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The IUP Journal of Applied Finance
ISSN: 0972-5105
A ‘peer reviewed’ journal indexed on Cabell’s Directory,
and also distributed by EBSCO and Proquest Database

April'18

Previous Issues

The IUP Journal of Applied Finance is a quarterly finance journal that showcases empirical research in applied finance. IJAF provides research articles on business environment, regulatory environment, equity markets, debt markets, corporate finance, financial services, portfolio management, international finance and risk management.

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  • Business Environment
  • Regulatory Environment
  • Equity Markets
  • Debt Market
  • Corporate Finance
  • Financial Services
  • Portfolio Management
  • International Finance
  • Risk Management
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Price Discovery and Volatility Spillovers in Indian Wheat Market: An Empirical Analysis
Indebtedness in Non-Group Affiliated Indian Manufacturing Firms: An Analysis of Borrowing Behavior
Efficiency and Productivity Analyses of General Insurance Firms in India: A Malmquist Approach
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Contents
(April 2018)

Price Discovery and Volatility Spillovers in Indian Wheat Market: An Empirical Analysis

--Neha Seth and Arpit Sidhu

This paper examines the price discovery and volatility spillovers in the spot and futures wheat market in India. For this purpose, closing prices are taken as the sample data from June 1, 2013 to July 31, 2017 from National Commodity and Derivatives Exchange Limited (NCDEX) for both spot and futures wheat markets. The data is analyzed using unit root test, Granger causality test, Johansen cointegration test, Vector Error Correction Model (VECM), and Glosten-Jagannathan-Runkle Generalized Autoregressive Conditional Heteroskedasticity (GJR-GARCH) model to measure the price discovery and volatility spillovers. Granger causality test confirms that bidirectional causality exists between wheat spot and its underlying wheat futures market. Johansen cointegration test approves the long-term equilibrium relationship between wheat spot and wheat futures prices. The VECM shows that wheat futures market leads wheat spot market in price discovery process in the long run. It shows that the wheat futures market plays a dominant role and serves as a price discovery vehicle. The GJR-GARCH model exhibits the volatility spillover from wheat futures market (near month as well as next to near month) to wheat spot market, and wheat spot market to near to next month wheat futures market. The wheat futures market in India serves as a price discovery agent. The findings of the study give insights to the investors, regulators, policy makers and speculators on volatility, volatility spillover, long-term equilibrium, price discovery and the effect of futures market on spot market and vice versa in wheat market. This would help them make future policies with regard to practices/investments in wheat market, whether in spot or futures market.

Article Price : Rs.50

Indebtedness in Non-Group Affiliated Indian Manufacturing Firms: An Analysis of Borrowing Behavior

--Raju Majumdar

The question of whether global share markets are linked or integrated has important implications for portfolio diversification and risk reduction strategies. While integration of financial markets can increase the liquidity, transparency and efficiency of markets, it can also increase the risks of contagion (Mollah et al., 2016). This paper explores the long-run and short-run relationship between the Malaysian share market and the developed share markets in Singapore, Hong Kong, the UK and the US. In this paper, the Johansen cointegration test and VAR model are used to examine the long-term relationship of the Malaysian share market with the developed markets. The results indicate that the Malaysian share market is not integrated with the above markets in the long term. However in the short-term, a one-way Granger causality exists between the Malaysian share market and the US and UK share markets. The results are consistent with the notion that developed share markets have a significant and positive influence on the short-term returns of smaller share markets such as Malaysia’s. The results also affirm the general view that price movements in developed share markets can be used as a guide for investment decisions in emerging markets.

Article Price : Rs.50

Efficiency and Productivity Analyses of General Insurance Firms in India: A Malmquist Approach

--Joy Chakraborty

The present study compares 12 general insurance companies in India in respect of technical and scale efficiencies, in addition to their Total Factor Productivity (TFP) scores, in a two output-two input framework for the period 2006-07 to 2015-16 using the non-parametric Data Envelopment Analysis (DEA) and Malmquist TFP index. The results revealed that the observed public sector general insurers exhibited higher mean technical efficiency and scale efficiency scores than the sampled private sector general insurers, when ‘net premiums earned’ and ‘income from investments’ were considered as output indicators covering all the years of the study period, both under the assumptions of constant returns to scale and variable returns to scale. But a comparison of the TFP scores reflected a marginally higher mean TFP growth rate in favor of the observed private sector general insurers than their public sector counterparts, in respect of both the output indicators over the study period.

Article Price : Rs.50

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Automated Teller Machines (ATMs): The Changing Face of Banking in India

Bank Management
Information and communication technology has changed the way in which banks provide services to its customers. These days the customers are able to perform their routine banking transactions without even entering the bank premises. ATM is one such development in recent years, which provides remote banking services all over the world, including India. This paper analyzes the development of this self-service banking in India based on the secondary data.

The Information and Communication Technology (ICT) is playing a very important role in the progress and advancement in almost all walks of life. The deregulated environment has provided an opportunity to restructure the means and methods of delivery of services in many areas, including the banking sector. The ICT has been a focused issue in the past two decades in Indian banking. In fact, ICTs are enabling the banks to change the way in which they are functioning. Improved customer service has become very important for the very survival and growth of banking sector in the reforms era. The technological advancements, deregulations, and intense competition due to the entry of private sector and foreign banks have altered the face of banking from one of mere intermediation to one of provider of quick, efficient and customer-friendly services. With the introduction and adoption of ICT in the banking sector, the customers are fast moving away from the traditional branch banking system to the convenient and comfort of virtual banking. The most important virtual banking services are phone banking, mobile banking, Internet banking and ATM banking. These electronic channels have enhanced the delivery of banking services accurately and efficiently to the customers. The ATMs are an important part of a bank’s alternative channel to reach the customers, to showcase products and services and to create brand awareness. This is reflected in the increase in the number of ATMs all over the world. ATM is one of the most widely used remote banking services all over the world, including India. This paper analyzes the growth of ATMs of different bank groups in India.
International Scenario

If ATMs are largely available over geographically dispersed areas, the benefit from using an ATM will increase as customers will be able to access their bank accounts from any geographic location. This would imply that the value of an ATM network increases with the number of available ATM locations, and the value of a bank network to a customer will be determined in part by the final network size of the banking system. The statistical information on the growth of branches and ATM network in select countries.

Indian Scenario

The financial services industry in India has witnessed a phenomenal growth, diversification and specialization since the initiation of financial sector reforms in 1991. Greater customer orientation is the only way to retain customer loyalty and withstand competition in the liberalized world. In a market-driven strategy of development, customer preference is of paramount importance in any economy. Gone are the days when customers used to come to the doorsteps of banks. Now the banks are required to chase the customers; only those banks which are customercentric and extremely focused on the needs of their clients can succeed in their business today.

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