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Volatility
Spillovers from the US to Indian Stock Market: A
Comparison of GARCH Models
-- K
Kiran Kumar and Chiranjit Mukhopadhyay
This
paper empirically investigates the short-run dynamic linkages
between NSE Nifty in India and NASDAQ Composite in US during
the period 1999-2001, using intra-daily data which determine
the daytime and overnight returns. Specifically, the study
employs the most popular MGARCH model, to capture the inter-linkages
between NASDAQ and NSE equity markets and compares performance
of MGARCH model with other models, such as two-stage GARCH
model and a simple ARMA-GARCH model, employed in Kumar and
Mukhopadhyay (2002). The paper reports that the simple ARMA-GARCH
model performs better than the more complex MGARCH model.
The volatility spillover effects from NASDAQ Composite are
only significant implying that the conditional volatility
of Nifty overnight returns is imported from US. It also
found that on an average the effect of NASDAQ daytime return
volatility shocks on Nifty overnight return volatility is
9.5% and that of Nifty daytime return is a mere 0.5%. In
out-of-sample forecasts, however, it was found that including
the information revealed by NASDAQ day trading provides
only better forecasts of the level of Nifty overnight returns
but not its volatility.
©
2007 IUP . All Rights Reserved.
An
Evaluation of the Exchange Rate Forecasting Performance
of the New Keynesian Model
--
Francis Vitek
This
paper evaluates the dynamic out-of-sample nominal exchange
rate forecasting performance of the canonical New Keynesian
model of a small open economy. A novel Bayesian procedure
for jointly estimating the hyperparameters and trend components
of a state space representation of an approximate linear
panel unobserved components representation of this New Keynesian
model, conditional on prior information concerning the values
of hyperparameters and trend components, is developed and
applied for this purpose. In agreement with the existing
empirical literature, the paper finds that nominal exchange
rate movements are difficult to forecast, with a random
walk generally dominating the canonical New Keynesian model
of a small open economy in terms of predictive accuracy
at all horizons. Nevertheless, the paper finds empirical
support for the common practice in the theoretical open
economy macroeconomics literature of imposing deterministic
equality restrictions on deep structural parameters across
economies, both in-sample and out-of-sample.
©
2007 IUP . All Rights Reserved.
Exponential
Spectral Risk Measures
--
Kevin Dowd and John Cotter
Spectral
risk measures are attractive risk measures as they allow
the user to obtain risk measures that reflect their subjective
risk aversion. This paper examines spectral risk measures
based on an exponential utility function, and finds that
these risk measures have nice intuitive properties. It also
discusses how they can be estimated using numerical quadrature
methods, and how confidence intervals can be estimated for
them using a parametric bootstrap. Illustrative results
suggest that estimated exponential spectral risk measures
obtained using such methods are quite precise in the presence
of normally distributed losses.
©
2007 IUP . All Rights Reserved.
Off-Balance
Sheet Activities and Performance of Commercial Banks in
Malaysia
-- Mohd. Zaini
Abd Karim and Chan Sok Gee
This
study analyzes how the off-balance sheet activities of the
locally-owned commercial banks affect the banks' performance
in terms of banks' exposure to various types of risks, bank's
profit, and the banks' leverage. A panel data econometric
regression has been done to achieve the objective. The results
indicate that the relationship between the off-balance sheet
activities and interest rate risk, unsystematic risk, and
overall risk of the banks is insignificant. Nevertheless,
the results indicate that market risk is significantly influenced
by the off-balance sheet activities. In terms of banks'
performance, it is found that the stock return is negatively
related to off-balance sheet activities. Moreover, there
is no significant relationship between off-balance sheet
activities and return on equity, leverage, and liquidity
ratio.
©
2007 IUP . All Rights Reserved.
An
Examination of Weak Form Efficiency of BSE 100 Index Companies
-- Ashutosh Verma and Nageshwar
Rao
This
paper examines the weak form efficiency of the companies
included in the BSE 100 index as on March 31, 2001 by applying
serial correlation and run test. The analysis has been done
for three years, i.e., 1998-1999, 1999-2000 and 2000-2001
taking the sample of share prices from April 1 to March
31. While the results for the first two years show that
the market is not weak form efficient, the results of 2000-2001
indicate that the market is weak form efficient. The study
raises an important question regarding the selection of
the sample period. By analyzing the findings it can be said
that the market is moving towards better assimilation and
reflection of historical information in stock prices.
©
2007 IUP . All Rights Reserved. | 
