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Статті в журналах з теми "National Stock Exchange NATIONAL STOCK EXCHANGE (NSE)"
1
Shah, Bansi Rajnikant. "A Comparative Study of Bombay Stock Exchange (BSE) and National Stock Exchange (NSE)." International Journal of Scientific Research 1, no. 7 (June 1, 2012): 26–31. http://dx.doi.org/10.15373/22778179/dec2012/11.
Повний текст джерела
2
SAMADDER, SWETADRI, KOUSHIK GHOSH, and TAPASENDRA BASU. "FRACTAL ANALYSIS OF PRIME INDIAN STOCK MARKET INDICES." Fractals 21, no. 01 (March 2013): 1350003. http://dx.doi.org/10.1142/s0218348x13500035.
Повний текст джерелаАнотація:
The purpose of the present work is to study the fractal behaviour of prime Indian stock exchanges, namely Bombay Stock Exchange Sensitivity Index (BSE Sensex) and National Stock Exchange (NSE). To analyze the monofractality of these indices we have used Higuchi method and Katz method separately. By applying Mutifractal Detrended Fluctuation Analysis (MFDFA) technique we have calculated the generalized Hurst exponents, multifractal scaling exponents and generalized multifractal dimensions for the present indices. We have deduced Hölder exponents as well as singularity spectra for BSE and NSE. It has been observed that both the stock exchanges are possessing self-similarity at different small ranges separately and inhomogeneously. By comparing the multifractal behaviour of the BSE and NSE indices, we have found that the second one exhibits a richer multifractal feature than the first one.
3
Kotha, Kiran Kumar, and Shreya Bose. "Dynamic Linkages between Singapore and NSE listed NIFTY Futures and NIFTY Spot Markets." Journal of Prediction Markets 10, no. 2 (January 27, 2017): 1–13. http://dx.doi.org/10.5750/jpm.v10i2.1253.
Повний текст джерелаАнотація:
This study examines the dynamic linkages of Nifty stock index and Nifty index futures contract traded on the home market, National Stock Exchange (NSE) and on the off-shore market, Singapore Stock Exchange (SGX). The study uses daily closing prices of the Nifty index and the Nifty futures contract traded on both the exchanges for the period July 15, 2010 to July 15, 2016. The study finds a causality running from the returns of the spot market to the returns from the Nifty futures market in both the exchanges, NSE and SGX, with the help of Vector Error Correction model and Granger causality test. Variance Decomposition and Impulse Response Analysis also confirm that the spot market is the leading market in price discovery, making it the most efficient amongst others.
4
Malhotra, Nidhi, Kamini Tandon, and Deepak Tandon. "Testing Weak Form of Efficient Market Hypothesis: Evidence from Bombay Stock Exchange (BSE) & National Stock Exchange (NSE)." Asian Journal of Research in Social Sciences and Humanities 5, no. 6 (2015): 178. http://dx.doi.org/10.5958/2249-7315.2015.00144.6.
Повний текст джерела
5
Agrawal, Ashita, Pitabas Mohanty, and Navindra Kumar Totala. "Does EVA Beat ROA and ROE in Explaining the Stock Returns in Indian Scenario? An Evidence Using Mixed Effects Panel Data Regression Model." Management and Labour Studies 44, no. 2 (April 25, 2019): 103–34. http://dx.doi.org/10.1177/0258042x19832397.
Повний текст джерелаАнотація:
We study a panel data of 1,700 Indian firms listed in either National Stock Exchange (NSE) or Bombay Stock Exchange (BSE) for the period 2001 to 2016 to see if economic value added (EVA) explains the annual stock returns of these Indian firms better than return on assets (ROA) and return on equity (ROE). Using mixed effect model, we find that EVA does explain the annual stock returns of these Indian firms better than ROA and ROE.
6
Dhamija, Sanjay, and Ravinder Kumar Arora. "Initial and After-market Performance of SME IPOs in India." Global Business Review 18, no. 6 (September 4, 2017): 1536–51. http://dx.doi.org/10.1177/0972150917713081.
Повний текст джерелаАнотація:
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.
7
Selvam, M., G. Indhumathi, and J. Lydia. "Impact on Stock Price by the Inclusion to and Exclusion from CNX Nifty Index." Global Business Review 13, no. 1 (January 17, 2012): 39–50. http://dx.doi.org/10.1177/097215091101300103.
Повний текст джерелаАнотація:
Changes in an index are a regular phenomenon and they take place due to the inclusion and exclusion of stocks from the index. The inclusion or exclusion of stocks creates great impact on the value of the firm. However, these changes are simply a short-lived event with no permanent valuation effect. The present research study analyzed the impact of the inclusion into and exclusion of certain stocks from National Stock Exchange (NSE) S&P CNX Nifty index with Indian perspective. The study provides evidence on whether the announcements of Nifty index maintenance committee have any information content. This will also demonstrate the efficiency of Indian stock market with particular reference to NSE. The study revealed that on an average, no permanent effects were observed on stock prices. It is also found from the study that the NSE reacted unfavourably to the inclusion and exclusion of stocks and it is impossible to earn any excess returns where the particular stocks are included or excluded from the index.
8
Bagade, Mr Ketan, and Prof Varsha Bhosale. "Artificial Intelligence based Stock Market Prediction Model using Technical Indicators." International Journal of Innovative Technology and Exploring Engineering 11, no. 6 (May 30, 2022): 34–39. http://dx.doi.org/10.35940/ijitee.f9915.0511622.
Повний текст джерелаАнотація:
The indian stock market is highly volatile and complex by nature. However, notion of stock price predictability is typical, many researchers suggest that the Buy & Sell prices are predictable and investor can make above-average profits using efficient Technical Analysis (TA).Most of the earlier prediction models predict individual stocks and the results are mostly influenced by company’s reputation, news, sentiments and other fundamental issues while stock indices are less affected by these issues. In this work, architecture of project is given.As a part of prediction model the Long Short-Term Memory (LSTM), Support Virtual Machine (SVM) are used to predict future prices Stock Technical Indicators(STIs) are used to generate a buy sell signals. The project will be carried on National Stock Exchange (NSE) Stocks of India.
9
Manickam, Tamilselvan, and R. Madhumitha. "Random Walk Investigation in Indian Market with special reference to S&P Nifty – Fifty Stocks." International Journal of Finance & Banking Studies (2147-4486) 4, no. 4 (October 21, 2015): 52–61. http://dx.doi.org/10.20525/ijfbs.v4i4.40.
Повний текст джерелаАнотація:
The competence of a financial system is entirely depending upon the stock market efficiency. The gradual growth of equity investor’s participation is inevitable to enrich the overall growth of emerging economies.Hence the necessity is felt to provide an empirical support to the investing community. For the purpose, this study attempts to examine the weak-form efficiency of Indian stock market – National Stock Exchange (NSE). The study has used the daily closing price of the Nifty fifty stocks from 3rdJanuary 2011 to 24thApril 2015. To test the weak form efficiency both parametric and non-parametric tests called Autocorrelation, Augmented Dicky Fuller test, and Runs Test were performed. The study reveals that 39 stocks of NSE-Nifty Fifty are found to be weak form inefficient, so that the investors can formulate trading strategies to gain abnormal returns. The Index and 10 stocks are found to be weak form efficient during the study period since the price series found to be autocorrelation existence.
10
Shacheendran, V. "Dematerialisation of Securities in Indian Capital Market; A Paradigm Shift through Depository System." Shanlax International Journal of Commerce 8, no. 3 (July 1, 2020): 29–32. http://dx.doi.org/10.34293/commerce.v8i3.3264.
Повний текст джерелаАнотація:
Dematerialization has initiated a new trend in securities trading and settlement. Indian capital market has embraced technological sophistication by permitting electronic trading in securities. Depositors Act, 1996 has facilitated the setting up of depositories and dematerialization of securities. This paper attempts to evaluate the progress of dematerialization in India. For the study, data has been used that of the National Stock Exchange of India Ltd. (NSE), the largest stock exchange in India.
Дисертації з теми "National Stock Exchange NATIONAL STOCK EXCHANGE (NSE)"
1
Camilleri, Silvio J. "Emerging stock market microstructure : empirical studies of the National Stock Exchange of India." Thesis, Loughborough University, 2006. https://dspace.lboro.ac.uk/2134/7891.
Повний текст джерелаАнотація:
This thesis adopts an empirical approach to examine various market microstructure issues, using data from the National Stock Exchange of India (NSE). Whilst the respective empirical analyses may be considered as self-contained investigations, they are primarily linked through the common objective of understanding the mechanics of the pricing process as it occurs on actual markets, using the NSE as exemplar. The first major focus of the dissertation is non-synchronous trading: empirical evidence of nonsynchronicity is obtained by testing for predictability as between indices of different levels of liquidity. A simple test of the analysis of trading-break returns is proposed to infer whether predictability may be mainly attributable to non-synchronous trading or whether it constitutes a delayed adjustment of traders' expectations. The second question tackled in the thesis is whether volatility on the NSE may be considered as justified or excessive. Rathert han adopting the established methodology of comparing stock price changes to information about expected dividends, the research question is split up into two subsidiary ones. The first question is whether volatility is related to information flows, whilst the second related questionc oncernst he relationship betweenv olatility and returns. Three sources of excessive volatility are pin-pointed. Monday effects are found in index data but not in the underlying stocks-indicating index fluctuations which are not information-related. A second indicator of excessive price movements is the pronounced volatility which coincides with the fiscal year end of quoted companies but which is not accompanied by a similar increase in long-term returns. A third indication of unjustified price fluctuations is that volatility seems unrelated to returns when considering a long-term time series. The third topic of the thesis relates to the efficacy of opening and closing call auctions. This issue may be considered as the crux of the dissertation and it is tackled by analysing the effects of the suspension of a call auction system on NSE. Changes in volatility, efficiency and liquidity following the suspension are analysed, and an event study is presented. The relationship between call auctions and long-term volatility is also investigated. The findings suggest that the expected benefits of call auctions may not always materialise, possibly due to an inappropriately structured auction, or because a liquidity threshold for stocks must be surpassed for the expected benefits to accrue.
2
Baggio, Isacco <1987>. "The microstructure of stock and futures market on the National Stock Exchange of India." Master's Degree Thesis, Università Ca' Foscari Venezia, 2013. http://hdl.handle.net/10579/2360.
Повний текст джерелаАнотація:
L'elaborato propone uno studio del comportamento degli investitori attivi sul mercato azionario e su quello dei futures della borsa indiana NSE National Stock Exchange, una delle principali piattaforme di e-trading del mondo per numero di scambi. Attraverso l'analisi delle scelte di investimento dei traders nel periodo compreso tra l'inizio di aprile 2006 e la fine del mese di giugno dello stesso anno, la tesi intende approfondire le dinamiche relative alla liquidità e il ruolo dei grandi investitori nel condizionare l'andamento delle transazioni. L'analisi derivante dall'applicazione di misure di liquidità del mercato e lo studio delle frequenze di trading, dei volumi e dei profitti ottenuti dagli investori permettono di evidenziare alcune delle dinamiche che governano i mercati finanziari. Lo studio è stato condotto sull'andamento del trading su un singolo asset scambiato presso NSE National Stock Exchange of India.
3
Smith, Brendan Kent. "Evaluating the economic impact of national sporting performance : evidence from the Johannesburg Stock Exchange." Thesis, Stellenbosch : University of Stellenbosch, 2009. http://hdl.handle.net/10019.1/941.
Повний текст джерелаАнотація:
Thesis (MBA (Business Management))--University of Stellenbosch, 2009.ENGLISH ABSTRACT: This research report examines stock market reactions to sudden changes in investor mood. The motivation for the study is the large volume of psychology and finance research showing that investor mood is affected by various non-economic or economically-neutral phenomena. Previous research has provided strong evidence of a link between the outcome of international sporting results, particularly soccer, and investor mood. This report examines the impact of South Africa's national soccer, rugby and cricket teams' performances in international matches on returns on the Johannesburg Stock Exchange (JSE). Match results constitute a mood proxy variable hypothesised to affect stock returns through its influence on investor mood. The unconditional mean return on the JSE All Share index for a 13 ½ year period from September 1995 to February 2009 was compared to the mean return after wins, draws and losses by the national sport teams. An event study approach was followed and four different statistical tests were conducted in order to test for a relationship. The results of the tests indicate the existence of a moderate win effect, with mean returns after wins being statistically significantly higher for all sports combined, cricket and soccer. The report concludes that there is some evidence of a relationship between sporting success and stock returns.
AFRIKAANSE OPSOMMING: Hierdie navorsingsverslag ondersoek die reaksie van die aandelebeurs op skielike veranderings in beleggersentiment. Die motivering vir die studie is die aansienlike volume sielkundige en finansiële navorsing wat toon dat beleggersentiment beïnvloed word deur verskeie nie-ekonomiese of ekonomies-neutrale verskynsels. Vorige navorsing het sterk getuienis verskaf van 'n verband tussen die uitkoms van internasionale sportresultate, veral sokker, en beleggersentiment. Hierdie verslag ondersoek die impak van Suid Afrika se nasionale sokker-, rugby- en krieketspanne se prestasies in internasionale wedstryde op opbrengste op die Johannesburg Effektebeurs (JEB). Wedstryduitslae verteenwoordig 'n sentimentsveranderlike met die hipotese dat dit aandeeloprengste sal beïnvloed deur die uitslae se invloed op beleggersentiment. Die onvoorwaardelike gemiddelde oprengs op die JEB All Aandele-index vir 'n 13 ½ jaar periode van September 1995 to Februarie 2009 is vergelyk met die gemiddelde oprengs na oorwinings, nederlae en gelykopuitslae van die drie nasionale spanne. 'n Gebeurtenisstudie-benadering is gevolg en vier verskillende statistiese toetse is uitgevoer om te toets vir 'n verband. Die resultate van die toetse dui op die bestaan van 'n matige oorwiningseffek met gemiddelde oprengste na oorwinnings wat statisties wesenlik hoër is vir alle sportsoorte gekombineerd, krieket en sokker. Die verslag kom tot die gevolgtrekking dat daar wel getuienis is van 'n verband tussen sportsuksesse en aandeeloprengste.
4
Chisadza, Moses W. "The role of cross-listings in establishing a SADC regional stock exchange." Thesis, uwc, 2013. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_4766_1380708510.
Повний текст джерела
5
Kinuthia, Wanyee. "“Accumulation by Dispossession” by the Global Extractive Industry: The Case of Canada." Thèse, Université d'Ottawa / University of Ottawa, 2013. http://hdl.handle.net/10393/30170.
Повний текст джерелаАнотація:
This thesis draws on David Harvey’s concept of “accumulation by dispossession” and an international political economy (IPE) approach centred on the institutional arrangements and power structures that privilege certain actors and values, in order to critique current capitalist practices of primitive accumulation by the global corporate extractive industry. The thesis examines how accumulation by dispossession by the global extractive industry is facilitated by the “free entry” or “free mining” principle. It does so by focusing on Canada as a leader in the global extractive industry and the spread of this country’s mining laws to other countries – in other words, the transnationalisation of norms in the global extractive industry – so as to maintain a consistent and familiar operating environment for Canadian extractive companies. The transnationalisation of norms is further promoted by key international institutions such as the World Bank, which is also the world’s largest development lender and also plays a key role in shaping the regulations that govern natural resource extraction. The thesis briefly investigates some Canadian examples of resource extraction projects, in order to demonstrate the weaknesses of Canadian mining laws, particularly the lack of protection of landowners’ rights under the free entry system and the subsequent need for “free, prior and informed consent” (FPIC). The thesis also considers some of the challenges to the adoption and implementation of the right to FPIC. These challenges include embedded institutional structures like the free entry mining system, international political economy (IPE) as shaped by international institutions and powerful corporations, as well as concerns regarding ‘local’ power structures or the legitimacy of representatives of communities affected by extractive projects. The thesis concludes that in order for Canada to be truly recognized as a leader in the global extractive industry, it must establish legal norms domestically to ensure that Canadian mining companies and residents can be held accountable when there is evidence of environmental and/or human rights violations associated with the activities of Canadian mining companies abroad. The thesis also concludes that Canada needs to address underlying structural issues such as the free entry mining system and implement FPIC, in order to curb “accumulation by dispossession” by the extractive industry, both domestically and abroad.
6
SINGH, RAJDEEP. "INITIAL LISTING PERFORMANCE OF IPO LISTED ON NSE." Thesis, 2018. http://dspace.dtu.ac.in:8080/jspui/handle/repository/16547.
Повний текст джерелаАнотація:
One of the finest form of raising capital for any company is by selling its’ shares in the
capital market and it is generally done by going public and raising initial public offerings (IPOs).
The IPOs are generally sold to public at a price which is significantly lesser than the first day
trading price, thereby leading to underpricing which at times becomes a costly affair for the
companies. The pricing of the IPOs is of significant importance in majority or almost all equity
markets. This has ultimately led to researches on the short and long run performance of the IPOs.
The market anomaly so caused by the IPOs comes not only with high returns but also with the
high risk prevailing in them. The major types of market anomalies with respect to IPOs are
underpricing, hot issue markets and long run performance. It has been found that there is
significant amount of underpricing in the Indian primary market and consequently a substantial
initial return in the secondary market.
7
Joshi, Manisha. "Impact Of Option Introduction On Different Characteristics Of Underlying Stocks In NSE, India." Thesis, 2006. https://etd.iisc.ac.in/handle/2005/467.
Повний текст джерелаАнотація:
Financial Derivatives are one of the most popular and emerging innovations in the field of financial engineering. Since their inception, there has been a phenomenal growth in the volumes of derivatives traded all over the world. Financial markets are known to be extremely volatile and derivatives provide a way of eliminating or reducing the risks involved in these markets. Since these instruments derive their value from some underlying asset, trading in these instruments is bound to affect the underlying assets. Thus it becomes important to examine what these effects are and whether they have been favourable or detrimental to the underlying stock markets specially when there has been an explosive growth of these financial derivatives all over the world. This issue
gains more importance in the case of emerging markets like India as they try to be more competitive and efficient as the developed Western markets. This thesis mainly deals with looking at this impact on the Indian stock markets. The Indian markets still being very new in this area, not many studies have been reported here related to this issue. The main focus of this thesis is to provide some more evidence on the impact of one kind of derivative instrument, namely options on different characteristics of underlying stocks in the Indian stock market.
The thesis has the following objectives:
• To examine the impact of option introduction on the price of underlying
stocks in National Stock Exchange (NSE).
• To examine the impact of option introduction on the volatility of underlying stocks in NSE
• To examine the impact of option introduction on liquidity of underlying
stocks in NSE
NSE introduced derivatives beginning with index futures on June 12, 2000, followed by index options on June 4, 2001, options on individual securities on July 2, 2001 and finally futures on individual securities on November 9, 2001. Due to the temporal proximity of the introduction of index options and individual options, there exists a possibility of an interaction of these two effects. This problem is solved by a judiciously chosen sampling design. In particular, three groups of stocks are considered. The first group consists of stocks on which options were first introduced on 2nd July 2001 and thus would exhibit a combined effect of the two events if any. The second group consists of stocks on which options were introduced much later and therefore would show effects of
individual option introduction if any. The third group comprises of nonoptioned stocks whose returns are considered around the date of index option introduction and thus would show effects of index option alone if any. To
separate the two effects an ANOVA/ Logistic Regression model is used. An objective selection of the event and estimation windows is done using a Bayesian Change Point Analysis.
The first part of the thesis looks at the effect of option introduction on the price of
underlying stocks. A standard event study methodology as has been used in the
literature is employed for this purpose. The study does not find any significant effect of option introduction on the prices.
The second part of the thesis deals with the effect on volatility. Volatility is
measured as the risk of a stock and as is done in the literature, three kinds of risk
are looked at: total risk, systematic risk and the unsystematic risk. In case of the
total risk, an F-test and an Ansari Bradley test is used to check for changes in the
variance and scale parameters of market-adjusted continuously compounded returns of the stocks before and after option introduction. The results of these tests are recorded as a categorical variable taking on the value 0 for no change and 1 for a change and a Binomial Logistic Regression is used to separate the effects of the two events. Furthermore, after recording the results of the above mentioned tests as a categorical variable with three categories (0, 1, -1), a
Multinomial Logistic Regression is also used in order to estimate the direction of the change (increase, decrease or no change). The ratios of after to before total risks are also analyzed using an ANOVA model. The systematic risk is measured using three kinds of betas – OLS betas, Scholes-Williams betas and Fowler-Rorke betas. The differences in the before and after betas of every stock are modelled using an ANOVA model in order to separate the two effects as well as the interaction effect. The unsystematic risk is estimated by the conditional variances and the unconditional variances of ARMA and ARMA-GARCH models fitted to market model excess returns. The ANOVA model is used here as well. In
addition to this, the before and after ARCH and GARCH coefficients of GARCH (1, 1) models fitted to the excess returns are also compared using the ANOVA model.
The results indicate that individual options are leading to a decline in total risk
however index options are causing an increase in total risk. The interaction effect is significant in this case thereby causing an increase in total risk in the Group I stocks. The OLS betas indicate that individual option introduction seems to have
increased the systematic risk. The Scholes-Williams betas indicate that index option introduction seems to have increased the systematic risk. The Fowler Rorke betas on the other hand, do not show any significant impact of individual option or index option introduction. For all the three betas index options introduction seems to have no effect on the systematic risk. Though the
interaction effect seems to be significant in all the three cases, it however does not significantly affect the systematic risk in Group I stocks. As regards the unsystematic risk, both the conditional and unconditional variances of ARMA models show a significant reduction for individual option introduction but index options do not have any significant impact on either one of these measures. In case of unconditional variances of ARMA-GARCH models, none of the effects
come out as significant. While comparing the news and persistence coefficients of
GARCH (1, 1) models, the news coefficients indicate that the due to index option
introduction, stocks are becoming more efficient in terms of absorbing the news
more rapidly. No significant effect of either event is found on the persistence
coefficients.
The last part of the thesis deals with the liquidity issue. Liquidity has been measured using two measures – relative volume (based on daily data) and implicit bid-ask spread given by Roll (1984) (calculated from intra-day data). In case of the liquidity measures, the Logistic Regression models are used i.e. a categorical variable with two or three categories obtained from the results of a Wilcoxon Rank Sum test for comparing the median volume and spread before
and after option introduction, is used. It is found that for the relative volume,
individual option introduction has led to a favourable effect in terms of increasing the volume post introduction of options; however index options seem to have had a negative effect. As for the spread, index options seem to have had a stabilizing influence on the underlying stocks than the individual options.
8
Joshi, Manisha. "Impact Of Option Introduction On Different Characteristics Of Underlying Stocks In NSE, India." Thesis, 2006. http://hdl.handle.net/2005/467.
Повний текст джерелаАнотація:
Financial Derivatives are one of the most popular and emerging innovations in the field of financial engineering. Since their inception, there has been a phenomenal growth in the volumes of derivatives traded all over the world. Financial markets are known to be extremely volatile and derivatives provide a way of eliminating or reducing the risks involved in these markets. Since these instruments derive their value from some underlying asset, trading in these instruments is bound to affect the underlying assets. Thus it becomes important to examine what these effects are and whether they have been favourable or detrimental to the underlying stock markets specially when there has been an explosive growth of these financial derivatives all over the world. This issue
gains more importance in the case of emerging markets like India as they try to be more competitive and efficient as the developed Western markets. This thesis mainly deals with looking at this impact on the Indian stock markets. The Indian markets still being very new in this area, not many studies have been reported here related to this issue. The main focus of this thesis is to provide some more evidence on the impact of one kind of derivative instrument, namely options on different characteristics of underlying stocks in the Indian stock market.
The thesis has the following objectives:
• To examine the impact of option introduction on the price of underlying
stocks in National Stock Exchange (NSE).
• To examine the impact of option introduction on the volatility of underlying stocks in NSE
• To examine the impact of option introduction on liquidity of underlying
stocks in NSE
NSE introduced derivatives beginning with index futures on June 12, 2000, followed by index options on June 4, 2001, options on individual securities on July 2, 2001 and finally futures on individual securities on November 9, 2001. Due to the temporal proximity of the introduction of index options and individual options, there exists a possibility of an interaction of these two effects. This problem is solved by a judiciously chosen sampling design. In particular, three groups of stocks are considered. The first group consists of stocks on which options were first introduced on 2nd July 2001 and thus would exhibit a combined effect of the two events if any. The second group consists of stocks on which options were introduced much later and therefore would show effects of
individual option introduction if any. The third group comprises of nonoptioned stocks whose returns are considered around the date of index option introduction and thus would show effects of index option alone if any. To
separate the two effects an ANOVA/ Logistic Regression model is used. An objective selection of the event and estimation windows is done using a Bayesian Change Point Analysis.
The first part of the thesis looks at the effect of option introduction on the price of
underlying stocks. A standard event study methodology as has been used in the
literature is employed for this purpose. The study does not find any significant effect of option introduction on the prices.
The second part of the thesis deals with the effect on volatility. Volatility is
measured as the risk of a stock and as is done in the literature, three kinds of risk
are looked at: total risk, systematic risk and the unsystematic risk. In case of the
total risk, an F-test and an Ansari Bradley test is used to check for changes in the
variance and scale parameters of market-adjusted continuously compounded returns of the stocks before and after option introduction. The results of these tests are recorded as a categorical variable taking on the value 0 for no change and 1 for a change and a Binomial Logistic Regression is used to separate the effects of the two events. Furthermore, after recording the results of the above mentioned tests as a categorical variable with three categories (0, 1, -1), a
Multinomial Logistic Regression is also used in order to estimate the direction of the change (increase, decrease or no change). The ratios of after to before total risks are also analyzed using an ANOVA model. The systematic risk is measured using three kinds of betas – OLS betas, Scholes-Williams betas and Fowler-Rorke betas. The differences in the before and after betas of every stock are modelled using an ANOVA model in order to separate the two effects as well as the interaction effect. The unsystematic risk is estimated by the conditional variances and the unconditional variances of ARMA and ARMA-GARCH models fitted to market model excess returns. The ANOVA model is used here as well. In
addition to this, the before and after ARCH and GARCH coefficients of GARCH (1, 1) models fitted to the excess returns are also compared using the ANOVA model.
The results indicate that individual options are leading to a decline in total risk
however index options are causing an increase in total risk. The interaction effect is significant in this case thereby causing an increase in total risk in the Group I stocks. The OLS betas indicate that individual option introduction seems to have
increased the systematic risk. The Scholes-Williams betas indicate that index option introduction seems to have increased the systematic risk. The Fowler Rorke betas on the other hand, do not show any significant impact of individual option or index option introduction. For all the three betas index options introduction seems to have no effect on the systematic risk. Though the
interaction effect seems to be significant in all the three cases, it however does not significantly affect the systematic risk in Group I stocks. As regards the unsystematic risk, both the conditional and unconditional variances of ARMA models show a significant reduction for individual option introduction but index options do not have any significant impact on either one of these measures. In case of unconditional variances of ARMA-GARCH models, none of the effects
come out as significant. While comparing the news and persistence coefficients of
GARCH (1, 1) models, the news coefficients indicate that the due to index option
introduction, stocks are becoming more efficient in terms of absorbing the news
more rapidly. No significant effect of either event is found on the persistence
coefficients.
The last part of the thesis deals with the liquidity issue. Liquidity has been measured using two measures – relative volume (based on daily data) and implicit bid-ask spread given by Roll (1984) (calculated from intra-day data). In case of the liquidity measures, the Logistic Regression models are used i.e. a categorical variable with two or three categories obtained from the results of a Wilcoxon Rank Sum test for comparing the median volume and spread before
and after option introduction, is used. It is found that for the relative volume,
individual option introduction has led to a favourable effect in terms of increasing the volume post introduction of options; however index options seem to have had a negative effect. As for the spread, index options seem to have had a stabilizing influence on the underlying stocks than the individual options.
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Chatterjee, Devlina. "Studies On Some Aspects Of Liquidity Of Stocks : Limit Order Executions In The Indian Stock Market." Thesis, 2010. https://etd.iisc.ac.in/handle/2005/1761.
Повний текст джерелаАнотація:
We study some aspects of liquidity of stocks traded through the National Stock Exchange (NSE) of India.
Initially we examine the multi-dimensional nature of liquidity by conducting day-wise factor analysis of eleven liquidity proxies across a cross-section of stocks, using data from two periods reflecting different market conditions. Five factors emerge consistently, interpretable as depth, spread, volume, price elasticity and relative activity.
Subsequently, we study execution of limit orders in the NSE from three angles.
First we consider order execution probability, using 106 stock-specific logistic models. Important predictors of order execution probability are price premium followed by volatility, relative activity, bid ask spread and order imbalance. Some differences are noted when comparing companies of different sizes and between buy and sell orders.
Second, we study order execution times using survival analysis. Several diagnostic tests indicate that parametric Accelerated Failure Time models using the log-logistic distribution for the survival time S(t) are suitable for current data. 100 stock-specific models are built; results are consistent with the logistic models. Additionally depth is also found to be important.
Finally we build 4 combined models across stocks for both execution probabilities as well as times. These models perform well on out of sample data, suggesting their predictive utility.
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Chatterjee, Devlina. "Studies On Some Aspects Of Liquidity Of Stocks : Limit Order Executions In The Indian Stock Market." Thesis, 2010. http://etd.iisc.ernet.in/handle/2005/1761.
Повний текст джерелаАнотація:
We study some aspects of liquidity of stocks traded through the National Stock Exchange (NSE) of India.
Initially we examine the multi-dimensional nature of liquidity by conducting day-wise factor analysis of eleven liquidity proxies across a cross-section of stocks, using data from two periods reflecting different market conditions. Five factors emerge consistently, interpretable as depth, spread, volume, price elasticity and relative activity.
Subsequently, we study execution of limit orders in the NSE from three angles.
First we consider order execution probability, using 106 stock-specific logistic models. Important predictors of order execution probability are price premium followed by volatility, relative activity, bid ask spread and order imbalance. Some differences are noted when comparing companies of different sizes and between buy and sell orders.
Second, we study order execution times using survival analysis. Several diagnostic tests indicate that parametric Accelerated Failure Time models using the log-logistic distribution for the survival time S(t) are suitable for current data. 100 stock-specific models are built; results are consistent with the logistic models. Additionally depth is also found to be important.
Finally we build 4 combined models across stocks for both execution probabilities as well as times. These models perform well on out of sample data, suggesting their predictive utility.
Книги з теми "National Stock Exchange NATIONAL STOCK EXCHANGE (NSE)"
1
Lithuania, National Stock Exchange of. National Stock Exchange of Lithuania. Vilnius: National Stock Exchange of Lithuania, 1994.
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2
Jeyanthi, B. J. Queensly. A study on National Stock Exchange of India. New Delhi: Serials Publications, 2010.
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3
Jeyanthi, B. J. Queensly. A study on National Stock Exchange of India. New Delhi: Serials Publications, 2010.
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4
A study on National Stock Exchange of India. New Delhi: Serials Publications, 2010.
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5
Jeyanthi, B. J. Queensly. A study on National Stock Exchange of India. New Delhi: Serials Publications, 2010.
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6
King, Mervyn A. Volatility and links between national stock markets. Cambridge, MA: National Bureau of Economic Research, 1990.
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7
King, Mervyn A. Volatility and links between national stock markets. London: London School of Economics, Financial Markets Group, 1993.
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8
Marsh, Terry A. Exchange listing and liquidity: A comparison of the American Stock Exchange with the NASDAQ National Market System. [New York, N.Y.]: American Stock Exchange, 1986.
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9
(India), National Stock Exchange. Fact book 2007: Get the inside perspective of India's largest stock exchange. Mumbai: National Stock Exchange of India, 2007.
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10
Hasbrouck, Joel. The liquidity of alternative market centers: A comparison of the New York Stock Exchange, the American Stock Exchange, and the NASDAQ National Market System. [New York, N.Y.]: American Stock Exchange, 1986.
Знайти повний текст джерелаЧастини книг з теми "National Stock Exchange NATIONAL STOCK EXCHANGE (NSE)"
1
Alexander, Rhoda, and Husam Aldin Al-Malkawi. "The Impact of Macroeconomic Factors on the Nifty Auto Index." In Lecture Notes in Civil Engineering, 11–21. Cham: Springer Nature Switzerland, 2023. http://dx.doi.org/10.1007/978-3-031-27462-6_2.
Повний текст джерелаАнотація:
AbstractThe aim of the paper is to investigate the association between selected macroeconomic variables like crude price, exchange rate, index of industrial production, inflation, interest rate, repo rate, gold price and the auto index of the National Stock Exchange (NSE) of India during a time when the automotive sector in India witnessed the sharpest dip in sales. The study adopts Autoregressive Distributed Lag (ARDL) co-integration approach and performs suitable diagnostic tests. Results indicate that, exchange rate has a significant negative relationship with Nifty auto index in the long run. Additionally, crude price, index of industrial production and repo rates are statistically significant determinants of Nifty auto index. On the contrary, first lag of crude price is found to be a possible predictor of the index in the short run. The study provides important implications for researchers, corporations, portfolio managers, investors, and government. Despite the availability of a large body of literature exploring the association between macro-economic factors and stock market in India, research exploring the association between the former and Indian auto indices has been sparse. Hence, this study is intended to fill this gap in the literature.
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Dhir, Sanjay, and Sushil. "National Stock Exchange of India." In Flexible Systems Management, 163–81. Singapore: Springer Singapore, 2019. http://dx.doi.org/10.1007/978-981-13-7064-9_10.
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3
Venkata Manish Reddy, G., Iswarya, Jitendra Kumar, and Dilip Kumar Choubey. "Time Series Analysis of National Stock Exchange: A Multivariate Data Science Approach." In Soft Computing for Problem Solving, 691–707. Singapore: Springer Nature Singapore, 2023. http://dx.doi.org/10.1007/978-981-19-6525-8_53.
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Kamley, Sachin, Shailesh Jaloree, and Ramjeevan Singh Thakur. "Performance Forecasting of National Stock Exchange of India Using Symbolic Versus Numerical Methodology." In Lecture Notes in Networks and Systems, 185–93. Singapore: Springer Singapore, 2018. http://dx.doi.org/10.1007/978-981-10-8198-9_19.
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Dwivedi, Prabhat G. "Linear Dynamical Model as Market Indicator of the National Stock Exchange of India." In Advances in Applications of Data-Driven Computing, 73–85. Singapore: Springer Singapore, 2021. http://dx.doi.org/10.1007/978-981-33-6919-1_6.
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Agarwal, Megha. "Mean-Variance Quadratic Programming Portfolio Selection Model: An Empirical Investigation of India’s National Stock Exchange." In Developments in Mean-Variance Efficient Portfolio Selection, 101–80. London: Palgrave Macmillan UK, 2015. http://dx.doi.org/10.1057/9781137359926_5.
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Murali, Ranjani. "Analysis of COVID-19 Pandemic and Lockdown Effects on the National Stock Exchange NIFTY Indices." In Cybernetics, Cognition and Machine Learning Applications, 313–21. Singapore: Springer Singapore, 2021. http://dx.doi.org/10.1007/978-981-33-6691-6_35.
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Sihombing, Septiana, Isfenti Sadalia, and Amlys Syahputra Silalahi. "Types I, II, III Agency Problems, Firm Value, and National Governance Quality A Case Study of Indonesian and Singaporean Companies." In Proceedings of the 19th International Symposium on Management (INSYMA 2022), 141–50. Dordrecht: Atlantis Press International BV, 2022. http://dx.doi.org/10.2991/978-94-6463-008-4_19.
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AbstractCorporate governance is mostly studied in developed countries such as the US, UK, and some developed countries in Europe, which focuses on Type I agency problems (shareholder-manager), and there is a dearth of types of agency problems such as type II problems (shareholder-shareholder) and type III problems (shareholder-creditor). Furthermore, the modern financial literature has turned to national governance quality in influencing firm value. So, this research is interested in exploring agency problems I, II, and III affecting firm value with national governance quality as a moderating variable. The research sample was manufacturing companies listed on the Indonesia Stock Exchange and Singapore Exchange from 2016–2020. The findings show that type I agency problem has a significant negative effect and Types I and II agency problem have an insignificant negative effect on firm value in Indonesia. While Types I and II agency problem have a significant negative effect. Still, Type III agency problem has an insignificant negative effect on firm value in Singapore. Moreover, national governance weakens the negative influence of the Type II agency problem on firm value in Singaporean manufacturing companies. Generally, types I, II, and III agency problems give rise to different agency cost levels in companies of a country, so the government needs to reform national governance quality to increase firm value.
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van Langen, Sven Kevin, Rashmi Anoop Patil, and Seeram Ramakrishna. "Insights from ESG Evaluation for Circularity Assessment." In Circularity Assessment: Macro to Nano, 15–34. Singapore: Springer Nature Singapore, 2023. http://dx.doi.org/10.1007/978-981-19-9700-6_2.
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AbstractSustainability and circularity co-exist and both encompass environmental, social, and economic aspects. In the past few years, we have witnessed ESG reporting gaining traction and with it, a fast rise in the market for sustainable finance and development. Developed countries are coming up with regulations governing the ESG reporting standards and performance, which has been a voluntary action so far. Several ESG reporting standards have been developed across the globe, typically containing many metrics related to circularity in both environmental and social aspects. In this chapter, several such global standards are discussed and one national implementation by the Athens stock exchange is detailed. Later in this chapter, current and upcoming regulations regarding ESG reporting in developed countries are provided. The European Union is the most advanced body of regulation on this topic and is covered in more detail. Trends in the sustainable finance and bonds markets are also presented at the end of this chapter, a market that will finance projects and developments towards circularity and sustainability. The chapter concludes with a call to incorporate a clear circularity assessment within ESG reports. Standard definitions of practices considered circular and how to best measure them need to be further developed.
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"Estimating Long-Term Volatility on National Stock Exchange of India." In Emerging Research on Monetary Policy, Banking, and Financial Markets, 229–37. IGI Global, 2019. http://dx.doi.org/10.4018/978-1-5225-9269-3.ch011.
Повний текст джерелаАнотація:
The main objective of this chapter is to provide an elaborate framework on the long-term volatility of the National Stock Exchange of India based on Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. The CNX-100 index is one of the most diversified Indian stock indices which includes over 38 sectors of the economy. This stock index represents about 81.57% of the free-floating market capitalization of stocks listed on the National Stock Exchange (NSE) of India from March 2014. Moreover, this book chapter empirically tested volatility clusters of CNX100 index using a large sample database from October 2007 to July 2014.
Тези доповідей конференцій з теми "National Stock Exchange NATIONAL STOCK EXCHANGE (NSE)"
1
"MARKET RESPONSE TO STOCK SPLITS IN THE NATIONAL STOCK EXCHANGE." In International Conference on Research in Business management & Information Technology. ELK ASIA PACIFIC JOURNAL, 2015. http://dx.doi.org/10.16962/elkapj/si.bm.icrbit-2015.3.
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Kotha, Kiran Kumar. "MIS-PRICING IN SINGLE STOCK FUTURES: EVIDENCE FROM NATIONAL STOCK EXCHANGE OF INDIA." In 43rd International Academic Conference, Lisbon. International Institute of Social and Economic Sciences, 2018. http://dx.doi.org/10.20472/iac.2018.043.023.
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Ulagapriya, Shona, and P. Balasubramanian. "Study on inter sector association rules in national stock exchange, India." In 2015 International Conference on Advances in Computing, Communications and Informatics (ICACCI). IEEE, 2015. http://dx.doi.org/10.1109/icacci.2015.7275718.
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Rajput, G. G., and Bhagwat H. Kaulwar. "A Comparative Study of Artificial Neural Networks and Support Vector Machines for predicting stock prices in National Stock Exchange of India." In 2019 International Conference on Data Science and Communication (IconDSC). IEEE, 2019. http://dx.doi.org/10.1109/icondsc.2019.8816932.
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Patel, Savan K., Jigna B. Prajapati, and Hiral R. Patel. "A Study on Developing Effective Option Trading Strategy On Nifty Index in National Stock Exchange using Data Mining." In 2021 11th International Conference on Cloud Computing, Data Science & Engineering (Confluence). IEEE, 2021. http://dx.doi.org/10.1109/confluence51648.2021.9377179.
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Sava, Lilia, Valentina Tirsu, and Daniel Cristisor. "Activation of attraction processes of investments into national economy through capital market." In 12th International Conference on Electronics, Communications and Computing. Technical University of Moldova, 2022. http://dx.doi.org/10.52326/ic-ecco.2022/mm.03.
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The globalization of the world economy and the integration of the Republic of Moldova into the European Community will require the state to create conditions for sustainable economic development, which is impossible without intensifying investment activity. The problem of attracting massive foreign investment requires improving the capital market in the country. The most important direction in solving this problem is the development of the internal stock market as the most efficient mechanism for redistributing financial resources. Therefore, the stock exchange should contribute at activation of attraction processes of investments in the national economy as a stimulus for future investment activity.
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Singh, Bhupinder, and Santosh Kumar Henge. "A study on trend dependency of the value of national stock exchange with its small cap stocks for effective decision support mechanism." In THE FOURTH SCIENTIFIC CONFERENCE FOR ELECTRICAL ENGINEERING TECHNIQUES RESEARCH (EETR2022). AIP Publishing, 2023. http://dx.doi.org/10.1063/5.0163491.
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Małecka, Joanna. "Alternative Securities Markets as Financing Sources for SMEs – Selected Aspects of AIM and NC." In Contemporary Issues in Business, Management and Education. Vilnius Gediminas Technical University, 2017. http://dx.doi.org/10.3846/cbme.2017.072.
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Small and medium-sized enterprises are the foundation for the development of each contemporary national economy. Their number affects macroeconomic indices of economies and directly translates into the labour market created by SMEs. This article aims to investigate the key conditionings behind the macroeconomic significance and legal factors of the financial market operation in Poland and the UK, with particular emphasis on the stock exchange as the fundamental element of the capital market. Both AIM and NewConnect are platforms dedicated to SMEs, which have been allowed easier access to this capital market segment by minimising mandatory legal conditions. This study analyses the number of listed companies and their capitalisation values in 1999–2015, covering: the rules of the financial market operation, with a special focus on the legal bases of the stock market operation in the economies investigated; legal conditions for the development of this economic segment; and a detailed analysis of the number of participants and capitalisation values achieved on the Warsaw and London Stock Exchanges, in particular AIM and NewConnect. This paper builds on source data from various annual reports and stock exchange publications drawn up and made available by stock exchanges and financial supervisors. The attempt to compare the indices and capacities of the WSE and the NC with the biggest European player is motivated by the fact that the Warsaw Stock Exchange is classified as the largest and most dynamically growing stock exchange in Central and Eastern Europe.
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Kendirli, Selçuk, and Muhammet Çankaya. "Effects of USD Exchange Rate over the Istanbul Stock Market 30 Index and Investigation of the Relationship between Them." In International Conference on Eurasian Economies. Eurasian Economists Association, 2015. http://dx.doi.org/10.36880/c06.01278.
Повний текст джерелаАнотація:
It is known that financial markets have important place in today's economy. Individuals could be evaluated their saving with their own research or they could be evaluated their savings with financial experts recommendations. A large portion of those funds of individual or institutional investors managed are directed to the stock market of the country. When considered in terms of Turkey, Istanbul Stock Exchange is examples for this topic.
The changes in economic data, is influenced to many variables especially the stock market. It is perceived in the market as bad data that the rising in unemployment, the reduction of industrial production, the increases in interest rates and cost of credit, the increase in foreign exchange rates.
In this study, it was investigated the causality of the dollar exchange rate between Istanbul Stock Exchange National 30 Index (BIST-30) with "Granger Causality Test". Monthly values are used including the period of 2009:1 (January of 2009) between period of 2014:12 (December 2014) as data set. We used the first trading day closing values in the calculation of monthly returns for the period. At the end of the study, we couldn’t find any causal relationship between the dollar exchange rate and the BIST-30 Index.
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Darnowska, Magdalena. "International accounting standards in assessing the financial condition of business entities." In Conferința științifică internațională studențească „Provocările contabilității în viziunea tinerilor cercetători”, ediția VII. Academy of Economic Studies of Moldova, 2023. http://dx.doi.org/10.53486/issc2023.33.
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The article describes the impact of International Accounting Standards on the assessment of the financial condition of business entities. In Poland, the provisions of the Accounting Act are mandatory. In the absence of regulations in the Act, the company should be guided by national accounting standards, and only then by International Accounting Standards. However, all companies listed on the stock exchanges of the Member States of the European Union, and thus also on the Warsaw Stock Exchange, must prepare consolidated financial statements in accordance with IFRS. The Polish Accounting Act also imposed this requirement on all banks. For this reason, IAS have a very large impact on the assessment of the financial condition of these entities.
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1
Lazonick, William, and Matt Hopkins. Why the CHIPS Are Down: Stock Buybacks and Subsidies in the U.S. Semiconductor Industry. Institute for New Economic Thinking Working Paper Series, September 2021. http://dx.doi.org/10.36687/inetwp165.
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The Semiconductor Industry Association (SIA) is promoting the Creating Helpful Incentives to Produce Semiconductors (CHIPS) for America Act, introduced in Congress in June 2020. An SIA press release describes the bill as “bipartisan legislation that would invest tens of billions of dollars in semiconductor manufacturing incentives and research initiatives over the next 5-10 years to strengthen and sustain American leadership in chip technology, which is essential to our country’s economy and national security.” On June 8, 2021, the Senate approved $52 billion for the CHIPS for America Act, dedicated to supporting the U.S. semiconductor industry over the next decade. As of this writing, the Act awaits approval in the House of Representatives. This paper highlights a curious paradox: Most of the SIA corporate members now lobbying for the CHIPS for America Act have squandered past support that the U.S. semiconductor industry has received from the U.S. government for decades by using their corporate cash to do buybacks to boost their own companies’ stock prices. Among the SIA corporate signatories of the letter to President Biden, the five largest stock repurchasers—Intel, IBM, Qualcomm, Texas Instruments, and Broadcom—did a combined $249 billion in buybacks over the decade 2011-2020, equal to 71 percent of their profits and almost five times the subsidies over the next decade for which the SIA is lobbying. In addition, among the members of the Semiconductors in America Coalition (SIAC), formed specifically in May 2021 to lobby Congress for the passage of the CHIPS for America Act, are Apple, Microsoft, Cisco, and Google. These firms spent a combined $633 billion on buybacks during 2011-2020. That is about 12 times the government subsidies provided under the CHIPS for America Act to support semiconductor fabrication in the United States in the upcoming decade. If the Congress wants to achieve the legislation’s stated purpose of promoting major new investments in semiconductors, it needs to deal with this paradox. It could, for example, require the SIA and SIAC to extract pledges from its member corporations that they will cease doing stock buybacks as open-market repurchases over the next ten years. Such regulation could be a first step in rescinding Securities and Exchange Commission Rule 10b-18, which has since 1982 been a major cause of extreme income inequality and loss of global industrial competitiveness in the United States.
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Malkinson, Mertyn, Irit Davidson, Moshe Kotler, and Richard L. Witter. Epidemiology of Avian Leukosis Virus-subtype J Infection in Broiler Breeder Flocks of Poultry and its Eradication from Pedigree Breeding Stock. United States Department of Agriculture, March 2003. http://dx.doi.org/10.32747/2003.7586459.bard.
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Objectives 1. Establish diagnostic procedures to identify tolerant carrier birds based on a) Isolation of ALV-J from blood, b) Detection of group-specific antigen in cloacal swabs and egg albumen. Application of these procedures to broiler breeder flocks with the purpose of removing virus positive birds from the breeding program. 2. Survey the AL V-J infection status of foundation lines to estimate the feasibility of the eradication program 3. Investigate virus transmission through the embryonated egg (vertical) and between chicks in the early post-hatch period (horizontal). Establish a model for limiting horizontal spread by analyzing parameters operative in the hatchery and brooder house. 4. Compare the pathogenicity of AL V-J isolates for broiler chickens. 5. Determine whether AL V-J poses a human health hazard by examining its replication in mammalian and human cells. Revisions. The: eradication objective had to be terminated in the second year following the closing down of the Poultry Breeders Union (PBU) in Israel. This meant that their foundation flocks ceased to be available for selection. Instead, the following topics were investigated: a) Comparison of commercial breeding flocks with and without myeloid leukosis (matched controls) for viremia and serum antibody levels. b) Pathogenicity of Israeli isolates for turkey poults. c) Improvement of a diagnostic ELISA kit for measuring ALV-J antibodies Background. ALV-J, a novel subgroup of the avian leukosis virus family, was first isolated in 1988 from broiler breeders presenting myeloid leukosis (ML). The extent of its spread among commercial breeding flocks was not appreciated until the disease appeared in the USA in 1994 when it affected several major breeding companies almost simultaneously. In Israel, ML was diagnosed in 1996 and was traced to grandparent flocks imported in 1994-5, and by 1997-8, ML was present in one third of the commercial breeding flocks It was then realized that ALV-J transmission was following a similar pattern to that of other exogenous ALVs but because of its unusual genetic composition, the virus was able to establish an extended tolerant state in infected birds. Although losses from ML in affected flocks were somewhat higher than normal, both immunosuppression and depressed growth rates were encountered in affected broiler flocks and affected their profitability. Conclusions. As a result of the contraction in the number of international primary broiler breeders and exchange of male and female lines among them, ALV-J contamination of broiler breeder flocks affected the broiler industry worldwide within a short time span. The Israeli national breeding company (PBU) played out this scenario and presented us with an opportunity to apply existing information to contain the virus. This BARD project, based on the Israeli experience and with the aid of the ADOL collaborative effort, has managed to offer solutions for identifying and eliminating infected birds based on exhaustive virological and serological tests. The analysis of factors that determine the efficiency of horizontal transmission of virus in the hatchery resulted in the workable solution of raising young chicks in small groups through the brooder period. These results were made available to primary breeders as a strategy for reducing viral transmission. Based on phylogenetic analysis of selected Israeli ALV-J isolates, these could be divided into two groups that reflected the countries of origin of the grandparent stock. Implications. The availability of a simple and reliable means of screening day old chicks for vertical transmission is highly desirable in countries that rely on imported breeding stock for their broiler industry. The possibility that AL V-J may be transmitted to human consumers of broiler meat was discounted experimentally.
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Payment Systems Report - June of 2021. Banco de la República, February 2022. http://dx.doi.org/10.32468/rept-sist-pag.eng.2021.
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Banco de la República provides a comprehensive overview of Colombia’s finan¬cial infrastructure in its Payment Systems Report, which is an important product of the work it does to oversee that infrastructure. The figures published in this edition of the report are for the year 2020, a pandemic period in which the con¬tainment measures designed and adopted to alleviate the strain on the health system led to a sharp reduction in economic activity and consumption in Colom¬bia, as was the case in most countries. At the start of the pandemic, the Board of Directors of Banco de la República adopted decisions that were necessary to supply the market with ample liquid¬ity in pesos and US dollars to guarantee market stability, protect the payment system and preserve the supply of credit. The pronounced growth in mone¬tary aggregates reflected an increased preference for liquidity, which Banco de la República addressed at the right time. These decisions were implemented through operations that were cleared and settled via the financial infrastructure. The second section of this report, following the introduction, offers an analysis of how the various financial infrastructures in Colombia have evolved and per¬formed. One of the highlights is the large-value payment system (CUD), which registered more momentum in 2020 than during the previous year, mainly be¬cause of an increase in average daily remunerated deposits made with Banco de la República by the General Directorate of Public Credit and the National Treasury (DGCPTN), as well as more activity in the sell/buy-back market with sovereign debt. Consequently, with more activity in the CUD, the Central Securi¬ties Depository (DCV) experienced an added impetus sparked by an increase in the money market for bonds and securities placed on the primary market by the national government. The value of operations cleared and settled through the Colombian Central Counterparty (CRCC) continues to grow, propelled largely by peso/dollar non-deliverable forward (NDF) contracts. With respect to the CRCC, it is important to note this clearing house has been in charge of managing risks and clearing and settling operations in the peso/dollar spot market since the end of last year, following its merger with the Foreign Exchange Clearing House of Colombia (CCDC). Since the final quarter of 2020, the CRCC has also been re¬sponsible for clearing and settlement in the equities market, which was former¬ly done by the Colombian Stock Exchange (BVC). The third section of this report provides an all-inclusive view of payments in the market for goods and services; namely, transactions carried out by members of the public and non-financial institutions. During the pandemic, inter- and intra-bank electronic funds transfers, which originate mostly with companies, increased in both the number and value of transactions with respect to 2019. However, debit and credit card payments, which are made largely by private citizens, declined compared to 2019. The incidence of payment by check contin¬ue to drop, exhibiting quite a pronounced downward trend during the past last year. To supplement to the information on electronic funds transfers, section three includes a segment (Box 4) characterizing the population with savings and checking accounts, based on data from a survey by Banco de la República con-cerning the perception of the use of payment instruments in 2019. There also is segment (Box 2) on the growth in transactions with a mobile wallet provided by a company specialized in electronic deposits and payments (Sedpe). It shows the number of users and the value of their transactions have increased since the wallet was introduced in late 2017, particularly during the pandemic. In addition, there is a diagnosis of the effects of the pandemic on the payment patterns of the population, based on data related to the use of cash in circu¬lation, payments with electronic instruments, and consumption and consumer confidence. The conclusion is that the collapse in the consumer confidence in¬dex and the drop in private consumption led to changes in the public’s pay¬ment patterns. Credit and debit card purchases were down, while payments for goods and services through electronic funds transfers increased. These findings, coupled with the considerable increase in cash in circulation, might indicate a possible precautionary cash hoarding by individuals and more use of cash as a payment instrument. There is also a segment (in Focus 3) on the major changes introduced in regulations on the retail-value payment system in Colombia, as provided for in Decree 1692 of December 2020. The fourth section of this report refers to the important innovations and tech¬nological changes that have occurred in the retail-value payment system. Four themes are highlighted in this respect. The first is a key point in building the financial infrastructure for instant payments. It involves of the design and im¬plementation of overlay schemes, a technological development that allows the various participants in the payment chain to communicate openly. The result is a high degree of interoperability among the different payment service providers. The second topic explores developments in the international debate on central bank digital currency (CBDC). The purpose is to understand how it could impact the retail-value payment system and the use of cash if it were to be issued. The third topic is related to new forms of payment initiation, such as QR codes, bio¬metrics or near field communication (NFC) technology. These seemingly small changes can have a major impact on the user’s experience with the retail-value payment system. The fourth theme is the growth in payments via mobile tele¬phone and the internet. The report ends in section five with a review of two papers on applied research done at Banco de la República in 2020. The first analyzes the extent of the CRCC’s capital, acknowledging the relevant role this infrastructure has acquired in pro¬viding clearing and settlement services for various financial markets in Colom¬bia. The capital requirements defined for central counterparties in some jurisdic¬tions are explored, and the risks to be hedged are identified from the standpoint of the service these type of institutions offer to the market and those associated with their corporate activity. The CRCC’s capital levels are analyzed in light of what has been observed in the European Union’s regulations, and the conclusion is that the CRCC has a scheme of security rings very similar to those applied internationally and the extent of its capital exceeds what is stipulated in Colombian regulations, being sufficient to hedge other risks. The second study presents an algorithm used to identify and quantify the liquidity sources that CUD’s participants use under normal conditions to meet their daily obligations in the local financial market. This algorithm can be used as a tool to monitor intraday liquidity. Leonardo Villar Gómez Governor
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Financial Stability Report - September 2015. Banco de la República, August 2021. http://dx.doi.org/10.32468/rept-estab-fin.sem2.eng-2015.
Повний текст джерелаАнотація:
From this edition, the Financial Stability Report will have fewer pages with some changes in its structure. The purpose of this change is to present the most relevant facts of the financial system and their implications on the financial stability. This allows displaying the analysis more concisely and clearly, as it will focus on describing the evolution of the variables that have the greatest impact on the performance of the financial system, for estimating then the effect of a possible materialization of these risks on the financial health of the institutions. The changing dynamics of the risks faced by the financial system implies that the content of the Report adopts this new structure; therefore, some analyses and series that were regularly included will not necessarily be in each issue. However, the statistical annex that accompanies the publication of the Report will continue to present the series that were traditionally included, regardless of whether or not they are part of the content of the Report. In this way we expect to contribute in a more comprehensive way to the study and analysis of the stability of the Colombian financial system. Executive Summary During the first half of 2015, the main advanced economies showed a slow recovery on their growth, while emerging economies continued with their slowdown trend. Domestic demand in the United States allowed for stabilization on its average growth for the first half of the year, while other developed economies such as the United Kingdom, the euro zone, and Japan showed a more gradual recovery. On the other hand, the Chinese economy exhibited the lowest growth rate in five years, which has resulted in lower global dynamism. This has led to a fall in prices of the main export goods of some Latin American economies, especially oil, whose price has also responded to a larger global supply. The decrease in the terms of trade of the Latin American economies has had an impact on national income, domestic demand, and growth. This scenario has been reflected in increases in sovereign risk spreads, devaluations of stock indices, and depreciation of the exchange rates of most countries in the region. For Colombia, the fall in oil prices has also led to a decline in the terms of trade, resulting in pressure on the dynamics of national income. Additionally, the lower demand for exports helped to widen the current account deficit. This affected the prospects and economic growth of the country during the first half of 2015. This economic context could have an impact on the payment capacity of debtors and on the valuation of investments, affecting the soundness of the financial system. However, the results of the analysis featured in this edition of the Report show that, facing an adverse scenario, the vulnerability of the financial system in terms of solvency and liquidity is low. The analysis of the current situation of credit institutions (CI) shows that growth of the gross loan portfolio remained relatively stable, as well as the loan portfolio quality indicators, except for microcredit, which showed a decrease in these indicators. Regarding liabilities, traditional sources of funding have lost market share versus non-traditional ones (bonds, money market operations and in the interbank market), but still represent more than 70%. Moreover, the solvency indicator remained relatively stable. As for non-banking financial institutions (NBFI), the slowdown observed during the first six months of 2015 in the real annual growth of the assets total, both in the proprietary and third party position, stands out. The analysis of the main debtors of the financial system shows that indebtedness of the private corporate sector has increased in the last year, mostly driven by an increase in the debt balance with domestic and foreign financial institutions. However, the increase in this latter source of funding has been influenced by the depreciation of the Colombian peso vis-à-vis the US dollar since mid-2014. The financial indicators reflected a favorable behavior with respect to the historical average, except for the profitability indicators; although they were below the average, they have shown improvement in the last year. By economic sector, it is noted that the firms focused on farming, mining and transportation activities recorded the highest levels of risk perception by credit institutions, and the largest increases in default levels with respect to those observed in December 2014. Meanwhile, households have shown an increase in the financial burden, mainly due to growth in the consumer loan portfolio, in which the modalities of credit card, payroll deductible loan, revolving and vehicle loan are those that have reported greater increases in risk indicators. On the side of investments that could be affected by the devaluation in the portfolio of credit institutions and non-banking financial institutions (NBFI), the largest share of public debt securities, variable-yield securities and domestic private debt securities is highlighted. The value of these portfolios fell between February and August 2015, driven by the devaluation in the market of these investments throughout the year. Furthermore, the analysis of the liquidity risk indicator (LRI) shows that all intermediaries showed adequate levels and exhibit a stable behavior. Likewise, the fragility analysis of the financial system associated with the increase in the use of non-traditional funding sources does not evidence a greater exposure to liquidity risk. Stress tests assess the impact of the possible joint materialization of credit and market risks, and reveal that neither the aggregate solvency indicator, nor the liquidity risk indicator (LRI) of the system would be below the established legal limits. The entities that result more individually affected have a low share in the total assets of the credit institutions; therefore, a risk to the financial system as a whole is not observed. José Darío Uribe Governor