Dec '19
The IUP Journal of Financial Risk Management
Focus
The return determinants of
these stocks, the volatility in them and volatility spillover are interesting topics to study. Keeping these things in mind, the first paper, �A Study of the Movement of Interest Rates and Spillover of Volatility and Returns Amongst the Leading Bank Stocks in India�, by Rakesh Shahani and Nikhil Nagpal, empirically investigates the impact of interest rates and foreign exchange rates on the movement of banking stocks in India. Using the weekly data of returns for the period April 2013-March 2018, the authors check for stationarity, autocorrelation, heteroscedasticity, volatility and volatility spillover. As per the results, the returns are found to be stationary. Bank Nifty, which is a sectoral index, is found to be an important variable which determines return, whereas the impact of interest rate is muted. Evidences of volatility persistence and spillover are reported in the study.
To test the efficiency of stock market, researchers have used testing for return generation patterns. If there is a pattern, it helps investors and portfolio managers to devise trading strategies and defy market efficiency. To find the pattern within the week, the second paper, �Calendar Anomalies in Indian Stock Market: An Empirical Analysis�, by Nisha Jindal, uses data from January 2008 to December 2018, and Ordinary Least Square (OLS) and Generalized Autoregressive Conditional Heteroscedastic (GARCH) models. The study reports the presence of seasonality. Friday�s returns are found to be higher as compared to other days.
Financial liberalization acted as equalizer and has reduced the gender disparity. Women now are taking part in stock market investments. Because of the inherent responsible and caring nature, women tend to be more risk-averse compared to men and hence their investment behavior must be different from that of men. Keeping these things in view, the third paper, �Factors Influencing the Investment Behavior of Women Investors: An Empirical Investigation�, by Sanjeet Kumar and Prashant Kumar, attempts to find the factors influencing the decision of women investors in selecting various investment avenues. Using survey data of 400 women investors and based on factor analysis, the study identifies seven factors influencing the decision of women investors. The factors identified can be categorized as sociocultural factors, personal factors, market-related factors, economic factors, investment-specific factors, firm-related factors and accounting information.
The fourth paper, �Forecasting and Modeling of Indian Private Banks� Stocks: An Econometric Analysis for Prudent Investment for Investors and Traders�, by Gunjit Kaur, reports the interplay of the risk and return using data for private sector bank stocks. The paper uses different time horizon of daily and monthly returns for studying the risk and return characteristics of the chosen stocks. The differentiated time periods represent the holding period of traders and investors in the market. Monthly returns and risk go hand in hand and are higher than daily returns. For monthly returns, volatilities are not interrelated, whereas they are related for daily returns.
The last paper, �Perception of Investors and Financial Experts Regarding the Impact of Fluctuations in Exchange Rate on Share Price�, by Roshan Kumar, uses primary data of investor and financial experts� perception for identifying the effect of exchange rate fluctuations on share price. Macroeconomic variables like inflation, crude oil price, gold price and exchange rate determine the share price and hence should be considered before investment decision making.
Consulting Editor
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| Article | Price (₹) | ||
| A Study of the Movement of Interest Rates and Spillover of Volatility and Returns Amongst the Leading Bank Stocks in India |
100
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| Calendar Anomalies in Indian Stock Market: An Empirical Analysis |
100
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| Factors Influencing the Investment Behavior of Women Investors: An Empirical Investigation |
100
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| Forecasting and Modeling of Indian Private Banks� Stocks: An Econometric Analysis for Prudent Investment for Investors and Traders |
100
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| Perception of Investors and Financial Experts Regarding the Impact of Fluctuations in Exchange Rate on Share Price |
100
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A Study of the Movement of Interest Rates and Spillover of Volatility and Returns Amongst the Leading Bank Stocks in India
The present study is an attempt to empirically investigate the impact of interest rates and foreign exchange rates on the movement of banking stocks in India (two from public sector and two from the private sector) for the period April 2013-March 2018 (weekly returns data). The study further makes an attempt to find out whether and to what extent different banks impact each other�s return and volatility. The econometric tools employed to study the relation include OLS relation between the variables, GARCH(1, 1) methodology to determine the volatility spillover, autocorrelation and heteroscedasticity tests, and also Augmented Dickey-Fuller unit root tests. The results of the study show that the return of all the banks is mainly dependent on the return on Bank Nifty Index, while change in interest rate (91-day Treasury Bills) is not found to be influencing the return of any of the four banks. Evidence of spillover of return was seen more from the private sector banks to public sector bank�s stocks. However, in case of spillover of volatility, there is evidence of bilateral spillover between ICICI Bank and PNB stocks. Also HDFC Bank�s volatility was seen to impact SBI�s volatility, while no impact was seen of any bank�s stock on the volatility of HDFC Bank�s stock. Further, OLS regression does not suffer from autocorrelation and heteroscedasticity. The bank returns were found to be stationary for all the variables.
Calendar Anomalies in Indian Stock Market: An Empirical Analysis
Calendar anomalies is a situation seen a lot in any stock market. As for the Indian stock market, calendar anomalies are a normally seen and used practice there. This study considers a few calendar patterns available in the Indian stock market. The daily closing prices of the index, S&P CNX 500, were taken for the sample period of 11 years from January 2008 to December 2018, collected from the official website of National Stock Exchange. Daily closing prices were converted into returns. The Ordinary Least Square (OLS) and Generalized Autoregressive Conditional Heteroscedastic (GARCH) models were applied for data analysis. The results proved that seasonality was prevalent in Indian stock market. Friday effect was found as the returns of Friday were higher as compared to other days because Friday is considered as the last day of the week, and after that the market remains closed for two days.
Factors Influencing the Investment Behavior of Women Investors: An Empirical Investigation
Women are now financially independent and actively participate in investing their savings by analyzing the various factors such as degree of risk associated with investment, influence of family members and friends, and the capability of investing in modern and innovative investment avenues. Thus, it is imperative to study the factors that force women investors to select various investment avenues. It plays a crucial role in determining the behavior of women investors and their disposition effect. Women usually avoid investing their money in stock market due to high volatility in the financial market, lack of adequate knowledge, improper guidance and many other factors. Therefore, it is desirable to analyze the investment behavior of women to check their risk-bearing capacity and factors that affect their behavior because investment behavior of women is an issue of concern across the world. In this study, a survey is conducted to mainly identify the factors that influence the choice of women investors. This study is exploratory in nature and uses primary data collected through a modified questionnaire from 400 women investors based in Haryana region. Using factor analysis, the present study identifies seven factors that influence the investment decisions of women investors. The results reveal that the total variance explained through factor analysis is 86.16% and seven factors are extracted based on eigenvalues. The study labels these factors as sociocultural factors, personal factors, market-related factors, economic factors, investment-specific factors, firm-related factors and accounting information. This would help many researchers and stakeholders to understand how women investors behave while making investment decisions and would especially aid financial institutions to design such products and financial options that can address the needs of women investors.
Forecasting and Modeling of Indian Private Banks� Stocks: An Econometric Analysis for Prudent Investment for Investors and Traders
The aim of the study is to explore the dynamics between the risk and return of the three private banking stocks of National Stock Exchange (NSE)�Axis, HDFC and ICICI Banks. These are high beta stocks. This paper deals with the impact of sample size on the distributional characteristics of the stock return: how risk and return of same stocks change for investors and traders. The paper emphasizes on the time horizon of the investment, which is critical and should be revised regularly. This paper tries to find the relationship between these banks with respect to the horizon of investment period. It also tries to differentiate two most important characteristics of market: the �time and volatility� for trader and investor. It provides a guide for analyzing and modeling the financial time series using statistical methods for both traders and investors.
Perception of Investors and Financial Experts Regarding the Impact of Fluctuations in Exchange Rate on Share Price
The exchange rate is an important macroeconomic variable for any country and plays a vital role in enhancing global trade, investment and financial transactions. This paper is based on the investigation of perception of investors and financial experts regarding the impact of fluctuations in exchange rate on share price, done by analyzing the primary data obtained from the investors and financial experts regarding exchange rate fluctuations and its impact on stock price. Nonparametric chi-square test is used to find out the perception of the investors and experts.