Academician with financial industry background. Associated with many academic institutions. Currently fulfill the responsibility of the Dean in an University
Indian stock market has seen many microstructure changes during last one decade or so. This has h... more Indian stock market has seen many microstructure changes during last one decade or so. This has helped the market to grow and attract substantial foreign investment. Last decade has seen a few market debacles when a handful of people tried to manipulate the market in their ...
The relationship between the stock markets of the developed countries has been examined extensive... more The relationship between the stock markets of the developed countries has been examined extensively in the literature. This study examines the interdependence of the three major stock markets in South Asia. Using daily stock market data from January 1994 to November 2002, we examine the stock market indices of India (NSE NIFTY), Singapore (STI) and Taiwan (Taiex). The index level series are non-stationary and so we employ bi-variate and multivariate cointegration analysis to model the linkages among these stock markets. We found no cointegration between the stock market indices for the entire period and hence no long run equilibrium. We found mild causality for some years in the study though most of the time these markets have not been interlinked. The study has used. It should be borne in mind that the tests carried out only tests for presence or absence of linear relationships.
ABSTRACT The pure expectations hypothesis states that the current yields on bonds with different ... more ABSTRACT The pure expectations hypothesis states that the current yields on bonds with different maturities reflect investor expectations of future interest rates. Analysing the short-term inter-bank rates in a Vector Error Correction Model (VECM), the study could reject the pure as well as the general expectations theory in case of the 1 month and 3 months rates but not in case of 14 day rates. The term premia is found to be time-varying. The study attempts to quantify and decompose the term premia, inherent in the money market rates. The study uses the market spreads derived from the swap market, T-Bills, and CD markets to understand the level of decomposition of the term premia. A latent factor model was used to break down the term premia and decompose the same into credit and liquidity risk factors by using information from related money market instruments.
The government’s decision to allow setting up of modern national commodity exchanges in 2002 help... more The government’s decision to allow setting up of modern national commodity exchanges in 2002 helped revival of futures markets after nearly 40 years with more than 100 commodities covered under futures trading. The national exchanges equipped with modern technology helped taking futures market to many targeted participants which were possibly outside the domain in the earlier era. The functioning of futures markets came under scrutiny during 2006-07 and government has ordered for delisting of futures contracts in agricultural commodities like urad, tur, wheat and rice in early 2007 with a suspicion that futures trading in these commodities had been contributing for the rise in their domestic spot prices. The study attempts to explore the effect of introduction of futures trading on the spot prices of pulses. The study found that volatilities of urad, gram and wheat prices were higher during the period of futures trading than that in the period prior to introduction as well as after ...
The study has attempted to empirically examine the efficiency of Govt. securities auction in Indi... more The study has attempted to empirically examine the efficiency of Govt. securities auction in Indian market. It is observed that prices of the securities under auction generally move downward between the date of announcement of auction and the date of auction. The yield, duration, issue size, outstanding stocks of the security under auction have significant impact of the price changes of auctioned securities. Introduction of an open limit order book system for Government securities market has been found to be statistically significant. Before the introduction of limit order book system, the average price change was 1.89% while after introduction of limit order book system, the same came down drastically to 0.87%.
Bond Theory is an integral part of financial market. Understanding the same is essential for stud... more Bond Theory is an integral part of financial market. Understanding the same is essential for students entering the market for career options. There are various types of bonds and pricing logic is different for different type of bonds. The differential approach presented in this write up tries to make students understand bond pricing dynamics more intuitively. The concept of duration and convexity has been explained with graphical presentations. The write-up is an application based approach to bring clarity to the Bond theory topic. Indian bond market conventions (30/360E, Semi-annual payment of coupon, FV=100, quotation on Clean price, etc.) have been used for explanation.
The study attempts to capture the long term relationship between Crude Oil and Gold prices. Empir... more The study attempts to capture the long term relationship between Crude Oil and Gold prices. Empirical analysis shows that Gold and Crude oil prices are positively correlated but no long term plausible relation was established between them using Granger Causality test and Regression using lags. Study finds no strong evidence for causality running in either direction between gold prices and crude oil prices.
The proactive measures undertaken by Reserve Bank of India (RBI) helped to develop the government... more The proactive measures undertaken by Reserve Bank of India (RBI) helped to develop the government securities market and added depth and liquidity. The proprietary deals constitute the largest part of the dealing in Government securities market. Commercial Banks offer constituent services to smaller entities like cooperative banks, corporates, etc. to facilitate their trading activities in Government securities. The constituent deals have almost stagnated as many smaller entities are given permission by RBI to directly deal in the market instead of going through a Bank. RBI has been taking measures to improve direct market access instead of going through intermediaries. The study finds that NDSOM system has helped to reduce price variations in Government securities to a large extent as bond traders can view the market online and take appropriate positions. There is a need to encourage smaller entities co-operative banks, pension funds with Gilt Accounts and currently participating through brokers or Primary Members like commercial banks to avail of the NDSOM to directly manage their positions and also to reduce their transaction costs. There is also a need for Foreign Institutional Investors to be given access to the NDSOM to be able to take advantage of the direct trading in this market.
Indian stock market has seen many microstructure changes during last one decade or so. This has h... more Indian stock market has seen many microstructure changes during last one decade or so. This has helped the market to grow and attract substantial foreign investment. Last decade has seen a few market debacles when a handful of people tried to manipulate the market in their ...
The relationship between the stock markets of the developed countries has been examined extensive... more The relationship between the stock markets of the developed countries has been examined extensively in the literature. This study examines the interdependence of the three major stock markets in South Asia. Using daily stock market data from January 1994 to November 2002, we examine the stock market indices of India (NSE NIFTY), Singapore (STI) and Taiwan (Taiex). The index level series are non-stationary and so we employ bi-variate and multivariate cointegration analysis to model the linkages among these stock markets. We found no cointegration between the stock market indices for the entire period and hence no long run equilibrium. We found mild causality for some years in the study though most of the time these markets have not been interlinked. The study has used. It should be borne in mind that the tests carried out only tests for presence or absence of linear relationships.
ABSTRACT The pure expectations hypothesis states that the current yields on bonds with different ... more ABSTRACT The pure expectations hypothesis states that the current yields on bonds with different maturities reflect investor expectations of future interest rates. Analysing the short-term inter-bank rates in a Vector Error Correction Model (VECM), the study could reject the pure as well as the general expectations theory in case of the 1 month and 3 months rates but not in case of 14 day rates. The term premia is found to be time-varying. The study attempts to quantify and decompose the term premia, inherent in the money market rates. The study uses the market spreads derived from the swap market, T-Bills, and CD markets to understand the level of decomposition of the term premia. A latent factor model was used to break down the term premia and decompose the same into credit and liquidity risk factors by using information from related money market instruments.
The government’s decision to allow setting up of modern national commodity exchanges in 2002 help... more The government’s decision to allow setting up of modern national commodity exchanges in 2002 helped revival of futures markets after nearly 40 years with more than 100 commodities covered under futures trading. The national exchanges equipped with modern technology helped taking futures market to many targeted participants which were possibly outside the domain in the earlier era. The functioning of futures markets came under scrutiny during 2006-07 and government has ordered for delisting of futures contracts in agricultural commodities like urad, tur, wheat and rice in early 2007 with a suspicion that futures trading in these commodities had been contributing for the rise in their domestic spot prices. The study attempts to explore the effect of introduction of futures trading on the spot prices of pulses. The study found that volatilities of urad, gram and wheat prices were higher during the period of futures trading than that in the period prior to introduction as well as after ...
The study has attempted to empirically examine the efficiency of Govt. securities auction in Indi... more The study has attempted to empirically examine the efficiency of Govt. securities auction in Indian market. It is observed that prices of the securities under auction generally move downward between the date of announcement of auction and the date of auction. The yield, duration, issue size, outstanding stocks of the security under auction have significant impact of the price changes of auctioned securities. Introduction of an open limit order book system for Government securities market has been found to be statistically significant. Before the introduction of limit order book system, the average price change was 1.89% while after introduction of limit order book system, the same came down drastically to 0.87%.
Bond Theory is an integral part of financial market. Understanding the same is essential for stud... more Bond Theory is an integral part of financial market. Understanding the same is essential for students entering the market for career options. There are various types of bonds and pricing logic is different for different type of bonds. The differential approach presented in this write up tries to make students understand bond pricing dynamics more intuitively. The concept of duration and convexity has been explained with graphical presentations. The write-up is an application based approach to bring clarity to the Bond theory topic. Indian bond market conventions (30/360E, Semi-annual payment of coupon, FV=100, quotation on Clean price, etc.) have been used for explanation.
The study attempts to capture the long term relationship between Crude Oil and Gold prices. Empir... more The study attempts to capture the long term relationship between Crude Oil and Gold prices. Empirical analysis shows that Gold and Crude oil prices are positively correlated but no long term plausible relation was established between them using Granger Causality test and Regression using lags. Study finds no strong evidence for causality running in either direction between gold prices and crude oil prices.
The proactive measures undertaken by Reserve Bank of India (RBI) helped to develop the government... more The proactive measures undertaken by Reserve Bank of India (RBI) helped to develop the government securities market and added depth and liquidity. The proprietary deals constitute the largest part of the dealing in Government securities market. Commercial Banks offer constituent services to smaller entities like cooperative banks, corporates, etc. to facilitate their trading activities in Government securities. The constituent deals have almost stagnated as many smaller entities are given permission by RBI to directly deal in the market instead of going through a Bank. RBI has been taking measures to improve direct market access instead of going through intermediaries. The study finds that NDSOM system has helped to reduce price variations in Government securities to a large extent as bond traders can view the market online and take appropriate positions. There is a need to encourage smaller entities co-operative banks, pension funds with Gilt Accounts and currently participating through brokers or Primary Members like commercial banks to avail of the NDSOM to directly manage their positions and also to reduce their transaction costs. There is also a need for Foreign Institutional Investors to be given access to the NDSOM to be able to take advantage of the direct trading in this market.
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Papers by Golaka C. Nath