Stock market volatility has always been an area of concern for market participants and policy regulators. Through this paper, an attempt has been made to model the volatility in the Indian equity market by employing the standard GARCH(1, 1) model. The paper also investigates whether the volatility on NSE has changed after the introduction of Volatility Index (India VIX) through the GARCH(1, 1) model with a dummy. Accordingly, the period of study for measuring the volatility has been split into two, i.e., the pre-IVIX introduction period (January 1, 2000 to October 31, 2007) and the post-IVIX introduction period (November 1, 2007 to August 31, 2016). The results of GARCH(1, 1) model with a dummy reveal that the volatility of the spot market has declined after the introduction of IVIX in India. In addition, the results of standard GARCH(1, 1) models provide evidence that recent news has a greater impact on the spot market changes in the post-IVIX introduction period. More...

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The present paper intends to develop an analytical condition for an interest rate swap (variable rate for fixed rate) to be beneficial and examines the incidence and effectiveness of swaps in the Canadian university sector. The paper demonstrates the lack of any cost advantage in a two-party swap through a contradiction analysis and then tests whether there is evidence that the use of this derivative is indeed acting (or not) as an effective risk management tool. The paper also applies a nonparametric Kruskal-Wallis test to determine whether the size of the university is a factor in the effectiveness of swap. Of the 31 Canadian universities using swaps, only five pass the analytical condition to be judged as an effective swap. The balance fails the test, indicating that the usage of the swap, in essence, unhedges a natural hedge that the institution had. The results also indicate that university size plays a role in whether the hedge is effective or not. This paper is unique in applying a quantitative test to determine swap effectiveness in the Canadian university sector. It also points to the necessity for management of these institutions to better understand the effects and uses of derivative financing instruments for hedging purposes. More...

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The likelihood of not getting the desired funding at an appropriate cost or the probability of bearing an undue loss of value in a fire sale is recognized as liquidity risk. However, a flat idiosyncratic liquidity risk does not necessarily translate into a similar risk-neutral position at the systemic level. Systemic liquidity risk emanates from the underestimation and imprecise understanding of the liquidity conundrum and its causal relationship with the exogenous or endogenous factors. Systemic risk finally devolves at the macro level with serious repercussions. The present paper attempts a macroeconomic evaluation of the systemic liquidity risk from the perspective of developing economies. As a test case, the relevant macroeconomic data from the Indian financial system has been used for the purpose of analysis, modeling and interpretation. More...

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