International Journal of Energy Economics and Policy
This article examines the cross-hedging performance of crude futures against the tyre equity futu... more This article examines the cross-hedging performance of crude futures against the tyre equity futures to hedge the tyre equity stocks. Three multivariate conditional volatility models, namely constant conditional correlation (CCC), dynamic conditional correlation (DCC) and diagonal BEKK are applied. Using the conditional covariance and variance from the MGARCH estimates, the optimal hedge ratios (OHRs) are computed. The results of this study show that the volatility spillover exists between the returns of crude oil futures and tyre equity. However, for tyre equities, the best cross hedge is tyre equity futures rather than crude futures. All the MGARCH estimates show better hedging possibility with tyre equity futures, particularly MRF futures.
The trading of natural rubber derivatives in the Indian commodity exchanges was banned several ti... more The trading of natural rubber derivatives in the Indian commodity exchanges was banned several times in the past. Hence, in India, the derivatives on natural rubber are not traded actively and regularly. We have examined the possibility of a forecast model and a cross hedge tool for the natural rubber price by using crude oil futures in India. Results of the Johansen cointegration test proved that there is no cointegration equation in the model; hence, there is no scope to develop long-run models or error correction models. We have developed a vector autoregressive [VAR(2)] model to forecast the rubber price, and we examined the possibility of a cross hedge for natural rubber further by using the Pearson correlation coefficient and Granger causality test. We have extended our research to a structural VAR analysis to examine the effect of crude futures and exchange rate shocks on the natural rubber price. Our results showed that there is a short-term relationship between the crude oi...
International Journal of Energy Economics and Policy, 2021
This article examines the cross-hedging performance of crude futures against the tyre equity futu... more This article examines the cross-hedging performance of crude futures against the tyre equity futures to hedge the tyre equity stocks. Three multivariate conditional volatility models, namely constant conditional correlation (CCC), dynamic conditional correlation (DCC) and diagonal BEKK are applied. Using the conditional covariance and variance from the MGARCH estimates, the optimal hedge ratios (OHRs) are computed. The results of this study show that the volatility spillover exists between the returns of crude oil futures and tyre equity. However, for tyre equities, the best cross hedge is tyre equity futures rather than crude futures. All the MGARCH estimates show better hedging possibility with tyre equity futures, particularly MRF futures.
International Journal of Economics and Financial Issues, 2020
The purpose of this study is to test whether the Indian pharmaceutical companies support efficien... more The purpose of this study is to test whether the Indian pharmaceutical companies support efficient market hypotheses (EMH) and examine the efficiency of the Indian stock market in three forms, i.e., the weak, the semi-strong, and the strong form of market efficiency. For testing the weak form of efficiency, researchers collected stock price data of 10 listed pharmaceutical companies for the past 6 years, from 2012 to 2017 from the NSE website, and conducted a run test. To test the efficiency of semi-strong form, researchers collected data on the announcement of events like buyback, stock split, rights issue, dividend, bonus issue. They conducted an event study on the data. For testing the strong form of efficiency, researchers collected data consisting of NAV of some mutual funds (pharmaceutical funds) and the returns of a benchmarking index to compare. The study concludes that the pharmaceutical companies and Indian stock market is efficient in the weak form of EMH and not efficien...
Many studies have stated that the usage of traditional cooking fuels like firewood, dung, and coa... more Many studies have stated that the usage of traditional cooking fuels like firewood, dung, and coal has caused many unfortunate deaths in India. The alternative fuel sources like LPG and electricity are in scarce and. Today, researches in the area of biofuel or bioenergy are of prime interest to many researchers to contribute to sustainable energy sources. Bioenergy from cattle dung is one such area, particularly for a country like India where dairy farms is a major supplier of feedstock. In this study, using logistic regression methodology, we have analysed the socioeconomic factors influencing the adoption of biogas digesters among dairy farmers in Karnataka, India. The study revealed that the number of cattle and family size are the key factors for biogas adoption and poor knowledge of the family size and cattle ratio is the key hurdle. Using cross-tabulation and some basic mathematical analysis, we concluded that the optimal number of cattle for one adult in a family is 1.
Banking sector plays a leading role in financing a country's economic activities. Its performance... more Banking sector plays a leading role in financing a country's economic activities. Its performance is crucial in determining a country's economic growth. This paper examines the performance of commercial retail banks (conventional and Islamic) in Bahrain and financial ratios were used for the period of 15 years 2001-2015 on parameters such as profitability, liquidity, operating efficiency, capital adequacy and leverage. The empirical results revealed that conventional retail banks, except for Bahrain development bank, have consistent performance in return on assets and return on equity while among the Islamic retail banks, the performance of Kuwait finance house is satisfactory in terms of profitability. The data also shows that all banks have satisfactory risk assets ratio. The commercial banks' profitability and capital adequacy as well as their profitability and efficiency are statistically correlated. There is a significant difference in the capital adequacy but no significant difference in profitability and liquidity was found among the listed commercial retail banks.
International Journal of Energy Economics and Policy
This article examines the cross-hedging performance of crude futures against the tyre equity futu... more This article examines the cross-hedging performance of crude futures against the tyre equity futures to hedge the tyre equity stocks. Three multivariate conditional volatility models, namely constant conditional correlation (CCC), dynamic conditional correlation (DCC) and diagonal BEKK are applied. Using the conditional covariance and variance from the MGARCH estimates, the optimal hedge ratios (OHRs) are computed. The results of this study show that the volatility spillover exists between the returns of crude oil futures and tyre equity. However, for tyre equities, the best cross hedge is tyre equity futures rather than crude futures. All the MGARCH estimates show better hedging possibility with tyre equity futures, particularly MRF futures.
The trading of natural rubber derivatives in the Indian commodity exchanges was banned several ti... more The trading of natural rubber derivatives in the Indian commodity exchanges was banned several times in the past. Hence, in India, the derivatives on natural rubber are not traded actively and regularly. We have examined the possibility of a forecast model and a cross hedge tool for the natural rubber price by using crude oil futures in India. Results of the Johansen cointegration test proved that there is no cointegration equation in the model; hence, there is no scope to develop long-run models or error correction models. We have developed a vector autoregressive [VAR(2)] model to forecast the rubber price, and we examined the possibility of a cross hedge for natural rubber further by using the Pearson correlation coefficient and Granger causality test. We have extended our research to a structural VAR analysis to examine the effect of crude futures and exchange rate shocks on the natural rubber price. Our results showed that there is a short-term relationship between the crude oi...
International Journal of Energy Economics and Policy, 2021
This article examines the cross-hedging performance of crude futures against the tyre equity futu... more This article examines the cross-hedging performance of crude futures against the tyre equity futures to hedge the tyre equity stocks. Three multivariate conditional volatility models, namely constant conditional correlation (CCC), dynamic conditional correlation (DCC) and diagonal BEKK are applied. Using the conditional covariance and variance from the MGARCH estimates, the optimal hedge ratios (OHRs) are computed. The results of this study show that the volatility spillover exists between the returns of crude oil futures and tyre equity. However, for tyre equities, the best cross hedge is tyre equity futures rather than crude futures. All the MGARCH estimates show better hedging possibility with tyre equity futures, particularly MRF futures.
International Journal of Economics and Financial Issues, 2020
The purpose of this study is to test whether the Indian pharmaceutical companies support efficien... more The purpose of this study is to test whether the Indian pharmaceutical companies support efficient market hypotheses (EMH) and examine the efficiency of the Indian stock market in three forms, i.e., the weak, the semi-strong, and the strong form of market efficiency. For testing the weak form of efficiency, researchers collected stock price data of 10 listed pharmaceutical companies for the past 6 years, from 2012 to 2017 from the NSE website, and conducted a run test. To test the efficiency of semi-strong form, researchers collected data on the announcement of events like buyback, stock split, rights issue, dividend, bonus issue. They conducted an event study on the data. For testing the strong form of efficiency, researchers collected data consisting of NAV of some mutual funds (pharmaceutical funds) and the returns of a benchmarking index to compare. The study concludes that the pharmaceutical companies and Indian stock market is efficient in the weak form of EMH and not efficien...
Many studies have stated that the usage of traditional cooking fuels like firewood, dung, and coa... more Many studies have stated that the usage of traditional cooking fuels like firewood, dung, and coal has caused many unfortunate deaths in India. The alternative fuel sources like LPG and electricity are in scarce and. Today, researches in the area of biofuel or bioenergy are of prime interest to many researchers to contribute to sustainable energy sources. Bioenergy from cattle dung is one such area, particularly for a country like India where dairy farms is a major supplier of feedstock. In this study, using logistic regression methodology, we have analysed the socioeconomic factors influencing the adoption of biogas digesters among dairy farmers in Karnataka, India. The study revealed that the number of cattle and family size are the key factors for biogas adoption and poor knowledge of the family size and cattle ratio is the key hurdle. Using cross-tabulation and some basic mathematical analysis, we concluded that the optimal number of cattle for one adult in a family is 1.
Banking sector plays a leading role in financing a country's economic activities. Its performance... more Banking sector plays a leading role in financing a country's economic activities. Its performance is crucial in determining a country's economic growth. This paper examines the performance of commercial retail banks (conventional and Islamic) in Bahrain and financial ratios were used for the period of 15 years 2001-2015 on parameters such as profitability, liquidity, operating efficiency, capital adequacy and leverage. The empirical results revealed that conventional retail banks, except for Bahrain development bank, have consistent performance in return on assets and return on equity while among the Islamic retail banks, the performance of Kuwait finance house is satisfactory in terms of profitability. The data also shows that all banks have satisfactory risk assets ratio. The commercial banks' profitability and capital adequacy as well as their profitability and efficiency are statistically correlated. There is a significant difference in the capital adequacy but no significant difference in profitability and liquidity was found among the listed commercial retail banks.
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Papers by Abhaya KUMAR