scholarly journals Diffusion Entropy Analysis: Stability of Indian Stock Market

2019 ◽  
Vol 8 (4) ◽  
pp. 9358-9362
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Significant Drop ◽  
Bear Market ◽  
Diffusion Entropy ◽  
The Usa ◽  
The Stability ◽  
Indian Stock Market

The large amount of available data of stock markets becomes very beneficial when it is transformed to valuable information. The analysis of this huge data is essential to extract out the useful information. In the present work, we employ the method of diffusion entropy to study time series of different indexes of Indian stock market. We analyze the stability of Nifty50 index of National Stock Exchange (NSE) India and SENSEX index of Bombay Stock Exchange (BSE), India in the vicinity of global financial crisis of 2008. We also apply the technique of diffusion entropy to analyze the stability of Dow Jones Industrial Average (DJIA) index of USA. We compare the results of Indian Stock market with the USA stock market (DJIA index). We conduct an empirical analysis of the stability of Nifty50, Sensex and DJIA indexes. We find significant drop in the value of diffusion entropy of Nifty50, Sensex and DJIA during the period of crisis. Both Indian and USA stock markets show bull market effects in the pre-crisis and post-crisis periods and bear market effect during the period of crisis. Our findings reveal that diffusion entropy technique can replicate the price fluctuations as well as critical events of the stock market.

Volatility of Indian Stock Market: An Emperical Evidence

2008 ◽  
Vol 4 (4) ◽  
pp. 53-61 ◽  
Author(s):  
Aman Srivastava
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Stock Exchanges ◽  
Garch Models ◽  
Indian Stock Market ◽  
Class Models

The purpose of this paper is to apply the GARCH-class models to two major stock exchanges of Indian stock markets. The study includes main indices of Bombay Stock Exchange (SENSEX) and that of National stock exchange (NIFTY). GARCH-class models have been applied to analyze the characteristics of the volatility of Indian stock market. The findings suggest that both the Indian stock exchanges have significant ARCH effects and it is appropriate to use ARCH/GARCH models to estimate the process and also demonstrated that there are leverage effects in the markets. That means the investors in those markets are not grown well and they will be heavily influenced by information (good or bad) very easily.

scholarly journals Multidimensional Liquidity: Evidences from Indian Stock Market

2016 ◽  
Vol 5 (2) ◽  
Author(s):  
Sharad Nath Bhattacharya ◽  
Pramit Sengupta ◽  
Mousumi Bhattacharya ◽  
Basav Roychoudhury
Keyword(s):  
Machine Learning ◽  
Stock Market ◽  
Stock Markets ◽  
Trading Volume ◽  
Stock Exchange ◽  
Market Liquidity ◽  
Percentage Error ◽  
Efficiency Coefficient ◽  
Learning Tools ◽  
Indian Stock Market

Various dimensions of liquidity including breadth, depth, resiliency, tightness, immediacy are examined using BSE 500 and NIFTY 500 indices from Indian Equity market. Liquidity dynamics of the stock markets were examined using trading volume, trading probability, spread, Market Efficiency coefficient, and turnover rate as they gauge different dimensions of market liquidity. We provide evidences on the order of importance of these liquidity measures in Indian stock market using machine learning tools like Artificial Neural Network (ANN) and Random Forest (RF). Findings reveal that liquidity variables collectively explains the movements of stock markets. Both these machine learning tools performs satisfactorily in terms of mean absolute percentage error. We also evidenced lower level of liquidity in Bombay Stock Exchange (BSE) than National Stock Exchange (NSE) and findings supports the liquidity enhancement program recently initiated by BSE.

scholarly journals Investor Behavior: Does Tax Avoidance and Liquidity Preference Culture Drive Equity Prices in Pakistan

2020 ◽  
Vol 2 (2) ◽  
pp. 63-91
Author(s):  
Rubeena Tashfeen ◽  
Saad Ullah ◽  
Abubaker Naeem
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Tax Avoidance ◽  
Geographical Distance ◽  
Chinese Stock Market ◽  
Absolute Deviation ◽  
Cross Sectional ◽  
Cross Border ◽  
The Usa

The present study investigates market-wide herding of stock market, industry indices of Pakistan, China and USA, A-cross border herding of Pakistan stock market with Chinese stock market and USA stock market. With Cross-Sectional-Absolute-Deviation, to check whether geographical distance matters to influence the stock markets or not and USA is its major influential, cannot be ignored. Market-wide herding in Pakistan is found only during 2004 and 2008 and A-cross border herding for Pakistan is only found from the USA which support asset pricing model and market efficiency. Pakistan market do not herd around China, this negates geographical distance matters, and influence in determining investor behaviour in stock markets. It is revealed, Pakistan stock market does not observe as much herding behaviour in stock investment as other markets (USA and China), so it can be said that Pakistan stock exchange index which is representative of Pakistan Stock market is efficiently operating in contest of Herding.

scholarly journals Volatility Spillover Effect in Indian Stock Market

2017 ◽  
Vol 5 ◽  
pp. 83-101 ◽  
Author(s):  
Surya Bahadur G. C ◽  
Ranjana Kothari ◽  
Rajesh Kumar Thagurathi
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Spillover Effect ◽  
Stock Index ◽  
Global Markets ◽  
Series Data ◽  
Volatility Spillover ◽  
Volatility Transmission ◽  
Indian Stock Market

The study aims to empirically examine the transmission of volatility from global stock markets to Indian stock market. The study is based on time series data comprising of daily closing stock market indices from National Stock Exchange (NSE), India and major foreign stock exchange of the three countries one each from America, Europe and Asia making the highest portfolio investment in Indian stock market. The study period covers 11 years from 1st January, 2005 to 31st December, 2015 comprising a total of 2731 observations. The Indian stock index used is CNX Nifty 50 and the foreign indices are S & P 500 from USA, FTSE 100 from UK, and Nikkei 225 from Japan. The results reveal that the Indian stock market return is co-integrated with market returns of US, UK and Japanese stock markets. Therefore, the return and hence volatility of Indian stock market is associated with global markets which depicts that it is getting integrated with global financial markets. The results provide empirical evidence for volatility transmission or volatility spillover in the Indian stock market from global markets. There exists inbound volatility transmission from US market to Indian stock market. The Indian and UK stock market have bi-directional volatility transmission. However, there exists presence of only outbound volatility transmission from Indian stock market to Japanese stock market. The volatility transmission from global markets to India is rapid with the spillover effect existing for up to three days only.Janapriya Journal of Interdisciplinary Studies, Vol. 5 (December 2016), page: 83-101

scholarly journals Changes in stock markets interdependencies as a result of the global financial crisis: Empirical investigation on the CEE region

2011 ◽  
Vol 58 (4) ◽  
pp. 525-543 ◽  
Author(s):  
Cristiana Tudor
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Leading Role ◽  
The Us ◽  
The Usa ◽  
The Global Financial Crisis ◽  
Stock Indexes ◽  
European Stock Markets

This paper investigates causal relationships and short-term interaction mechanisms among six Central and Eastern European stock markets and the USA stock exchange, while paying special consideration to the effects of the 2007-2009 global financial crisis. We employ daily observations for the six CEE stock indexes and also for the US market covering the period January 2006-March 2009, which is subsequently divided into two sub-periods corresponding to the pre-crisis and crisis period. The study reveals that the relationships among CEE stock markets are time varying. While before the crisis stock market linkages are limited, we find that during crisis these interactions become significantly stronger. Our results further suggest that the potential for diversifying risk by investing in different CEE markets is limited during financial turmoil. Other findings reveal the leading role of the Russian market in the CEE region before the crisis. Also, before the crisis CEE markets were significantly influenced by innovations in the USA market, thus explaining why they were affected heavily by the crisis, which has managed to spread immediately in the region.

scholarly journals The Response of Karachi Stock Exchange to Nuclear Detonation

1999 ◽  
Vol 38 (4II) ◽  
pp. 777-786 ◽  
Author(s):  
Attiya Y. Javed ◽  
Ayaz Ahmed
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Far East ◽  
Stock Market Crash ◽  
The Far East ◽  
The Usa

Stock markets are highly reactive to internal and external developments. News of major events take no time to impact, the Stock Exchange that quite often serves as a barometer of the good and bad for the market. The importance of particular events and their effect on the stock market has been a subject of study in financial literature. Such studies attempt to assess the extent to which stock markets’ performance stray’s from the normal around the time of the occurrence of subject events. The stock market crash in the USA of October 1987 and related crash in the Far East later in January 1998 led to several studies of the event.

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

Risk-Managed Momentum: An Evidence from Indian Stock Market

2021 ◽  
pp. 231971452110230
Author(s):  
Simarjeet Singh ◽  
Nidhi Walia ◽  
Pradiptarathi Panda ◽  
Sanjay Gupta
Keyword(s):  
Stock Market ◽  
Asset Management ◽  
Stock Exchange ◽  
Sharpe Ratio ◽  
Relative Momentum ◽  
Extended Time ◽  
Momentum Strategies ◽  
Momentum Profits ◽  
Indian Stock Market ◽  
Time Frames

Relative momentum strategies yield large and substantial profits in the Indian Stock Market. Nevertheless, relative momentum profits are negatively skewed and prone to occasional severe losses. By taking into consideration 450 stocks listed on the Bombay Stock Exchange, the present study predicts the timing of these huge momentum losses and proposes a simple risk-managed momentum approach to avoid these losses. The proposed risk-managed momentum approach not only doubles the adjusted Sharpe ratio but also results in significant improvements in downside risks. In contrast to relative momentum payoffs, risk-managed momentum payoffs remain substantial even in extended time frames. The study’s findings are particularly relevant for asset management companies, fund houses and financial academicians working in the area of asset anomalies.

Do Lower Foreign Flows and Higher Domestic Flows Reduce Indian Equity Market Volatility?

2021 ◽  
pp. 097226292199098
Author(s):  
Vaibhav Aggarwal ◽  
Adesh Doifode ◽  
Mrityunjay Kumar Tiwary
Keyword(s):  
Stock Market ◽  
Mutual Fund ◽  
Stock Markets ◽  
Large Scale ◽  
Structural Changes ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Equity Investments ◽  
Net Equity ◽  
Indian Stock Market

This study examines the relationship that both domestic and foreign institutional net equity flows have with the India stock markets. The motivation behind is the study to examine whether increased net equity investments from domestic institutional investors has reduced the influence of foreign equity flows on the Indian stock market volatility. Our results indicate that only during periods in which domestic equity inflows surpass foreign flows by a significant margin, as seen during 2015–2018, is the Indian stock market volatility not significantly influenced by foreign equity investments. However, during periods of re-emergence of strong foreign net inflows, the Indian market volatility is still being impacted significantly, as has been observed since 2019. Furthermore, we find that both large-scale net buying and net selling by domestic funds increased the stock market volatility as observed during 2015–2018 and COVID-impacted year 2020 respectively. The implications of this study are multi-fold. First, the regulators should discuss with industry bodies before enforcing major structural changes like reconstituting of mutual fund investment mandate in 2017 which forced domestic funds to quickly change portfolio allocation amongst large-cap, mid-cap and small-cap stocks resulting in higher stock market volatility. Second, adequate investor educational and awareness programmes need to be conducted regularly for retail investors to minimize herd behaviour of investing during market rise and heavy redemptions at times of fall. Third, the economic policies should be stable and forward-looking to ensure foreign investors remain attracted to the Indian stock markets at all times.

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