christina J. i Malik Shahzad Shabbir. "Selection of Variables in Data Envelopment Analysis for Evaluation of Stock Performance". Management and Labour Studies 46, nr 3 (20.05.2021): 337–53. http://dx.doi.org/10.1177/0258042x211002511.
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This study deploys data envelopment analysis (DEA) to identify the appropriate variables for the performance valuation of stocks. For this purpose, sixty-nine non-financial stocks of the Nifty 100 index of The National Stock Exchange of India Ltd (NSE) were selected as a sample for this study. We segregated the selected stocks into three groups of inputs and outputs for DEA based on fundamental indicators (financial ratios); technical indicators (momentum indicators); and both, fundamental and technical indicators. The stock performance indicators are sourced from the ACE database from financial year 2014 to 2019. The results of the study suggest that all three sets of stock performance indicators help in the identification of efficient stocks. However, stocks identified under momentum indicators are seen to have been better performing in stock return compared to the other two groups. The outcome of this study may help academicians and investors construct an effective portfolio and analyse/study its performance evaluation
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Spulbar, Cristi, Abdullah Ejaz, Ramona Birau i Jatin Trivedi. "Sustainable Investing Based on Momentum Strategies in Emerging Stock Markets: A Case Study for Bombay Stock Exchange (BSE) of India". Scientific Annals of Economics and Business 66, nr 3 (2019): 351–61. http://dx.doi.org/10.47743/saeb-2019-0029.
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This research article examines the profitability on the momentum portfolios in the case of the emerging stock market of India, i.e. Bombay Stock Exchange (BSE). Sustainable investing integrates environmental, social and governance (ESG) characteristics into investment decisions. Risk management is one of the most significant ranking factors determining the adoption of corporate strategies based on sustainable investing. A sustainable stock market provides a transparent and effective solution to inherent challenges related to environmental, social, economic and corporate governance issues. The theoretical and empirical analysis conducted in this research article reveals the status of BSE of India in this regard. A company's sustainable market orientation is very important for future developments. The practical significance of this research paper is to investigate the profitability of momentum strategies in Bombay Stock Exchange of India, which is an emergent market. Moreover, the presence of short term momentum effect on Indian stock market is basically an anomaly caused by behavioral and risk-based portfolio construction factors. On the other hand, momentum strategies is a reliable alternative with strong empirical evidence to both fundamental approaches of classical finance, namely efficient market hypothesis (EMH) and behavioral finance paradigm.
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Peswani, Shilpa, i Mayank Joshipura. "Low-risk investment strategy: sector bets or stock bets?" Managerial Finance 48, nr 3 (17.01.2022): 521–39. http://dx.doi.org/10.1108/mf-09-2021-0415.
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PurposeThe portfolio of low-risk stocks outperforms the portfolio of high-risk stocks and market portfolios on a risk-adjusted basis. This phenomenon is called the low-risk effect. There are several economic and behavioral explanations for the existence and persistence of such an effect. However, it is still unclear whether specific sector orientation drives the low-risk effect. The study seeks to answer the following important questions in Indian equity markets: (a) Whether sector bets or stock bets mainly drive the low-risk effect? (b) Is it a mere proxy for the well-known value effect? (c) Does the low-risk effect prevail in long-only portfolios?Design/methodology/approachThe study is based on all the listed stocks on the National Stock Exchange (NSE) of India from December 1994 to September 2018. It classifies them into 11 Global Industry Classification Standard (GICS) sectors to construct stock-level and sector-level BAB (Betting Against Beta) and long-only low-risk portfolios. It follows the study of Asness et al. (2014) to construct various BAB portfolios. It applies Fama–French (FF) three-factor and Fama–French–Carhart (FFC) four-factor asset pricing models in addition to Capital Asset Pricing Model (CAPM) to examine the strength of BAB, sector-level BAB, stock-level BAB and long-only low-beta portfolios.FindingsBoth sector- and stock-level bets contribute to the return of the low-risk investing strategy, but the stock-level effect is dominant. Only betting on safe sectors or industries will not earn economically significant alpha. The low-risk effect is unique and not a value effect in disguise. Both long-short and long-only portfolios within sectors and industry groups deliver positive excess returns. Consumer staples, financial, materials and healthcare sectors mainly contribute to the returns of the low-risk effect in India. This study offers empirical evidence against the Samuelson (1998) micro-efficient market given the strong performance of the stock-level low-risk effect.Practical implicationsThe superior performance of the low-risk investment strategies at both stock and sector levels offers investors an opportunity to strategically invest in stocks from the right sectors and earn high risk-adjusted returns with lower drawdowns over an entire market cycle. Besides, it paves the way for stock exchanges and index manufacturers to launch sector-specific low-volatility indices for relevant sectors. Passive funds can launch index funds and exchange-traded funds by tracking these indices. Active fund managers can espouse sector-specific low-risk investment strategies based on the results of this and similar other studies.Originality/valueThe study is the first of its kind. It offers insights into the portfolio characteristics and performance of the long-short and the long-only variant of low-risk portfolios within sectors and industry groups. It decomposes the low-risk effect into sector-level and stock-level effects.
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Thangamuthu, Mohanasundaram, i Karthikeyan Parthasarathy. "Cointegration and stock market interdependence: Evidence from South Africa, India and the USA". South African Journal of Economic and Management Sciences 18, nr 4 (27.11.2015): 475–85. http://dx.doi.org/10.4102/sajems.v18i4.1029.
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The purpose of this study is to explore the nature of the association and the possible existence of a shortrun and long-run relationship between the stock-market indices of South Africa, India and the USA. The idea behind this combination is to know how the stock markets of these three prominent countries are related to each other. The study employs monthly data from the stock indices, namely JALSH (South Africa), NIFTY (India) and NASDAQ (USA) composite from April 2004 to March 2014. After testing for the normality of the data distribution and the stationarity of the time series data, this paper discovered a strong correlation between the stock market indices of South Africa, India and the USA. The correlation among the stock markets is high, particularly between South Africa and India. In addition, the paper attempts to discover the presence of any predictive ability among these markets by applying the Granger causality test. The result indicates that the NASDAQ index has no predictive ability as far as the JALSH and NIFTY indices are concerned. However, the JALSH index has a predictive ability on the NIFTY index. After testing the Granger cause relationship, the existence of a long-run and short-run relationship is tested. The long-run relationships among the stock market indices are analysed, following the Johansen and Juselius multivariate cointegration approach. The result suggests the absence of a long-run relationship among the three stock market indices. Short-run relationship is investigated with the Vector Autoregression (VAR) model, and the outcome obtained shows that both the USA and the South African stock markets are predicted only by their own past lags. However, the Indian stock market is seen to be a function of its own past lags and the past lags of the South African stock index.
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Maitra, Debasish, i Varun Dawar. "Return and Volatility Spillover among Commodity Futures, Stock Market and Exchange Rate: Evidence from India". Global Business Review 20, nr 1 (21.11.2018): 214–37. http://dx.doi.org/10.1177/0972150918803801.
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This article aims to investigate return and volatility spillover among commodity, stock and exchange rate markets. The article further looks into whether there is any change in return and volatility spillover during the crisis and post-crisis periods and whether there is any in the behaviour of spillover changes between agro and non-agro based commodities. The study uses Vector Auto Regression followed along with by Granger causality are to understand the causality of returns. We have performed multivariate volatility model to study the volatility co-movement of different assets. Unidirectional return spillover from the Multi Commodity Exchange (non-agro commodity) to stock indices and exchange rates is found. Stock indices are found to influence exchange rates to return; whereas the only dollar explains the return in stock indices. Equity markets have been found to have a return spillover on NCDEX (agro commodity) during the post-crisis period. However, each asset market is found to have volatility spillover effects on the other asset market. Commodity indices have more spillover effects on stocks.
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Mann, Bikram Jit Singh, i Sonia Babbar. "New product announcements effect on stock prices in India". Journal of Asia Business Studies 11, nr 4 (12.12.2017): 368–86. http://dx.doi.org/10.1108/jabs-08-2015-0145.
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Purpose The purpose of this study is to study the impact of new product announcements on the shareholder value in India since; there is lack of perceptive results regarding the impact. Also, an attempt has been made to analyse the determinants of value creation, by industry type, which has so far escaped the attention of researchers. Design/methodology/approach First, standard event study methodology has been used to measure the abnormal gains/losses of the announcing firms for the new product introductions. Second, regression analysis has been conducted to find out the relationship between the shareholder value and the firm and industry characteristic variables. Findings The results of the study show that the announcing companies in India have got significant positive returns during the announcement of the new product. The value stands at 0.00455 for the event day. In the second part, the application of the regression test has found that firm size, R&D intensity, free cash flow, debt ratio and market size are significant variables in the determination of the shareholder value. Originality/value The present study goes a step further in establishing the reasons for value creation when new product announcements are made by the Indian firms. The analysis has been carried out industry wise to identify the determinants of shareholder value in different industries. This would guide the decision makers at the strategic level and players of the stock market at large in taking much more informed decisions.
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A., Revathi, Chunduru Anilkumar, Vimaladevi M. i Nikil Laddha. "Strategy recommender for stock options in india using deep learning and live stock data from NSE". Applied and Computational Engineering 2, nr 1 (22.03.2023): 258–64. http://dx.doi.org/10.54254/2755-2721/2/20220600.
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An Option is a financial instrument, which is extensively used in share markets, money markets, and commodity markets to hedge the investment risks. It acts as financial leverage investment and is a kind of derivative instrument along with forwards, futures and swaps, which are used for managing risk of the investors. Though derivatives are theoretically risk management and leveraged investment tools, it is mostly used as speculative tools. The objectives of this work is to build a positional stock trading strategy in derivatives (Options) and recommending the users the strategy based on the predicted price of the stock, and, to generate P&L charts and Payoff graphs based on different Options strategies selected by the user. For this, the stock market data is collected from various online sources such as NSE, and BSE websites. The contributions of this work include, a comparison of various strategies and to predict the range of the stock based on Implied Volatility (IV); providing the user with the Option Chain and enable to calculate several Options indicators like PCR, Max Pain; and, the implementation of machine learning algorithm (LSTM) to predict the sentiment of the stock. An interactive web application for users is created, which provides consolidated data in the form of a dashboard from where the users can analyse the stocks and make strategic decisions on procuring stocks.
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Joshipura, Mayank, i Nehal Joshipura. "Low-risk effect: evidence, explanations and approaches to enhancing the performance of low-risk investment strategies". Investment Management and Financial Innovations 17, nr 2 (29.05.2020): 128–45. http://dx.doi.org/10.21511/imfi.17(2).2020.11.
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The authors offer evidence for low-risk effect from the Indian stock market using the top-500 liquid stocks listed on the National Stock Exchange (NSE) of India for the period from January 2004 to December 2018. Finance theory predicts a positive risk-return relationship. However, empirical studies show that low-risk stocks outperform high-risk stocks on a risk-adjusted basis, and it is called low-risk anomaly or low-risk effect. Persistence of such an anomaly is one of the biggest mysteries in modern finance. The authors find strong evidence in favor of a low-risk effect with a flat (negative) risk-return relationship based on the simple average (compounded) returns. It is documented that low-risk effect is independent of size, value, and momentum effects, and it is robust after controlling for variables like liquidity and ticket-size of stocks. It is further documented that low-risk effect is a combination of stock and sector level effects, and it cannot be captured fully by concentrated sector exposure. By integrating the momentum effect with the low-volatility effect, the performance of a low-risk investment strategy can be improved both in absolute and risk-adjusted terms. The paper contributed to the body of knowledge by offering evidence for: a) robustness of low-risk effect for liquidity and ticket-size of stocks and sector exposure, b) how one can benefit from combining momentum and low-volatility effects to create a long-only investment strategy that offers higher risk-adjusted and absolute returns than plain vanilla, long-only, low-risk investment strategy.
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Debnath, Pradip, i Hari Mohan Srivastava. "Optimizing Stock Market Returns during Global Pandemic Using Regression in the Context of Indian Stock Market". Journal of Risk and Financial Management 14, nr 8 (19.08.2021): 386. http://dx.doi.org/10.3390/jrfm14080386.
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Stock markets around the world experienced a massive collapse during the first wave of COVID-19. Roughly in the month of January 2021, the second wave of COVID-19 struck in India, reaching its peak in May, and by the end of May, the active cases started to decline. A third wave is again predicted by the end of 2021, and as such, the COVID-19 pandemic seems to have become a periodic phenomenon over the last couple of years. Therefore, the study of the behavior of the stock market as well as that of the investors becomes very interesting and crucial in this highly volatile and vulnerable market trend. Motivated by these facts, in the present paper, the researcher develops a model for portfolio management, using curve-fitting techniques and shows that this model can encounter the market volatility efficiently in the context of the Indian stock market. The portfolio is designed based on data taken from the National Stock Exchange (NSE), India, during 1 January 2020 to 31 December 2020. The performance of the portfolio in real-life situation during 1 January 2021 to 21 May 2021 is examined, assuming investments are made according to the proposed model.
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Dev, S. Mahendra, i Funing Zhong. "Trade and stock management to achieve national food security in India and China?" China Agricultural Economic Review 7, nr 4 (2.11.2015): 641–54. http://dx.doi.org/10.1108/caer-01-2015-0009.
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Purpose – China and India have to provide food security to 1.36 billion and 1.25 billion populations, respectively. The purpose of this paper is to address the roles of trade and stock management in achieving food security in these countries, such as the impacts of trade on consumer and producer prices and incomes of farmers and others and implications for food security, and the impact of stock management on price stability, availability, access and nutrition. Design/methodology/approach – The paper is based on secondary data and literature on these issues. It compares the policy tools of trade and stock management used in India and China for food security purpose, in terms of long-term efficiency, in order to provide better understanding on how to achieve food security through public interventions. Findings – Although stock is an important tool for food security, it is likely to be costly if used for price support and redistribution purposes. Trade might provide cheap food to enhance access to food, the impact on domestic producers and the volatility in world market may lead to serious problems. A carefully designed policy combining stock management and trade may help achieving food security. Research limitations/implications – This paper relies on existing literature of current issues and policies, and tries to conduct comparative study on India and China, the two largest countries in the world. The scale and depth of the study are restricted by authors’ knowledge, hence may not be adequate in addressing those important issues. Practical implications – Both India and China are undergoing policy review regarding food security, under pressures in domestic market and from multi-nation negotiations. This study may provide better understandings of the issues related to policy reform and trade negotiation. Originality/value – Though a large portion of factual materials are adopted from existing literature and statistics, the analyses are those of authors.
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Saxena, Kirti, i Madhumita Chakraborty. "Does it pay to pay attention to attention? Evidence from an emerging market". Managerial Finance 48, nr 4 (8.02.2022): 629–42. http://dx.doi.org/10.1108/mf-09-2021-0401.
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Purpose This study aims to explore the asset pricing implications of attention allocation theories in the Indian stock market.Design/methodology/approach Investor attention is captured through investors' search behavior, the Google search volume index. Panel least square method is used in this study, and the research is performed at firm-level upon NSE100 constituent firms with 21,566 firm-week observations.Findings The authors find a significant increase in abnormal return following an increase in abnormal attention. Also, this effect is strengthened for smaller firms and firms with positive sentiments. Further, applying a geographic lens to the investigation, it is found that the attention impact is attributable to local investors. Finally, the study demonstrates that local attention-based portfolio formation and trading strategy, i.e. long in high abnormal local attention stocks and short in low abnormal local attention stocks, leads to a significant return premium.Research limitations/implications This study reveals that behavioral factors like investor attention drive the Indian Stock Market. Also, the geography analysis shows that observing investors' behavior enables predicting the arrival of private information. Thus abnormal local attention can be a potential input factor for forecasting exercises and trading strategy formation, thereby aiding in exploiting profitable opportunities.Originality/value The study captures asset pricing implications of investor attention and explores the effect of firm size and sentiment on the attention–return relationship in an emerging economy, India. It also relates location proximity with investors' attention allocation and tests its implications on stock prices.
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C. Costa, Juao, i Lorraine Rayelle Gomes. "IFRS Convergence and Value Relevance of Indian Accounting Information: The Earnings-Returns Association Analysis". Asian Journal of Business and Accounting 15, nr 2 (31.12.2022): 149–72. http://dx.doi.org/10.22452/ajba.vol15no2.5.
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Manuscript type: Research paper Research aims: India has recently joined the accounting revolution by implementing the International Financial Reporting Standards (IFRS) through the convergence mode. This paper aims to examine the value relevance of Indian accounting information by finding an association between stock returns and the levels of earnings and changes in earnings. Design/Methodology/Approach: The study follows both relative and incremental association approaches to investigate changes in the value relevance of accounting information prepared using the IFRS converged Indian Accounting Standards (Ind-AS), while also examining the impact of their voluntary use. The study employs the Easton and Harris (1991) model on accounting data collected from 2012-13 to 2019-20. The panel data of 7,064 firm-year observations covers 883 firms listed on the National Stock Exchange (NSE) and uses relevant econometric tests and multivariate panel regressions to test the hypotheses. Research findings: The findings reveal a decline in the returns value relevance following both mandatory and voluntary IFRS convergence. Theoretical contribution/Originality: The study is the first to document the changes in value relevance based on stock returns since the IFRS convergence process began in India. Practitioner/Policy implication: This line of research is significant in Indian capital markets to unravel the effects of the new standards on accounting as well as stock market variables. It has managerial implications for firm and standard-setters. Research limitation: The value relevance results are based on the returns model alone and the study does not analyse the price model.
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Mallik, Abhijit, Puja Chakraborty, Vikas Pathak, Kabin Medhi i Shashi Bhushan. "Stocks delineation of bull’s eye fish (Priacanthus hamrur) in Indian water using morphometric measurements and meristic counts". International Journal of Agricultural and Applied Sciences 1, nr 1 (30.06.2020): 31–36. http://dx.doi.org/10.52804/ijaas2020.117.
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The Moontail bull’s eye (Priacanthus hamrur) is one of the commonly available fish species found in the deep sea and under ledges or hovering next to coral heads during the day. In the present study, around 300 specimens were collected from different location in east and west coast of India including Kakinada, Kolkata, Cochin and Mumbai to investigate the stock differentiation among the populations. A total of 14 morphometric traits and 10 meristic counts were studied. The descriptive statistics of morphometric traits indicated the much larger growth in populations of west coast compares to the east coast. The meristic traits were not much efficient in identifying the stocks. Pre pelvic fin length, post anal fin length, post dorsal length, pre dorsal fin length, head length, eye diameter, body depth, caudal peduncle depth and dorsal fin base helped in the separation of stocks. All the four stocks have separate morphometric features. The present study will provide the baseline information on the stock characteristics of P. hamrur from Indian water and management measures of the resources for sustainable utilization.
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Majumder, Amit. "Thy Governance Matters: A Study on Governance Practices of Stock Exchanges in India". International Journal of Management, Entrepreneurship, Social Science and Humanities 4, nr 1 (30.06.2021): 41–54. http://dx.doi.org/10.31098/ijmesh.v4i1.525.
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Historically the responsibility of ushering the practices of good governance, transparent management and effective control process for the corporate houses rests under the jurisdiction of those stock exchanges where the shares of the companies are listed. However, the very question of the management and governance of these stock exchange houses are always under the scanner across the globe in view of the limitations of their historic pattern of member-owned ‘non-profit’ kind of mutual organizational structure. The lacunae of that typical organizational structure was that their activities are primarily targeted towards members interests as well as that set up was not immune fully from the malice like insider trading and conflict of interest for office bearers and traders. In view of this following the global pattern the Union Government of India had decided for corporatization of stock exchanges thereby creating a separation of ownership, management and trading membership of stock exchanges which is formally known as demutualization and corporatization of stock exchanges. A committee was set up by the SEBI under the chairmanship of Justice M.H. Kania which had submitted the report in 2002 recommending corporatizations and demutualization of stock exchanges which become mandatory for every stock exchange in India to implement within a stipulated period of time. Against this backdrop the present study is conducted to make an overview of the present state of governance affairs of major stock exchanges in India. It has been observed that the corporatization and governance practices of the major bourses in India had followed governance practices like separation of the post of chairman and CEO, inclusion of public interest directors as outside directors in the board, adherence to code of conducts for directors, organizing frequent meetings of directors etc.
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Thoppan, Jose Joy, Robert Jeyakumar Nathan i Vijay Victor. "Impact of Improved Corporate Governance and Regulations on Earnings Management Practices—Analysis of 7 Industries from the Indian National Stock Exchange". Journal of Risk and Financial Management 14, nr 10 (22.09.2021): 454. http://dx.doi.org/10.3390/jrfm14100454.
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This study investigates discretionary earnings management practices, tracing the changes over the years in selected top performing and highly liquid listed Indian firms. It empirically measures the impact of corporate governance, financial legislation and global reporting standards on the firms’ earnings management practices. The study analyses a sample of 712 firm-year data comprising 89 listed Indian companies across 7 different sectoral indices of the National Stock Exchange of India (NSE) over 8 years (2011–2018). The Modified Jones model was used to compute Discretionary Accruals to measure Earnings Management based on data obtained using Bloomberg terminals. Statistical results and plots generated in Stata offer evidence that instances of earnings management have significantly reduced after the enactment of the Companies Act 2013 and the adoption of Indian Accounting standards which are converged with the IFRS. Findings suggest that services firms are engaging in relatively higher levels of earnings management compared to manufacturing firms. This study reveals the positive impact of improved corporate governance, regulation, and enforcement by significantly reducing the levels of earnings management among listed firms in India.
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Nisar, Ubair, Rafiya Ali, Yongtong Mu i Yu Sun. "Assessing Five Major Exploited Tuna Species in India (Eastern and Western Indian Ocean) Using the Monte Carlo Method (CMSY) and the Bayesian Schaefer Model (BSM)". Sustainability 13, nr 16 (8.08.2021): 8868. http://dx.doi.org/10.3390/su13168868.
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The status of data-limited tuna fishery stocks in India has been tested using the latest and most advanced computerized methods, CMSY and BSM. Five tuna fish stocks from both the Eastern and Western Indian Ocean were assessed using both catch and catch per unit effort (CPUE) details available from 1990 to 2015. Both methods help to calculate the maximum sustainable yield (MSY) and exploitation of MSY relative to biomass (B/BMSY). The results of maximum intrinsic rate (r) and carrying capacity are also estimated. The results revealed that all tuna stocks in both the regions were overfished, with one, the longtail tuna (Thunnus tonggol) in the Western Indian Ocean strongly overfished (B/BMSY = 0.44). Such observations, although still preliminary since the techniques used to produce them are relatively new, often associated with the situation and exploitation of all the stock in question, making the CMSY and BSM methods promising for stock assessment in data-deficit situations. The study concludes that in order to restore the status of these five tuna stocks in both regions, it would be necessary to reduce the fishing pressure.
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Mukherjee, Paramita, i Chanchal Chatterjee. "Does Share Repurchase Announcement Lead to Rise in Share Price? Evidence from India". Global Business Review 20, nr 2 (kwiecień 2019): 420–33. http://dx.doi.org/10.1177/0972150918825327.
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In recent years, there is an increasing trend of share repurchase announcement by Indian firms. This article attempts to examine whether open market share repurchase announcements in India lead to excess stock returns and to identify the factors responsible for additional stock returns. Apart from a standard market method, the price behaviour is examined on an individual basis. The results show that the firms, on an average, do not experience price improvement after share repurchase. While 24 per cent of the firms lose and 10 per cent gain, the rest experience no change. In normal times, investors prefer small-cap companies, but post-announcement, promoters’ share and premium play an important role.
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Chatterjee, Chanchal, i Paromita Dutta. "Price Behaviour Around Dividend Announcements in the Indian Equity Market in the Existence of Corporate Dividend Tax". Global Business Review 18, nr 2 (16.03.2017): 402–15. http://dx.doi.org/10.1177/0972150916668609.
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This article empirically examines the price behaviour around cash dividend announcements of the firms listed on the National Stock Exchange of India Ltd (NSE) in order to understand whether dividend announcements really influence stock returns in the market and carry meaningful information to the investors in the existence of corporate dividend tax. The article uses standard ‘event study’ methodology based on market model on a sample of 210 dividend announcements. Subsample analysis is employed for further analysis of firms of different categories. The study finds that cash dividend announcements do not necessarily generate abnormal stock returns in an emerging market, such as India. The whole sample is further divided into various subsamples on the basis of firm size and the size of payout ratio. The study finds that large payout firms experience greater stock returns compared to the smaller payout firms just after the dividend announcements. However, stock returns following dividend announcements do not vary across firm size. This article provides evidence to the managers about the non-linkage between cash dividend announcements and stock returns in an emerging market like India. This finding is contrary to the findings of many other studies that are based on the data of the developed economies.
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Garg, Arunesh, Pradeep Kumar Gupta i Pritpal Singh Bhullar. "Is CSR Expenditure Relevant to the Firms in India?" Organizations and Markets in Emerging Economies 12, nr 1 (20.05.2021): 178–97. http://dx.doi.org/10.15388/omee.2021.12.53.
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The present study examines the relevance of Corporate Social Responsibility (CSR) expenditure to the firms in the mandatory regime in India. The paper has its theoretical basis from the instrumental aspect of the Stakeholder theory, which assumes a positive influence of CSR over financial performance. Therefore, the study hypothesizes that the firms which fulfill the CSR expenditure requirement will exhibit higher stock returns and lower systematic risk. Since India mandated CSR in the year 2014, the data of four years (2016-2019) for the sample of 426 National Stock Exchange (NSE) listed Indian firms are taken to employ the OLS regression method. The CSR expenditure in the mandatory regime was not found to be relevant to the firms because of an insignificant positive impact of mandatory CSR expenditure on stock returns. Thus, the instrumental aspect is not supported by the findings. However, the findings indicate a decrease in the systematic risk of the firms. Only a few studies in India investigated this phenomenon in the mandatory regime. Further, the contributions of the study to the CSR literature are fairly useful from the perspective of firms, investors, policy-makers, regulators, scholars, and countries that are planning for legislating CSR.
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Hunjra, Ahmed Imran, Uzma Perveen, Leon Li, Muhammad Irfan Chani i Rashid Mehmood. "Impact of ownership concentration, institutional ownership and earnings management on stock market liquidity". Corporate Ownership and Control 17, nr 2 (2020): 77–87. http://dx.doi.org/10.22495/cocv17i2art7.
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Ownership structure plays a vital role in stock market liquidity. We analyze the impact of ownership concentration, institutional ownership and earnings management on stock market liquidity. We select 114 firms from manufacturing sector of Pakistan, India, Australia and Singapore. We extract data from DataStream from 2010 to 2018 of selected countries. We apply Generalized Method of Moments (GMM) to analyze the data. We find that ownership concentration, institutional ownership and earnings management significantly affect the stock market liquidity.
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Goswami, Chandana. "How Does Internet Stock Trading in India Work?" Vikalpa: The Journal for Decision Makers 28, nr 1 (styczeń 2003): 91–98. http://dx.doi.org/10.1177/0256090920030108.
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Internet trading started in India on 1st April 2000 with 79 members seeking permission to do so. Geojit Securities was the first to go online. On 1st February 2000, the National Stock Exchange (NSE) opened up the internet-based trading system for its members, the first stock exchange in India to do so. However, after two years of trading, only a dozen brokers continue offering online service. The SEBI Committee on Internet-based Securities Trading and Services has allowed the net to be used as an Order Routing System (ORS) through registered stockbrokers on behalf of their clients for execution of transactions. This paper aims at understanding the needs of the customers, comparing it with the offerings of the websites, identifying the gaps, and offering possible solutions for filling up the gaps. It is revealed that: Online traders took buying decisions on their own. A few backed it up by analysts' recommendations. Those who took decisions independently claimed to go through the websites, did fundamental and technical analysis, watched the trends, and then finally made a decision. No one solely followed brokers' recommendations blindly. Well-educated people in their 30s and 40s, who were highly informed and also knew how to tap sources of information, took decisions on their own and did not depend upon the broker. They were self-directed traders. The major perceived benefit of online system was its convenience. The broker's reliability followed by the execution speed was the key to logging on to a website. An analysis of the Indian sites indicated that they were mainly promotional and provisional in nature. Provisional information about stock quotes, database searches, research reports, etc. were provided in the site empowering the user to take independent decisions. Promotional activities in the form of facilities locator, educational forums, web designs, demos, etc. had lured many to visit their sites but whether this had converted into online clients could not be confirmed from the results of this study. Indian websites offered a basic plain package with lot of scope remaining for value addition. Excluding the technical and legal aspects over which the e-finance service providers did not have much control, certain value additions could be done on the existing websites. Moreover, the Indian investors having access to the foreign websites were quite well versed with what was being offered by the American counterparts and hence they were highly demanding customers. The following services could make Indian sites more attractive to customers: Interactive counselling Customer care centre Investment tips Warning systems Extended hours trade Account management Inter-organizational alliances.
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Smith, Stephen C. "Programmes for Codetermination and Employee Stock Ownership in India". Economic and Industrial Democracy 9, nr 1 (luty 1988): 121–28. http://dx.doi.org/10.1177/0143831x8891007.
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Khurshid, Muzammil, i Berna Kirkulak-Uludag. "Shock and volatility spillovers between oil and emerging seven stock markets". International Journal of Energy Sector Management 15, nr 5 (5.04.2021): 933–48. http://dx.doi.org/10.1108/ijesm-02-2020-0014.
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Purpose This study aims to examine the volatility spillover effects between oil and stock returns in the emerging seven economies. Design/methodology/approach In this study, the Granger causality test and vector autoregression-generalized autoregressive conditional heteroskedasticity approach to analyze the volatility spillover from 1995 to 2019 were used. The findings provide evidence of significant volatility spillover between oil and Brazil, China, India, Indonesia, Mexico, Russia and Turkey (E7) stock markets. Findings All emerging seven stock markets exhibit positive and low constant conditional correlations with oil assets. The magnitude of the correlation changes in respond to the country’s net position in the crude oil market. While a relatively high level of correlation exists between oil and the stock markets of net oil-exporting countries, a relatively low level of correlation exists between oil and the stock markets of net oil-importing countries. Originality/value The findings suggest that oil asset improves the risk-adjusted performance of a well-diversified portfolio of stocks. However, investors should invest a larger portion of their portfolios in E7 stock markets than in oil.
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Padmanabhan, P. A. "Do Demerger Announcements Impact Shareholders Wealth? An Empirical Analysis Using Event Study". Vision: The Journal of Business Perspective 22, nr 1 (4.02.2018): 22–31. http://dx.doi.org/10.1177/0972262917750233.
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Corporate restructuring has been on an increasing trend in India over the past two decades, and demergers are emerging as one of the important forms of corporate restructuring. While there is extensive literature on demergers abroad, there is limited literature on demergers in the Indian context. In this study, the impact of demerger announcements on shareholders’ wealth is analysed using event study. Demerger announcements made by 63 companies spread over 11 years from 2003 to 2014 are taken up for the study. Two different models, namely, mean-adjusted returns model and market model, are applied. Log returns are used in the study. The efficiency of the Indian stock market is also tested in the study. The results show positive abnormal returns during the event window under both mean-adjusted returns model and market model. The results also indicate that the Indian stock market exhibits semi-strong form efficiency.
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Gurnani, Vandana, Prem Singh, Pradeep Haldar, Mahesh Kumar Aggarwal, Kiran Agrahari, Satabdi Kashyap, Shreeparna Ghosh i in. "Programmatic assessment of electronic Vaccine Intelligence Network (eVIN)". PLOS ONE 15, nr 11 (5.11.2020): e0241369. http://dx.doi.org/10.1371/journal.pone.0241369.
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eVIN is a technology system that digitizes vaccine stocks through a smartphone application and builds the capacity of program managers and cold chain handlers to integrate technology in their regular work. To effectively manage the vaccine logistics, in 2015, this technology was rolled-out in 12 states of India. This study assessed the programmatic usefulness of eVIN implementation in the areas of vaccine utilization, vaccine stock and distribution management and documentation across selected cold chain points. A pre-post study design was used, where cold chain points (CCPs) were selected using two-stage sampling technique in eVIN states. Pre-post comparative analysis was carried out on the identified indicators using both primary and secondary data sources. The vaccine utilization data reflects that the utilization had reduced from 305.3 million doses in pre-eVIN period to 215.0 million doses in post-eVIN period across 12 eVIN states, resulting into savings of approximately 90 million doses of vaccines. Number of facilities having stock-out of any vaccine showed a significant reduction by 30.4% in post-eVIN period (p<0.001). There was a 4.0% drop in facilities reporting minimum stock of any vaccine after implementation of eVIN. Facilities with maximum stock of any vaccine had increased from 37.4% in pre-eVIN to 39.2% in post-eVIN. During the pre-eVIN period, only 38.6% facilities updated vaccine stock on a daily basis, while in post-eVIN period, 53.5% facilities updated vaccine stock on daily basis. The completeness of records in the vaccine stock registers, indent form and temperature logbook have been substantially improved in the post-eVIN period (p<0.001). eVIN had helped in streamlining the vaccine flow network and ensured equity through better vaccine management practices. It is a powerful contribution to strengthen the vaccine supply chain and management. Upscaling eVIN in the remaining states of India will be crucial in improving the efficacy of vaccines and cold chain management.
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Kumari, Jyoti, i Jitendra Mahakud. "Investor Sentiment and Stock Market Volatility: Evidence from India". Journal of Asia-Pacific Business 17, nr 2 (2.04.2016): 173–202. http://dx.doi.org/10.1080/10599231.2016.1166024.
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Keshari, Aditya, Amit Gautam i Vishal Kumar Singh. "Integrated Spillover Effect of Cross-Listed Stock Markets on the Indian Equity Market". Purushartha - A Journal of Management Ethics and Spirituality 15, nr 01 (10.07.2022): 110–17. http://dx.doi.org/10.21844/16202115108.
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The increased integration due to cross-listing leads to the volatility spillover effect on the domestic market posing from the cross-listed global indices viz., Nifty 50 from India, Luxx 100 from Luxembourg, NASDAQ from the US, and FTSE_Aim 100 from the UK. Johansen Co-integration test is applied to check the level of integration, which is further checked by multivariate granger causality showing the causality pattern among the indices. GARCH (1,1) model is applied to examine the volatility spillover effect on the Indian Stock Market. The findings suggest that the series are co-integrated with one vector ‘v,’ which is confirmed by the Trace and Max-Eigen Test. The Multivariate Granger Causality test confirms the bivariate causal pattern between India and US markets, implying the dual effect. In contrast, the Luxembourg market is relatively exogenous, which gives investors an opportunity for portfolio diversification. ARCH term is significant in the GARCH (1,1) model showing that the past innovation in the time series leads to the present fluctuation in the Indian stock market. Also, the results show a significant spillover effect from the US and UK markets. Thus, this will assist the investors that by concentrating on the movement of these markets, they can take specific actions regarding portfolio management.
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Hossain, Mohammed. "The extent of compliance of corporate governance disclosure: evidence from Indian banking companies". Corporate Ownership and Control 5, nr 4 (2008): 440–51. http://dx.doi.org/10.22495/cocv5i4c4p3.
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The study examines the compliance of mandatory corporate governance disclosure of the Indian banking companies. The Securities and Exchange Board of India (SEBI) made it mandatory for all listed firms to provide a Corporate Governance Report in a separate section in the Annual Report. The paper has empirically identified the level of compliance of the mandatory disclosure in the corporate governance reporting under the suggested list provided by SEBI and also assessed whether the corporate attributes affect the levels of corporate governance disclosure. The study covered all the 38 banks in India that are listed on the Bombay Stock Exchange (BSE) and the National Stock Exchange(NSE). We have identified 46 items of information as mandatory and for inclusion in the disclosure index, and run a linear regression model to examine the relationship between disclosure index and various corporate attributes. The findings revealed that a high level of compliance existed in the Indian banks and that the variables of size, ownership, board composition, and profitability, have significant impact in the corporate governance disclosure
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Saxena, Punita, Ratnesh R. Saxena i Deepak Sehgal. "Efficiency evaluation of the energy companies in CNX 500 Index of the NSE, India using data envelopment analysis". Benchmarking: An International Journal 23, nr 1 (1.02.2016): 113–26. http://dx.doi.org/10.1108/bij-08-2014-0074.
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Purpose – Data envelopment analysis (DEA) is a non-parametric technique of computing efficiencies of decision-making units using similar set of inputs to give similar set of outputs. The objective is to pick out inefficient units from a data set of similar units and thus analyse their performance amongst their peer group. Stock markets can be considered to be an economy’s barometer. Thus, evaluation of efficiency effectiveness of the companies operating at stock exchange is a valuable exercise. Further, if the inefficient units can be given a benchmark for improvement, they can increase their market value. The purpose of this paper is to evaluate the efficiencies of the Oil, Gas and Power (OGP) sector of India for the companies that form a part of the CNX Energy Index and CNX 500 Index of the National Stock Exchange of India. Design/methodology/approach – A group of 24 units has been included in the study. DEA was applied for ranking the units as per their efficiency levels by computing their technical, pure technical and scale efficiencies (SE). It was observed that only nine units are efficient and the remaining 15 were inefficient. It was observed that ONGC is the most efficient unit and CESC Ltd is the least efficient unit in this group. Also in this group there are ten units that show inefficiency due to their scales of operations. Further, benchmarking for the inefficient units has also been done in terms of inputs/outputs and the targets are suggested. It was observed that some of the Public Sector Companies like NTPC are using more inputs compared to the other units from the same group for achieving the same efficiency. Findings – The present study attempted a limited objective of establishing the technical, pure technical and scale inefficiencies of the companies operating in OGP sector in India and listed on National Stock Exchange with the help of the non-parametric technique of DEA and suggesting how they can strive to improve their performance. It is observed that 37.5 per cent are technically efficient as well as scale efficient, whereas 62.5 per cent are pure technically efficient. There are 42 per cent companies representing approximately half of the output and more than half of the input that have scale inefficiencies characterized by their PTE less than SE. Out of the efficient companies, ONGC appears to be the best whereas Essar Oil has a comparatively lower rank. Out of the inefficient companies, the worst performer is CESC Ltd. However, inspite of being the worst performer, this unit does not have the worst benchmarking targets. The units like Sterlite technologies and KSK energy ventures need to improve their profit by almost 1,000 per cent. These kind of targets are very difficult to attain. Hence these units need to improve their scale of operation. The managers of these units must take up this issue seriously and take measures to improve their productivity. The study also attempted benchmarking where various inefficient units have been suggested targets they need to scale to improve their efficiency. If addressed, they can have micro as well as macro benefits. Research limitations/implications – In the present paper, the analysis is restricted only to the OGP sector of Indian economy. The study can be further extended to various other sectors of Indian economy such as agriculture, telecommunications etc. This would help in the holistic analysis of the economy. The flag bearer efficient units would set up a benchmark for the improvement to the inefficient units that would help improve the developing economy of India. Originality/value – An increase in productivity is the most crucial management objective for any industry. Assessing the performance of companies listed and traded in stock market is imperative for investors and financial managers. Researchers have widely studied the performance evaluation of listed companies. Establishing efficiency of stock markets as a whole as well as of the constituent companies has been subject of wide research, but to the understanding no study has been done on evaluating the efficiencies of the OGP sector of India. In the present study the authors have concentrated on companies, out of the universe of energy companies operating in India, which form part of the CNX Energy Index and CNX 500 Index of the National Stock Exchange of India. The reason is that they represent the Indian energy market pretty well.
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Mishra, Supriti, i Pitabas Mohanty. "Corporate governance as a value driver for firm performance: evidence from India". Corporate Governance 14, nr 2 (1.04.2014): 265–80. http://dx.doi.org/10.1108/cg-12-2012-0089.
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Purpose – The study aims to examine corporate governance issues in India and establish the relationship between corporate governance and financial performance. Design/methodology/approach – The sample comprises 141 companies belonging to the “A” group stocks listed in the Mumbai Stock Exchange of India. Considering the institutional uniqueness in India, a composite measure of corporate governance is developed comprising three indicators – legal, board and proactive indicators. Data on the three indicators and financial performance were procured from secondary sources. In the step-wise multiple regression analysis, the influence of these three indicators and the composite measure of corporate governance was examined on firm performance after controlling the confounding effects of firm size. Findings – The board and the proactive indicators influence the firm performance significantly whereas legal compliance indicator does not do so. The composite corporate governance measure is a good predictor of firm performance. Originality/value – This study has two contributions: one, it proposes a composite measure of corporate governance considering the unique institutional characteristics of the Indian economy. Two, the study establishes the predictability of the new measure of corporate governance on firm performance as a tool to boost investors' confidence and financial health of firms.
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Lorraine Rayelle Gomes i Juao C. Costa. "IFRS Convergence and Value Relevance of Accounting Information: Evidence from Indian Financial Reporting". International Journal of Business and Society 23, nr 3 (19.12.2022): 1482–98. http://dx.doi.org/10.33736/ijbs.5176.2022.
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International studies have recorded evidences of improved accounting information attributed to the adoption of International Financial Reporting Standards (IFRS). The concurrent literature is however, scant in India. This study is one of the first of its kind to explore value relevance in the context of financial reporting for a large sample in India since IFRS convergence. The paper examines the value relevance of financial reporting of firms listed on the National Stock Exchange (NSE) in India by employing the Ohlson, (1995) Price Model. It aims to identify whether fundamental accounting variables like book value per share (BVPS) and earnings per share (EPS) are more value relevant after the IFRS converged Indian Accounting Standards (IndAS) became mandatory for listed firms. The hypotheses are tested using multivariate panel regressions on the annual data of 910 listed firms from 2013-14 to 2018-19 – resulting in 5460 observations – to include the pre and post mandatory convergence periods. The study documents a statistically significant association between stock prices of our sample firms and their key accounting variables (BVPS and EPS) along with an increase in the explanatory power of the model during the post mandatory convergence period.