Samveg Patel

This study investigated the effect of foreign institutional investment (FII) on the returns of Indian stock market using monthly data collected over the period from January 1993 to May 2012. By applying augmented Dickey-Fuller unit root test, Johansen cointegration test, Granger causality test and vector error correction model (VECM), this study found that FII and Sensex are level and first difference stationary series, respectively. It also found positive long-run equilibrium relationship between stock market index and FII. The study also revealed bidirectional causality between stock market index and FII. This study formulated VECM, which can be used for the estimation purpose. The major implication that this study derived is that foreign investments play a beneficial role in the development of the Indian economy and, therefore, the Indian government should try to maximise net foreign investment. The results obtained in this study were based on the monthly data of Sensex and FII; therefore, one needs to be cautious before generalising the results. For future research, one may consider other Indian stock market indices, sector indices and individual companies. Even more robust analysis can be done by reducing the frequency of data, which will help in validating the result of this study.

Abstract The present study empirically investigates the dynamic linkages between American Depository Receipts (ADRs) and their respective underlying stock returns of Indian stock market. Study analyzes daily data from the respective date of issue of that ADR to April 30, 2013 by applying augmented Dickey–Fuller unit root test, Johansen cointegration test, Granger causality test, vector error correction model, impulse response function and variance decomposition. The empirical result shows that both underlying stocks and ADRs are level stationary and long-run equilibrium relationship exists between them. Further, Granger causality test uncovers that ADRs lead underlying stocks. Additionally, impulse response function reveals that both underlying stocks and ADRs positively affect each other. Likewise, variance decomposition provides evidence that underlying stocks explain around half of the variance of ADRs. Major conclusion of this study is that price discovery takes place in ADR market, proposing that arrival of new information disseminates faster in ADR market.

Indian stock market was functioning with Accounting Period settlement cycle till December 31, 2001. But as per the recommendation of G-30 which was a group to determine the best international practices for securities clearing and settlements, Indian stock market has adopted T+2 rolling settlement cycle on April 1, 2003. Difference of settlement and clearing cycles of different stock exchanges might lead to the day of the week anomaly. Day anomaly in return and volatility of stock market was found to be affected by settlement cycle, and it changes over the period of time. Therefore, present study tries to investigate the effect of introduction of T+2 settlement cycle on day of the week anomaly in return and volatility of Indian stock market. Study analyzes daily closing price data of Sensex and Nifty over the period January 2, 1991 to January 31, 2013 covering 5,763 samples. Study computes descriptive statistics of each week days for both subperiods as well as for complete sample period. It also applies GARCH (1, 1) model for investigating the presence of day of the week effect in both return and volatility of Indian stock market. Empirical result reveals that before introduction of T+2 settlement, returns of Monday and Thursday were negative, while after the introduction of T+2 settlement, returns of all days are positive. By applying GARCH model, this study concludes that after the introduction of T+2 settlement, day of the week effect exists only in return of Indian stock market, but it does not exist in volatility of Indian stock market.

The study investigates the effect of macroeconomic determinants on the performance of the Indian Stock Market using monthly data over the period January 1991 to December 2011 for eight macroeconomic variables, namely, Interest Rate, Inflation, Exchange Rate, Index of Industrial Production, Money Supply, Gold Price, Silver Price & Oil Price, and two stock market indices namely Sensex and S&P CNX Nifty. By applying Augmented Dickey Fuller Unit root test, Johansen Cointegration test, Granger Causality test and Vector Error Correction Model (VECM), the study found that Interest Rate is I(0); Sensex, Nifty, Exchange Rate, Index of Industrial Production, Gold Price, Silver Price and Oil Price are I (1); and Inflation and Money Supply are I (2). It also found the long run relationship between macroeconomic variables and stock market indices. The study also revealed the causality run from exchange rate to stock market indices to IIP and Oil Price.

The study investigates the interdependence of Indian Stock Market with other Asian equity markets like Pakistan, Sri Lanka, Malaysia, Korea, Japan, Singapore, Taiwan and China. The study uses monthly data over the period July 1997 to September 2012. By applying Augmented Dickey Fuller Unit Root Test, Johansen Cointegration Test, Granger Causality Test and Vector Error Correction Model (VECM) study find that all Asian stock indices are first difference stationary and long run equilibrium relationship exist among Asian markets. Study uncovers that causality run from stock markets of Sri Lanka, Korea, Singapore and China to India and from India to Pakistan. It also implies that the Indian stock market is affected by stock indices of Sri Lanka, Japan, Singapore, and China. Major implication study derives is that Indian government should monitor movements of Asian equity markets very closely, because crisis in any Asian country may affect the performance of Indian stock market. Further r...

The study investigates the interdependence of Indian Stock Market with other Asian equity markets like Pakistan, Sri Lanka, Malaysia, Korea, Japan, Singapore, Taiwan and China. Study uses monthly data over the period July 1997 to September 2012. By applying Augmented Dickey Fuller Unit Root Test, Johansen Co-integration Test, Granger Causality Test and Vector Error Correction Model (VECM) study find that all Asian stock indices are first difference stationary and long run equilibrium relationship exist among Asian markets. Study uncovers that causality run from stock markets of Sri Lanka, Korea, Singapore and China to India and from India to Pakistan. It also implies that Indian stock market is affected by stock indices of Sri Lanka, Japan, Singapore, and China. Major implication study derives is that Indian government should monitor movements of Asian equity markets very closely, because crisis in any Asian country may affect the performance of Indian stock market. Further robust r...

This paper investigates the causal relationship between stock market indices and gold price in India. The monthly time series data for Mumbai gold prices and three stock market indices, viz., Sensex, BSE 100 and S&P CNX Nifty, are used for the period January 1991 to December 2011. By applying Augmented Dickey-Fuller unit root test, Johansen cointegration test and Granger causality test in Error Correction Model framework, the study concludes that all series are I(1)and there exists a long-run equilibrium relation between all the variables. The study also provides evidence that the Granger causality runs from gold price to Nifty only. Hence, gold price contains some significant information to forecast Nifty return.

The study investigates the effect of macroeconomic
determinants on the performance of the Indian
Stock Market using monthly data over the period
January 1991 to December 2011 for eight
macroeconomic variables, namely, Interest Rate,
Inflation, Exchange Rate, Index of Industrial
Production, Money Supply, Gold Price, Silver Price&
Oil Price, and two stock market indices namely
Sensex and S&P CNX Nifty. By applying Augmented
Dickey Fuller Unit root test, Johansen Cointegration
test, Granger Causality test and Vector Error
Correction Model (VECM), the study found that
Interest Rate is I(0); Sensex, Nifty, Exchange Rate, Index of Industrial Production, Gold Price, Silver
Price and Oil Price are I (1); and Inflation andMoney
Supply are I (2). It also found the long run
relationshipbetweenmacroeconomic variablesand
stock market indices. The study also revealed the
causality run from exchange rate to stock market
indices to IIP andOil Price.

This paper investigates the causal relationship between stock market indices and gold price in India. The monthly time series data for Mumbai gold prices and three stock market indices, viz., Sensex, BSE 100 and S&P CNX Nifty, are used for the period January 1991 to December 2011. By applying Augmented Dickey-Fuller unit root test, Johansen cointegration test and Granger causality test in Error Correction Model framework, the study concludes that all series are I(1)and there exists a long-run equilibrium relation between all the variables. The study also provides evidence that the Granger causality runs from gold price to Nifty only. Hence, gold price contains some significant information to forecast Nifty return.

The study investigates the role of gold as a strategic prophecy against inflation and exchange rate. The main research question of the present study is whether gold has acted as a hedge against inflation and exchange rate for India. Study has evaluated monthly data of gold price, inflation and exchange rate over the period January 1991 to September 2012. By applying Augmented Dickey Fuller unit root test, Johansen Cointegration test and Granger Causality test in Error Correction Model framework, study concludes that Gold Price and Exchange rate are I (1) and Inflation is I (2). It also concludes that there exists long run equilibrium relation among all three variables. However, study provides evidence of no Granger Causality among these variables. By applying ARCH-LM test, heteroskedasticity was detected and Gold price can be modeled as GARCH (1, 1). A negative relationship was found between gold and inflation which suggests that gold acts as an internal hedge against inflation for India. Major implication of this study is that Indian investor should prefer gold investment in the time of inflation boom.

The study investigates the interdependence of Indian Stock Market with
other Asian equity markets like Pakistan, Sri Lanka, Malaysia, Korea,
Japan, Singapore, Taiwan and China. Study uses monthly data over the
period July 1997 to September 2012. By applying Augmented Dickey
Fuller Unit Root Test, Johansen Co-integration Test, Granger Causality
Test and Vector Error Correction Model (VECM) study find that all Asian
stock indices are first difference stationary and long run equilibrium
relationship exist among Asian markets. Study uncovers that causality
run from stock markets of Sri Lanka, Korea, Singapore and China to
India and from India to Pakistan. It also implies that Indian stock market
is affected by stock indices of Sri Lanka, Japan, Singapore, and China.
Major implication study derives is that Indian government should monitor
movements of Asian equity markets very closely, because crisis in any
Asian country may affect the performance of Indian stock market. Further
robust research can be done by reducing the frequency of data which will
be helpful in validating the result of this study

The study investigates the interdependence of Indian Stock Market with other Asian equity markets like Pakistan, Sri Lanka, Malaysia, Korea, Japan, Singapore, Taiwan and China. The study uses monthly data over the period July 1997 to September 2012. By applying Augmented Dickey Fuller Unit Root Test, Johansen Cointegration Test, Granger Causality Test and Vector Error Correction Model (VECM) study find that all Asian stock indices are first difference stationary and long run equilibrium relationship exist among Asian markets. Study uncovers that causality run from stock markets of Sri Lanka, Korea, Singapore and China to India and from India to Pakistan. It also implies that the Indian stock market is affected by stock indices of Sri Lanka, Japan, Singapore, and China. Major implication study derives is that Indian government should monitor movements of Asian equity markets very closely, because crisis in any Asian country may affect the performance of Indian stock market. Further robust research can be done by reducing the frequency of data which will be helpful in validating the result of this study.

This study investigated the effect of foreign institutional investment (FII) on the returns of Indian
stock market using monthly data collected over the period from January 1993 to May 2012. By
applying augmented Dickey-Fuller unit root test, Johansen cointegration test, Granger causality
test and vector error correction model (VECM), this study found that FII and Sensex are level
and first difference stationary series, respectively. It also found positive long-run equilibrium
relationship between stock market index and FII. The study also revealed bidirectional causality
between stock market index and FII. This study formulated VECM, which can be used for the
estimation purpose. The major implication that this study derived is that foreign investments play
a beneficial role in the development of the Indian economy and, therefore, the Indian
government should try to maximise net foreign investment. The results obtained in this study
were based on the monthly data of Sensex and FII; therefore, one needs to be cautious before
generalizing the results. For future research, one may consider other Indian stock market
indices, sector indices and individual companies. Even more robust analysis can be done by
reducing the frequency of data, which will help in validating the result of this study.

Indian stock market was functioning with Accounting Period settlement cycle till December 31, 2001. But as per the recommendation of G-30 which was a group to determine the best international practices for securities clearing and settlements, Indian stock market has adopted T+2 rolling settlement cycle on April 1, 2003. Difference of settlement and clearing cycles of different stock exchanges might lead to the day of the week anomaly. Day anomaly in return and volatility of stock market was found to be affected by settlement cycle, and it changes over the period of time. Therefore, present study tries to investigate the effect of introduction of T+2 settlement cycle on day of the week anomaly in return and volatility of Indian stock market. Study analyzes daily closing price data of Sensex and Nifty over the period January 2, 1991 to January 31, 2013 covering 5,763 samples. Study computes descriptive statistics of each week days for both subperiods as well as for complete sample period. It also applies GARCH (1, 1) model for investigating the presence of day of the week effect in both return and volatility of Indian stock market. Empirical result reveals that before introduction of T+2 settlement, returns of Monday and Thursday were negative, while after the introduction of T+2 settlement, returns of all days are positive. By applying GARCH model, this study concludes that after the introduction of T+2 settlement, day of the week effect exists only in return of Indian stock market, but it does not exist in volatility of Indian stock market.

The present study empirically investigates the dynamic linkages between American Depository Receipts (ADRs) and their respective underlying stock returns of Indian stock market. Study analyzes daily data from the respective date of issue of that ADR to April 30, 2013 by applying augmented Dickey–Fuller unit root test, Johansen cointegration test, Granger causality test, vector error correction model, impulse response function and variance decomposition. The empirical result shows that both underlying stocks and ADRs are level stationary and long-run equilibrium relationship exists between them. Further, Granger causality test uncovers that ADRs lead underlying stocks. Additionally, impulse response function reveals that both underlying stocks and ADRs positively affect each other. Likewise, variance decomposition provides evidence that underlying stocks explain around half of the variance of ADRs. Major conclusion of this study is that price discovery takes place in ADR market, proposing that arrival of new information disseminates faster in ADR market.

The impact of the macroeconomic shock of demonetisation in 2016 on the dividend payout policy of Indian companies is examined. The analyses of 2,157 Indian companies’ data for the period from 2013 to 2018 find that both aggregate dividend payout ratio and the number of companies paying dividends dropped in post-demonetisation years. The results of the dynamic system generalised method of moments show that the long-term target dividend payout ratio declined by 9.31% post demonetisation. The study suggests that major macroeconomic shocks affect the dividend payout decisions of companies.