Jun '19


The IUP Journal of Financial Risk Management

ISSN: 0972-916X

UGC Approved Journal @ Sl.No: 46858

A 'peer reviewed' journal indexed on Cabell's Directory, and also distributed by EBSCO and Proquest Database

It is a quarterly journal that focuses on identifying Financial risk in Capital/Debt/Forex markets and their management models; Derivatives as Price Discovery Tools and Hedging devices; Hedging techniques; Asset-liability management; Organizational culture, Risk-bearing capacity and Leadership role in management of risk. The journal provides a platform for cutting-edge research in the field of financial risk management.

Privileged access to Online edition for Subscribers.

Focus Areas
  • Identifying Financial Risk
  • Risk Management Models
  • Accounting for Derivatives
  • Risk-Hedging Techniques
  • Asset Liability Management
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Article   Price (₹) Buy
The Impact of Market Conditions on the Aftermarket Survival of Initial Public Offerings in India: An Accelerated Failure Time Approach
50
The Impact of Macroeconomic Announcements on Equity Markets: Empirical Evidence from India
50
Cointegration of Developed Economies and Indian Stock Market After Economic Reforms
50
Application of GARCH Models for Modeling Stock Market Volatility: An Empirical Study
50
     
Contents : (Jun '19)

The Impact of Market Conditions on the Aftermarket Survival of Initial Public Offerings in India: An Accelerated Failure Time Approach
Garima Baluja and Balwinder Singh

The market conditions are the most obvious and the least controllable that influence the decision of a company to issue an Initial Public Offering (IPO). The anecdotal literature suggests that timings are everything for an IPO. The market conditions are crucial not only for the performance of an issue but also for its survival on the trading exchange. The Indian primary market has witnessed several volatile market conditions in the post-SEBI (Securities and Exchange Board of India) era. The introduction of SEBI and abolition of Controller of Capital Issues (CCI) created ‘hot issue phenomenon’ in the market, wherein several new issues entered the market, however, only a few managed to survive in the aftermarket. Such high failure rate of IPOs and diverse market conditions generated the need to explore the survival profile of IPOs in India. Using the most sophisticated methodologies, i.e., logistic regression and survival analysis, the present study explores the survival profile of IPOs in hot market conditions of India. The empirical investigation reveals that most of the IPOs entered the market in hot issue period (1992-1996) but they failed to survive longer in the aftermarket. Overall, the Kaplan-Meier estimation exhibits a significant decline in survival rate and a growth in hazard rate during the first 50-60 months of listing. The analysis of market-specific variables and survival profile of IPOs reveals that issues in the period of high IPO activity fail to sustain longer on the exchange. Apart from this, several offering and company-specific factors also exhibit significant results. The findings of this study will have fruitful implication for the issuers, investors, regulators, and the entire capital market as they can evaluate the future prospects of IPOs and can take rational decisions accordingly.


© 2019 IUP. All Rights Reserved.

Article Price : ₹ 50

The Impact of Macroeconomic Announcements on Equity Markets: Empirical Evidence from India
V Srividya and D Susana

Understanding the behavior of the investors during macroeconomic announcements gives insights into the causes of stock market volatility and the relationship between macroeconomic announcements and stock markets. The Volatility Index (VIX) is the well-known indicator for stock market uncertainty and the present study examines the behavior of the Indian VIX during six Indian and eight US macroeconomic announcements. The findings suggest that the Indian Index of Industrial Production (IIP) and the US Federal Open Market Committee (FOMC) meetings cause impact on the announcement days. However, the US employment situation causes impact on the days before, during and after the announcement.


© 2019 IUP. All Rights Reserved.

Article Price : ₹ 50

Cointegration of Developed Economies and Indian Stock Market After Economic Reforms
R Kumara Kannan and Selvam Jesiah

The main purpose of the paper is to investigate whether and to what extent the Bombay Stock Exchange (BSE), India is integrated with the major mature markets in the US, UK, Germany and Japan. The dataset has been divided into: post Asian Crisis but before Euro Emerged (July 1997- January 2002); after Euro but before US Subprime Crisis (February 2002-November 2007); from the US Subprime Crisis before Modi’s emergence as national leader (December 2007-April 2014); and after Modi’s emergence (May 2014-July 2016). The study uses unit root test, Johansen-Juselius test, GARCH(p, q) model estimation, and Granger causality test for the purpose.


© 2019 IUP. All Rights Reserved.

Article Price : ₹ 50

Application of GARCH Models for Modeling Stock Market Volatility: An Empirical Study
N Shabarisha and J Madegowda

Return is the major attribute of an investment asset which can be construed as a random variable, and the ‘variability in return’ can be interpreted as volatility. Forecasting volatility and modeling it are the most prolific areas for research. This paper empirically investigates the conditional variance (volatility) pattern in Indian stock market based on financial time series data that consists of daily closing prices of CNX Nifty 50 market index for 10 years from April 2006 to March 2016. For the purpose of estimating conditional variance (volatility) in the daily returns of the index, Autoregressive Conditional Heteroskedasticity (ARCH) models are employed. Both symmetric and asymmetric models are used to capture stylized facts about CNX Nifty 50 market index returns such as volatility clustering and leverage effect. The findings of the study show that the asymmetric models are a better fit than symmetric models, confirming the presence of volatility clustering and leverage effect.


© 2019 IUP. All Rights Reserved.

Article Price : ₹ 50

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