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Business, Management and Accounting >
Business, Management and Accounting (General)
International Journal of Financial Management
Publisher:Publishing India Group
Editor in chief:Dr. Balwinder Singh
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Browse by Volumes
Portfolio Construction And The Reduction Of Diversifiable Risk
Author:Subrata Roy, Shantanu Kumar Ghosh
Volume: 2 | Issue no: 4-2012 | Pagination: 61-71
The study attempts to construct the optimum mutual fund portfolios by the open-ended mutual fund schemes (income & growth). The study also examines whether the newly constructed portfolios are able to reduce diversifiable risk and which type of mutual fund schemes is better. For the achievement of these objectives, monthly closing net asset values of the open-ended income and growth schemes have been considered and the data have been obtained from the website of Association of Mutual Funds in India (AMFI). Similarly, the yields of 7 years Gov. dated securities have been taken into account as the proxy of risk free rate and finally, the monthly index values of Bombay Sensitive index have been considered as market surrogate for this study. The study period has been considered from 2001 to 2010. It has been observed from the study that the diversifiable risk (unsystematic risk) of both types of schemes (Income & Growth) is in decline when new portfolios have been made. It has also been found that the unsystematic risk of the newly constructed portfolios of income as well as growth schemes is higher.
Spillovers And Transmission In Emerging And Mature Markets Implied Volatility Indices
Author:Karam Pal Narwal, Ved Pal Sheera, Ruhee Mittal
Volume: 2 | Issue no: 4-2012 | Pagination: 48-60
Purpose: The present study examine implied volatility spillover and transmission between emerging (India) and mature stock markets (US, France, Germany and Switzerland), measured by their respective implied volatility indices i.e. IVIX, VIX, VCAC, VDAX and VSMI. Methodology: The asymmetries in Implied Volatility (IV) indices of selected countries are examined using Engle and Ng (1993) test. The spillovers and transmission are examined in multivariate-GARCH framework using BEKK and DCC model. The analysis is done using weekly data for period spanning from Nov, 2007 to Oct, 2011March. Findings: The main findings of study document asymmetries in the IV indices exist for the Indian, American and French markets. The BEKK-GARCH model results show that conditional variances of implied VI of India, Germany, French and Switzerland strongly affected by their own past shocks and volatility effects. The DCC model reveals that there is a moderate-level of correlation between the selected markets. Practical Implications: The results of the present study can be used by the portfolio managers and market participant for yielding the diversification benefits in short-run by including IV indices as an asset in their portfolio.
Impact Of U.S. Recession On Indian Stock Market
Volume: 2 | Issue no: 4-2012 | Pagination: 34-47
Purpose: The crises of US had led to shocks and collapses in many countries. This paper intends to study the impact of recession on efficiency and volatility of Indian stock market. Research Methodology: This paper uses the closing prices of all the major indices of NSE and BSE to represent Indian stock market. For efficiency, ACF test and run test were applied. EGARCH-M model is used to study the impact of recession on volatility of stock market. Findings: The insignificant coefficient of variance in conditional mean equation of EGARCH-M implies that the market doesn't provide higher returns during the high volatility period. The results of EGARCH-M model showed that effect of bad news on stock market volatility has become insignificant for most of the indices in recession period. There is increase in the persistence of volatility. The result of ACF test reported efficiency in CNX 100, S&P CNX Defty, S&P CNX 500, BSE100, BSE 200 and BSE 500 during recession. While the run test reported weak form efficiency in returns of S&P CNX Nifty, CNX Nifty Junior, CNX 100, S&P CNX 500 and CNX Midcap and weak form inefficiency in S&P CNX Defty, BSE200 and BSE 500 in recession period. Originality/value: This paper will be useful for both investors and regulators in decision making.
Large Shareholder'S Activism Quality And Dividend Smoothing Behavior
Volume: 2 | Issue no: 4-2012 | Pagination: 22-33
This paper investigates the association between the large shareholder's activism quality and dividend smoothing behavior in the Tunisian context. Based on the agency and signalling theory predictions, it considers the effect of two conflicting model of dividend: the outcome and the substitute model. Using a sample of 44 companies making public offering over the period 1998-2009, the empirical evidence shows that dividend policy is the result of large shareholder's preferences. Particularly, we find that the degree of dividend smoothing engaged by minority-controlled firms is more than the majority -controlled firms. Likewise, the degree of dividend smoothing engaged by financial institutions-controlled firms is more than the familycontrolled firms and the state-controlled firms. Taken together, the results are consistent with the outcome model of dividend policy.
Interest Rate Sensitivity Of Banking Stock Returns In India
Author:Vanita Tripathi, Renu Ghosh
Volume: 2 | Issue no: 4-2012 | Pagination: 11-21
Besides market risk, banking stocks are also subject to interest rate risk due to the simple fact that banking profitability is a function of prevailing interest rate. This paper examines the effects of interest rate changes on banking stock returns in India using the multivariate OLS and GARCH estimation models over the period 1st April 1996-31st March 2011. The sample consists of 18 commercial bank stocks comprising BANKEX listed on Bombay stock exchange. We find a negative but weak relationship between Bank stock returns and interest rate changes in India. As expected, banking stock returns exhibit significant positive relationship with market returns. However interest rate volatility is found to affect significantly the stock volatility in case of most of the banks in India. Hence although interest rate movements may not significantly affect banking stock returns in India but stock's volatility is significantly affected by the interest rate volatility. These results have important implications for policy regulators, bank managers and investing community at large. The investing community should refrain from investing in banking stocks in times of high interest rate volatility. The bank managers may adopt policies and strategies so as to lower the impact of interest rate volatility on stock return. The policy regulators need to ensure that interest rate volatility does not get transmitted into banking stock returns for the stability of financial system in India.
The Relationship Between Prior Period Adjustment And Earnings Management In Tehran Stock Exchange (Tse)
Author:Saeid Jabbarzadeh Kangarlouei, Houryeh Alizadeh Arabloue Bishe, Morteza Motavassel
Volume: 2 | Issue no: 4-2012 | Pagination: 1-9
This paper examines the relationship between Prior Period Adjustment (PPA) and Earnings Management (EM) in Tehran Stock Exchange (TSE). In other words, this study seeks to answer the question as to whether restatement causes the EM or not. For this purpose, a sample of 81 companies was selected and examined during the period of 2002 to 2010 in six industry using panel data with fixed effect model. Modified Jones model (1991) is used for measuring of EM. To test hypotheses, multiple regression models and Pearson correlation coefficients are used. Results indicate that there is no significant relationship between PPA and EM in TSE.
A Study On Dividend Policy And Its Impact On The Shareholders Wealth In Selected Banking Companies In India
Author:S.M. Tariq Zafar, D.S. Chaubey And S.M. Khalid
Volume: 2 | Issue no: 3-2012 | Pagination: 80-95
Survival of economy depends upon smooth supply of financial resources which is possible only if nation banking sector is effective, efficient and strong. Its goodwill, fund generation and its effective allocation, profitability, efficient management of dividend payout and profit retention play important role in its survival and growth. No company can ignore dividend but strategically invite careful analysis of it to develop everlasting solution to the problem of payout and retention ratio which impact share price and maximization of wealth. The present study attempts to analyze the impact of dividend on shareholders wealth of eleven selected Indian banks listed and actively traded in National Stock Exchange (NSE) during the period 2006 to 2010 using multiple regression technique, in addition t-values, the coefficient of determination (R2) has been calculated and its significance also been tested with the help of F-Value. The first part of paper gives an insight about the dividend and its legal implications. The second part consists of data and their analysis which revealed the fact that there is significant impact of dividend policy on the shareholder's wealth in Indian banking companies. At the end, concluding remarks and suggestions are given. Gilt schemes are seen to have been positive. However, the observed positive performances of the selected schemes are not statistically significant.
Empirical Evidence On Weak Form Efficiency In Indian Stock Market
Author:Amit Kumar Mishra, Vandna Misra And Sanjay Rastogi
Volume: 2 | Issue no: 3-2012 | Pagination: 63-79
Realizing the significance of stock market efficiency in the wake of global financial crisis and the limitations of existing literature, this study is intended to test weak form efficiency of Indian stock market so as to assess the efficiency of Indian stock market and suggest necessary measures to improve it. For the purpose of study, National Stock Exchange, the biggest player and a model stock exchange of Indian stock market has been selected. To test weak form efficiency, the most commonly used parametric as well as nonparametric tests have been applied. Runs test is used to check randomness, auto correlation test is used to examine independence and Ljung-Box (LB) statistics is used to test significance of independence in return series. The results of study offer supportive evidence for partial rejection of weak form efficiency in Indian stock market by endorsing absence of randomness and independence in noticeable number of return series. It reveals drifts in market efficiency which offers avenues to market participants for devising profitable trading strategies. The study also stresses on improving efficiency of Indian stock market by taking necessary measures to further strengthen economic development.
On The Return And Volatility Spillover Between Us And Indian Stock Market
Author:Som Sankar Sen And Tanmay Bandhopadhyay
Volume: 2 | Issue no: 3-2012 | Pagination: 54-62
The issue of return and volatility spillover across the stock markets of different countries has become important as return and volatility shock of one market is transmitted from one market to another in terms of information transmission. Present study using the AR(p) - GARCH(1,1) model has investigated the contemporaneous as well as the dynamic return and volatility spillovers from the US stock markets (represented by NYSE Composite Index) to its Indian counterpart (represented by Sensex) and vice versa. A bi-directional contemporaneous return spillover has been reported while a unidirectional dynamic return spillover from US to India is revealed. However, a bi-directional contemporaneous as well as dynamic volatility spillover effect between the two markets is observed barring in the post-crisis period when no dynamic volatility has been reported from the Indian stock market to US stock market.
Capital Market Exposure And Banking Risk: Evidence From Bangladesh
Author:Md. Zakir Hossain
Volume: 2 | Issue no: 3-2012 | Pagination: 39-53
This study identifies the major risk areas of bank's exposure in the capital market of Bangladesh using various statistical tools. Using data for the period of 2009 to 2011, the study finds that bank's investment in the capital market is very risky for which liquidity risk, credit risk as margin loan, and capital adequacy risk may endanger the position of banks. The estimates of 99.9% daily VaR and the VaR violation indicate that VaR is a reliable measure of market risk in Bangladesh. The separation of investment banking from retail banking can reduce the capital market risk exposures of banks.
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