Mar'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.

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Focus Areas
  • Identifying Financial Risk
  • Risk Management Models
  • Accounting for Derivatives
  • Risk-Hedging Techniques
  • Asset Liability Management
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Article   Price (₹) Buy
Risk Parity Approach: Empirical Evidence from US and Indian Equity Index
50
Is Gold a Better Hedge or a Safer Asset Than Shares? – Evidence from India
50
The Relationship Between Demographic Variables of Investors and Apprehension About Investment: An Empirical Analysis
50
Evaluating the Tracking Performance of Index Mutual Funds and Exchange Traded Funds in India
50
Causality Relationship Between Spot and Futures Markets: Evidence from India
50
Economic Exposure Management: A Review
50
     
Contents : (Mar'19)

Risk Parity Approach: Empirical Evidence from US and Indian Equity Index
Tirthank Shah and Abhishek Parikh

Risk parity approach being one of the risk-based approaches has emerged, especially after the 2008 crisis, as a promising alternative to asset allocation in order to achieve better risk diversification of the portfolio. Literature review suggests that emerging market indices have remained out of the focus in terms of empirical testing of risk parity portfolio. This paper attempts to bridge the gap by conducting empirical testing of risk parity approach on Indian equity index along with US equity index. The study presents a comparative snapshot of empirical evidence of risk parity portfolio with other risk-based approaches like minimum variance portfolio, equal weight portfolio and most diversified portfolio. The results of empirical testing for Indian market index show superior Sharpe ratio and Treynor ratio for risk parity portfolio vis-à-vis some other approaches, but for US equity market index, minimum variance portfolio and most diversified portfolio show superior Sharpe ratios. In terms of diversification of unsystematic risk of portfolio, risk parity portfolio has generated better diversification vis-à-vis other approaches in both Indian and US equity market. The findings of this paper demonstrate the superiority of risk parity portfolio in terms of unsystematic risk diversification of portfolio in developed as well as emerging equity market.


© 2018 IUP. All Rights Reserved.

Article Price : ₹ 50

Is Gold a Better Hedge or a Safer Asset Than Shares? – Evidence from India
Kiranjit Sett

On the basis of daily price per 10 g of gold and Bombay Stock Exchange (BSE) Sensex for the period January 3, 2000 to December 31, 2017, a fall in return on BSE Sensex was found to have resulted in an increase in return on gold when investment in BSE Sensex generated negative returns with different magnitude, contemporaneously as well as successively in some cases. So, gold has been found to be a strong, safe asset vis-à-vis shares in India, but gold has not been found to be a hedge against shares in India.


© 2018 IUP. All Rights Reserved.

Article Price : ₹ 50

The Relationship Between Demographic Variables of Investors and Apprehension About Investment: An Empirical Analysis
Yasmeen Ansari

People want to earn out of their saved money by investing in different avenues, but sometimes due to lack of knowledge, experience, education in the field and other factors they are afraid of investing. Particularly, they are apprehensive of investing because of losing money, making a mistake, or fear of failure. Various studies have been conducted to find out the relationship between the various factors and the apprehension of investing in different areas, but no study till date seems to have been done to find out the relationship between demographic variables of investors and their apprehension about investment. The present study is conducted on a very large scale to find out this relationship. Mixed type of results are obtained. Relationship between gender, occupation and apprehension about investment was found insignificant, while age, education and income are found to be significantly related to apprehension about investment.


© 2018 IUP. All Rights Reserved.

Article Price : ₹ 50

Evaluating the Tracking Performance of Index Mutual Funds and Exchange Traded Funds in India
Pinkesh Dhabolkar and Y V Reddy

Though a difference exists in the way Exchange Traded Funds (ETFs) and index mutual funds are formed, both the funds follow the passive style of investing, wherein the fund manager tries to mimic the returns of the chosen market index. Using a sample of 16 index mutual funds and 14 ETFs, from inception of the funds to March 31, 2017, this paper investigates the ability of the index mutual funds and ETFs in India to track their chosen market index. The study reveals that index mutual funds exhibit significantly higher tracking error than its counterpart. The results of regression analysis further reveal that ETF fund managers have been able to construct a portfolio that is more commensurate with the chosen index than its counterpart.


© 2018 IUP. All Rights Reserved.

Article Price : ₹ 50

Causality Relationship Between Spot and Futures Markets: Evidence from India
Karamjeet Kaur

This paper makes an attempt to find out the causal relationship between spot and futures markets of Bombay Stock Exchange (BSE) of India. The study is based on secondary data. Unit root test, Johansen cointegration test and Granger causality test have been used for data analysis. The tests have been carried out based on the daily closing prices of BSE Sensex with its near futures index contracts for the period of five years from January 2011 to December 2015. The findings of the study indicate existence of cointegration between spot and futures market and the price movements of spot and futures are similar. Further, the study identifies unidirectional causality from spot market to futures market of BSE, which implies that spot market leads the futures market.


© 2018 IUP. All Rights Reserved.

Article Price : ₹ 50

Economic Exposure Management: A Review
Khushboo Bhasin and Syeedun Nisa

The literature on economic exposure management has expanded to a great extent during the last decade. Corporate managers and practitioners have shown interest in examining economic exposure as they have realized the consistency of the concept, with the objective of maximizing the long-term economic value of the firm. In the present paper, a normative view of economic exposure is considered. The paper primarily reviews the identification and assessment of economic exposure and discusses the available models for the measurement of economic exposure. The paper also identifies the gaps in the existing literature and suggests directions for future research.


© 2018 IUP. All Rights Reserved.

Article Price : ₹ 50

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