July' 23
The IUP Journal of Applied Finance
Focus
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| Article | Price (₹) | ||
| Impact of Economic Policy Uncertainty on Stock Market Returns and Turnover: A VAR Analysis |
100
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| An Analysis of Interactions Between Bitcoin Spot and Futures Markets |
100
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| Linkage Between Oil Price, Trade Openness Climate Variability and Food Inflation in India |
100
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| Trends and Structure of Digital Payments in India: A Non-Parametric and Post Hoc Analysis |
100
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Impact of Economic Policy Uncertainty on Stock Market Returns and Turnover: A VAR Analysis
Economic Policy Uncertainty (EPU) and stock market mechanisms received much attention after the 2007-2008 Global Financial Crisis. Uncertainty can influence significant economic variables through different channels. The paper uses a univariate VAR model to analyze how EPU was affected by stock market returns and turnover from January 2009 to December 2019. The analysis uses data from BSE. The EPU index formulated by Baker et al. (2016) is used to analyze the level of uncertainty across policy implications. The results show that market turnover responds negatively towards EPU. At the same time, no relationship exists between stock returns and EPU.
An Analysis of Interactions Between Bitcoin Spot and Futures Markets
The study is an attempt to explore the long-run and short-run interactions between the Bitcoin spot and futures prices. The period of study is from December 18, 2017 to February 13, 2023. Unit root test, Johansen Cointegration test, VECM and Granger Causality test are applied for this analysis. The results of the study found the existence of cointegration between the Bitcoin spot and the futures market, indicating long-run relationship between the two markets. Further, unidirectional causality from the Bitcoin futures market to the Bitcoin spot market is found which implies that the Bitcoin futures market leads the spot market. Hence, Bitcoin futures market plays a role in the price discovery process.
Linkage Between Oil Price, Trade Openness Climate Variability and Food Inflation in India
The paper examines the linkage between oil price, climate variability and food inflation (FI) in India using linear ARDL model for the period January 2001 to December 2021. The study uses monthly time series data on CPI (general index, food price index, Money Supply (M3)), oil price and trade openness (volume of Export+Import to % GDP) and temperature change retrieved from the online data base of Reserve Bank of India, FAOSTAT, MOSPI and Ministry of Petroleum and Natural Gas. Since the variables are in different units, natural logarithm values are used in model estimation. The study found that a positive correlation between FI and study variables. The ARDL Model coefficient values show that Money Supply (MS) positively impacts FI, whereas lag MS negatively affects FI. Oil price has a positive impact on FI and trade openness coefficient is positive but not significant. Temperature Change (TC) has a negative impact on FI. The ARDL bound test result indicates that there is cointegration between FI and the study variables. The ARDL-VEC coefficient values indicate that oil price and TC have significant causal relationship with FI. To tackle high FI, there is a need of government and policymakers' intervention for oil consumption diversification from crude oil to natural gas. The RBI should tighten the monetary policy and repo rate in order to lower FI.
Trends and Structure of Digital Payments in India: A Non-Parametric and Post Hoc Analysis
The paper aims to study the trends and structure of digital payments in India in the last decade. It is important to note that the volume has increased faster than the value of digital payments. The average value of digital transactions has been coming down, which means that there has been increased usage of digital mode for smaller value payments by retail users, demonstrating widespread adoption of digital payments in the country. The paper also aims to determine whether all the digital payment methods have the same growth trend on the retail front. The Friedman test and post hoc analysis have been used to analyze the growth pattern.
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