This research paper investigates the stock market movements and linkages between the Asian emergi... more This research paper investigates the stock market movements and linkages between the Asian emerging markets (China, India, Indonesia, Korea, Malaysia, Philippines, Taiwan and Thailand) and two developed markets (i.e. USA and Japan). This study employs the statistical application of descriptive statistics, unit root test, correlation and pairwise granger causality test. The study used daily data from 01st January, 2005 to 31st December, 2014, to examine both short-run (year wise) and long-run (whole study period) movements and linkages between Asian emerging stock markets and two developed stock markets. The presence of short-run relationship and absence of a strong long-run relationship, among these markets, were found. The short run (year wise) and long run movements and linkages have important implications for investors, risk managers and regulators. It is found that Indian stock market experienced less movements with developed markets (USA and JAPAN). This study also suggested that India's stock market is largely protected from global events i.e., 2007-2008. The sample stock markets of these eight countries of Asian emerging markets provide attractive diversification opportunities, for international portfolio investors during the long run period. All the eight countries of Asian emerging markets provide attractive diversification opportunities for international portfolio investors, over a long period.
Unexpected and sudden spread of the novel Coronavirus disease (COVID-19) has opened up many scope... more Unexpected and sudden spread of the novel Coronavirus disease (COVID-19) has opened up many scopes for researchers in the fields of biotechnology, health care, educational sectors, agriculture, manufacturing, service sectors, marketing, finance, etc. Hence, the researchers are concerned to study, analyze and predict the impact of infection of COVID-19. The COVID-19 pandemic has affected many fields, particularly the stock markets in the financial sector. In this paper, we have proposed an econometric approach and stochastic approach to analyze the stochastic nature of stock price before and during a COVID-19-specific pandemic period. For our study, we considered the BSE SENSEX INDEX closing pricing data from the Bombay Stock Exchange for the period before and during COVID-19. We have applied the statistical tools, namely descriptive statistics for testing the normal distribution of data, unit root test for testing the stationarity, and GARCH and stochastic model for measuring the risk, also investigated drift and volatility (or diffusion) coefficients of the stock price SDE by using R Environment software and formulated the 95% confidence level bound with the help of 500 times simulations. Finally, the results have been obtained from these methods and simulations are discussed.
Sustainable development enhances the human life, with good eco facilities. The way to move toward... more Sustainable development enhances the human life, with good eco facilities. The way to move toward the sustainable development is by giving best solutions to the issues of unbalanced ecological, environmental and economic development. This paper investigates the relationship between the environmental performance and the profitability variables such as return on assets (ROA), return on equity (ROE), return on capital employed (ROCE), and return on sales (ROS) of the sample firms in India. Granger causality test was used to examine bidirectional causality running from energy intensity (EI) to profitability of the firm. The study identified causal relationship that existed among the environmental performance and profitability of the firm. Further, it is found that there was an inverse relationship between ROCE and EI of the firm while direct relationship existed among ROA, ROE, ROS and EI. It is suggested that the practitioners, policy makers etc. may adopt the environment friendly tech...
The capital market is a vital institution as it facilitates economic development of a country. In... more The capital market is a vital institution as it facilitates economic development of a country. Investors need to know the efficiency of the stock market to invest their hard-earned money in a profitable way, while the policy makers need the latest information about different indices to devise appropriate policies. Thus, the efficiency of sectoral indices could also help the government to identify efficient sectors and to channel available resources for the growth of such sectors. This paper proposes to investigate the capital market efficiency in NSE (National Stock Exchange) sectoral indices by using daily share price returns. The aim of this study was to examine the weak form efficiency of the selected indices listed in NSE. The study found from the results of sectoral indices that NSE could not be considered under weak form efficiency during the study period.
This study an attempt to examine the long-run volatility and causality effects of Sri Lankan (LKR... more This study an attempt to examine the long-run volatility and causality effects of Sri Lankan (LKR) currency and nine currency of emerging countries in Asia against USD over 17 years i.e., from 01st January, 2002 to 31st December, 2018 by using the Descriptive Statistics (Summary), GARCH (1,1) Model, Correlation and Granger Causality Test. A descriptive statistics and Graphical model were specified and empirical results show a significant currencies movements and the Granger causality test indicates the strong evidence that the causation runs between Sri Lankan currency (LKR / USD) to nine Asian emerging countries currency price behavior against USD. The purpose of the study is to make a finer point with respect to relationship, volatility and causality effect between the Sri Lankan currency and Asian Emerging countries currency returns against USD. It is found that he significant uni-directional causality effects and relationships among the sample currency data series with LKR again...
In the aftermath of Globalization, several trade barriers, which hindered the organic growth of b... more In the aftermath of Globalization, several trade barriers, which hindered the organic growth of business enterprises, were removed. The world tends to become borderless, in terms of trade transactions and market operations, facilitates the maximization of wealth. The stock market movements are influenced by micro as well as macro-economic variables, corporate environment, the legal framework and taxation policies pertinent to each economy. The real issue lies in accurately predicting the future stock price/index movements, due to persistence of stochastic behavior in the stock markets. This paper discusses non-linear movement pattern of two vibrant stock indices of India, BSE-Sensex and NSE-Nifty, using the data deterministic method. Ten technical indicators were used to validate the stock market data. The findings would help the investors, to make informed investment decisions to optimize the stock returns.
This paper investigated the effect of three weather factors (temperature, humidity and wind speed... more This paper investigated the effect of three weather factors (temperature, humidity and wind speed), on the returns of the Indian stock indices (BSE Sensex and S&P CNX Nifty). This study examined how weather affected the Movement and relationship of top stock market indices in India. The study used the monthly data of weather, in five sample cities (Chennai, Mumbai, Delhi, Kolkata and Hyderabad), in India. Statistical tools like Descriptive Statistics, Correlation Matrix and Granger Causality Test were used for the analysis. This study found that the temperature influenced the investors’ mood in Bangalore, in respect of BSE Sensex and Kolkata & Mumbai, in respect of CNX Nifty and Humidity influenced Mumbai, in respect of CNX Nifty.
This paper investigated the effect of weather (temperature) factor, on the returns and volatility... more This paper investigated the effect of weather (temperature) factor, on the returns and volatility of the Indian stock indices (BSE Sensex and S&P CNX Nifty). This study examined how weather (temperature) affected the volatility of top stock market indices in India. The study used the monthly data of weather in five sample cities (Chennai, Mumbai, Delhi, Kolkata and Hyderabad) in India. This study applied statistical tools like Descriptive Statistics, ADF Test and GARCH (1, 1) model and found that the returns of sample stock market indices were influenced by weather (temperature) factor in Chennai, Mumbai, Kolkata and Hyderabad in India. But the returns of stock indices were not influenced by the temperature in Delhi City.
The aim of this study is to investigate the co-movements and dynamic linkages, between stock pric... more The aim of this study is to investigate the co-movements and dynamic linkages, between stock prices in emerging equity markets and exchange rates in currency markets of Asia, for eight countries, namely, China, India, Indonesia, Korea, Malaysia, Philippines, Taiwan and Thailand, by estimating correlation and granger causality tests, with 15 years daily returns for the period from 1st January, 2002 to 31st December, 2016. This research study focussed on currency rate returns, which were evaluated against respective Stock market indices of Asian emerging markets. It applied different statistical tools to analyze the obtained data. The research study also analyzes the causal relationship between the time series data, pertaining to currency and sample stock indices of Asian countries. The study found no correlation between indices and exchange rate returns of countries of Asia, though very weak relationship did exists, except China and Indonesia. The result indicated the non-existence o...
The sectoral analysis is typically employed by investors who plan to select better stocks to inve... more The sectoral analysis is typically employed by investors who plan to select better stocks to invest. Investors normally identify the most promising sectors and review the financial performance of companies within the sector to determine which individual stock would provide better returns and purchase such stocks ultimately. The study of sectoral efficiency could provide useful input to the investors to identify the efficient sectors and to channel the available resources into the profitable sectors. This study tested the efficiency of two major stock exchanges, namely BSE and NSE sectoral indices by using daily share price returns. This study measured the random distribution and weak form efficiency in BSE and NSE sectoral indices. The analysis consisted of descriptive statistics, runs and autocorrelation test. The runs test indicated that the market did not follow random distribution.
This study empirically examines the correlation among the returns of six select Asian stock marke... more This study empirically examines the correlation among the returns of six select Asian stock market indices of India, China, Japan, Hong Kong, Singapore, and Taiwan. The study is conducted over a longer time period of 2000 – 2012. The correlation results provide useful information for foreign institutional investors, portfolio managers, regulators, and policy makers in designing appropriate strategies to maximize risk adjusted returns.
There is an increasing awareness among all the stakeholders about the importance ofthe Corporate ... more There is an increasing awareness among all the stakeholders about the importance ofthe Corporate Social Responsibility of the firms, especially in green concepts. TheEnvironmental Accounting deals with the assessment and disclosure of environment relatedinformation. The environment related information helps to take both internal and externaldecision making of the organization. Environmental Management Accounting (EMA) dealswith the internal decision making related to the environmental performance of theorganization. This paper reviews the internal decision making tools in taking businessdecision regarding environmental consideration.
This study discusses the relation between lunar phases and stock market returns. The lunar effect... more This study discusses the relation between lunar phases and stock market returns. The lunar effects have been validated in the physical and biological sciences. However, until recently such effects have not been largely researched, though not completely ignored in the academic literature of financial economics. This study proposes to examine whether there is a lunar influence on stock prices. Moreover, the lunar effect is independent of other calendarrelated anomalies such as the January effect, the day-of-week effect, the calendar month effect and the holiday effect. Investors mainly adopt fundamental analysis and/or technical analysis as the approach to security analysis in managing their investment in stock market. However, both the approaches fail to help the investors to determine proper timing of entry and exit from trade. But lunar effect deals with prediction of prices of stocks/index based on planetary positions.
Sustainable Development enhances the human life, with good eco facilities. The way to move toward... more Sustainable Development enhances the human life, with good eco facilities. The way to move toward the sustainable development is by giving best solutions to the issues of unbalanced ecological, environmental and economic development. This paper investigates the relationship between the environmental performance and the profitability variables such as ROA, ROE, ROCE, and ROS of the sample firms in India. Granger Causality Test was used to examine bidirectional causality running from Energy Intensity to Profitability of the Firm. The study identified causal relationship that existed among the environmental performance and profitability of the firm. Further, it is found that there was an inverse relationship between ROCE and energy intensity of the firm while direct relationship existed among ROA, ROE, ROS and Energy Intensity. It is suggested that the practitioners, policy makers etc. may adopt the environment friendly technologies and encourage the Indian firms to use more energy eff...
The study of Inter-Linkages, Co Movement and Causal Relationship of Indian Stock Market with emer... more The study of Inter-Linkages, Co Movement and Causal Relationship of Indian Stock Market with emerging stock market indices returns in Asia, has gained momentum. With the establishment of SEBI and technological advancement, the Indian Stock Market has now reached the global standard. This study used the secondary daily time series data for a period of 12 years from 2002 to 2013. Descriptive Statistics, Unit Root, Correlation Matrix, Linear Regression Model and Granger Causality Test were used. This paper endeavors to empirically investigate the co movement relationship and inter linkages of S&P CNX Nifty with other emerging markets in Asia.
This research paper investigates the stock market movements and linkages between the Asian emergi... more This research paper investigates the stock market movements and linkages between the Asian emerging markets (China, India, Indonesia, Korea, Malaysia, Philippines, Taiwan and Thailand) and two developed markets (i.e. USA and Japan). This study employs the statistical application of descriptive statistics, unit root test, correlation and pairwise granger causality test. The study used daily data from 01st January, 2005 to 31st December, 2014, to examine both short-run (year wise) and long-run (whole study period) movements and linkages between Asian emerging stock markets and two developed stock markets. The presence of short-run relationship and absence of a strong long-run relationship, among these markets, were found. The short run (year wise) and long run movements and linkages have important implications for investors, risk managers and regulators. It is found that Indian stock market experienced less movements with developed markets (USA and JAPAN). This study also suggested that India's stock market is largely protected from global events i.e., 2007-2008. The sample stock markets of these eight countries of Asian emerging markets provide attractive diversification opportunities, for international portfolio investors during the long run period. All the eight countries of Asian emerging markets provide attractive diversification opportunities for international portfolio investors, over a long period.
Unexpected and sudden spread of the novel Coronavirus disease (COVID-19) has opened up many scope... more Unexpected and sudden spread of the novel Coronavirus disease (COVID-19) has opened up many scopes for researchers in the fields of biotechnology, health care, educational sectors, agriculture, manufacturing, service sectors, marketing, finance, etc. Hence, the researchers are concerned to study, analyze and predict the impact of infection of COVID-19. The COVID-19 pandemic has affected many fields, particularly the stock markets in the financial sector. In this paper, we have proposed an econometric approach and stochastic approach to analyze the stochastic nature of stock price before and during a COVID-19-specific pandemic period. For our study, we considered the BSE SENSEX INDEX closing pricing data from the Bombay Stock Exchange for the period before and during COVID-19. We have applied the statistical tools, namely descriptive statistics for testing the normal distribution of data, unit root test for testing the stationarity, and GARCH and stochastic model for measuring the risk, also investigated drift and volatility (or diffusion) coefficients of the stock price SDE by using R Environment software and formulated the 95% confidence level bound with the help of 500 times simulations. Finally, the results have been obtained from these methods and simulations are discussed.
Sustainable development enhances the human life, with good eco facilities. The way to move toward... more Sustainable development enhances the human life, with good eco facilities. The way to move toward the sustainable development is by giving best solutions to the issues of unbalanced ecological, environmental and economic development. This paper investigates the relationship between the environmental performance and the profitability variables such as return on assets (ROA), return on equity (ROE), return on capital employed (ROCE), and return on sales (ROS) of the sample firms in India. Granger causality test was used to examine bidirectional causality running from energy intensity (EI) to profitability of the firm. The study identified causal relationship that existed among the environmental performance and profitability of the firm. Further, it is found that there was an inverse relationship between ROCE and EI of the firm while direct relationship existed among ROA, ROE, ROS and EI. It is suggested that the practitioners, policy makers etc. may adopt the environment friendly tech...
The capital market is a vital institution as it facilitates economic development of a country. In... more The capital market is a vital institution as it facilitates economic development of a country. Investors need to know the efficiency of the stock market to invest their hard-earned money in a profitable way, while the policy makers need the latest information about different indices to devise appropriate policies. Thus, the efficiency of sectoral indices could also help the government to identify efficient sectors and to channel available resources for the growth of such sectors. This paper proposes to investigate the capital market efficiency in NSE (National Stock Exchange) sectoral indices by using daily share price returns. The aim of this study was to examine the weak form efficiency of the selected indices listed in NSE. The study found from the results of sectoral indices that NSE could not be considered under weak form efficiency during the study period.
This study an attempt to examine the long-run volatility and causality effects of Sri Lankan (LKR... more This study an attempt to examine the long-run volatility and causality effects of Sri Lankan (LKR) currency and nine currency of emerging countries in Asia against USD over 17 years i.e., from 01st January, 2002 to 31st December, 2018 by using the Descriptive Statistics (Summary), GARCH (1,1) Model, Correlation and Granger Causality Test. A descriptive statistics and Graphical model were specified and empirical results show a significant currencies movements and the Granger causality test indicates the strong evidence that the causation runs between Sri Lankan currency (LKR / USD) to nine Asian emerging countries currency price behavior against USD. The purpose of the study is to make a finer point with respect to relationship, volatility and causality effect between the Sri Lankan currency and Asian Emerging countries currency returns against USD. It is found that he significant uni-directional causality effects and relationships among the sample currency data series with LKR again...
In the aftermath of Globalization, several trade barriers, which hindered the organic growth of b... more In the aftermath of Globalization, several trade barriers, which hindered the organic growth of business enterprises, were removed. The world tends to become borderless, in terms of trade transactions and market operations, facilitates the maximization of wealth. The stock market movements are influenced by micro as well as macro-economic variables, corporate environment, the legal framework and taxation policies pertinent to each economy. The real issue lies in accurately predicting the future stock price/index movements, due to persistence of stochastic behavior in the stock markets. This paper discusses non-linear movement pattern of two vibrant stock indices of India, BSE-Sensex and NSE-Nifty, using the data deterministic method. Ten technical indicators were used to validate the stock market data. The findings would help the investors, to make informed investment decisions to optimize the stock returns.
This paper investigated the effect of three weather factors (temperature, humidity and wind speed... more This paper investigated the effect of three weather factors (temperature, humidity and wind speed), on the returns of the Indian stock indices (BSE Sensex and S&P CNX Nifty). This study examined how weather affected the Movement and relationship of top stock market indices in India. The study used the monthly data of weather, in five sample cities (Chennai, Mumbai, Delhi, Kolkata and Hyderabad), in India. Statistical tools like Descriptive Statistics, Correlation Matrix and Granger Causality Test were used for the analysis. This study found that the temperature influenced the investors’ mood in Bangalore, in respect of BSE Sensex and Kolkata & Mumbai, in respect of CNX Nifty and Humidity influenced Mumbai, in respect of CNX Nifty.
This paper investigated the effect of weather (temperature) factor, on the returns and volatility... more This paper investigated the effect of weather (temperature) factor, on the returns and volatility of the Indian stock indices (BSE Sensex and S&P CNX Nifty). This study examined how weather (temperature) affected the volatility of top stock market indices in India. The study used the monthly data of weather in five sample cities (Chennai, Mumbai, Delhi, Kolkata and Hyderabad) in India. This study applied statistical tools like Descriptive Statistics, ADF Test and GARCH (1, 1) model and found that the returns of sample stock market indices were influenced by weather (temperature) factor in Chennai, Mumbai, Kolkata and Hyderabad in India. But the returns of stock indices were not influenced by the temperature in Delhi City.
The aim of this study is to investigate the co-movements and dynamic linkages, between stock pric... more The aim of this study is to investigate the co-movements and dynamic linkages, between stock prices in emerging equity markets and exchange rates in currency markets of Asia, for eight countries, namely, China, India, Indonesia, Korea, Malaysia, Philippines, Taiwan and Thailand, by estimating correlation and granger causality tests, with 15 years daily returns for the period from 1st January, 2002 to 31st December, 2016. This research study focussed on currency rate returns, which were evaluated against respective Stock market indices of Asian emerging markets. It applied different statistical tools to analyze the obtained data. The research study also analyzes the causal relationship between the time series data, pertaining to currency and sample stock indices of Asian countries. The study found no correlation between indices and exchange rate returns of countries of Asia, though very weak relationship did exists, except China and Indonesia. The result indicated the non-existence o...
The sectoral analysis is typically employed by investors who plan to select better stocks to inve... more The sectoral analysis is typically employed by investors who plan to select better stocks to invest. Investors normally identify the most promising sectors and review the financial performance of companies within the sector to determine which individual stock would provide better returns and purchase such stocks ultimately. The study of sectoral efficiency could provide useful input to the investors to identify the efficient sectors and to channel the available resources into the profitable sectors. This study tested the efficiency of two major stock exchanges, namely BSE and NSE sectoral indices by using daily share price returns. This study measured the random distribution and weak form efficiency in BSE and NSE sectoral indices. The analysis consisted of descriptive statistics, runs and autocorrelation test. The runs test indicated that the market did not follow random distribution.
This study empirically examines the correlation among the returns of six select Asian stock marke... more This study empirically examines the correlation among the returns of six select Asian stock market indices of India, China, Japan, Hong Kong, Singapore, and Taiwan. The study is conducted over a longer time period of 2000 – 2012. The correlation results provide useful information for foreign institutional investors, portfolio managers, regulators, and policy makers in designing appropriate strategies to maximize risk adjusted returns.
There is an increasing awareness among all the stakeholders about the importance ofthe Corporate ... more There is an increasing awareness among all the stakeholders about the importance ofthe Corporate Social Responsibility of the firms, especially in green concepts. TheEnvironmental Accounting deals with the assessment and disclosure of environment relatedinformation. The environment related information helps to take both internal and externaldecision making of the organization. Environmental Management Accounting (EMA) dealswith the internal decision making related to the environmental performance of theorganization. This paper reviews the internal decision making tools in taking businessdecision regarding environmental consideration.
This study discusses the relation between lunar phases and stock market returns. The lunar effect... more This study discusses the relation between lunar phases and stock market returns. The lunar effects have been validated in the physical and biological sciences. However, until recently such effects have not been largely researched, though not completely ignored in the academic literature of financial economics. This study proposes to examine whether there is a lunar influence on stock prices. Moreover, the lunar effect is independent of other calendarrelated anomalies such as the January effect, the day-of-week effect, the calendar month effect and the holiday effect. Investors mainly adopt fundamental analysis and/or technical analysis as the approach to security analysis in managing their investment in stock market. However, both the approaches fail to help the investors to determine proper timing of entry and exit from trade. But lunar effect deals with prediction of prices of stocks/index based on planetary positions.
Sustainable Development enhances the human life, with good eco facilities. The way to move toward... more Sustainable Development enhances the human life, with good eco facilities. The way to move toward the sustainable development is by giving best solutions to the issues of unbalanced ecological, environmental and economic development. This paper investigates the relationship between the environmental performance and the profitability variables such as ROA, ROE, ROCE, and ROS of the sample firms in India. Granger Causality Test was used to examine bidirectional causality running from Energy Intensity to Profitability of the Firm. The study identified causal relationship that existed among the environmental performance and profitability of the firm. Further, it is found that there was an inverse relationship between ROCE and energy intensity of the firm while direct relationship existed among ROA, ROE, ROS and Energy Intensity. It is suggested that the practitioners, policy makers etc. may adopt the environment friendly technologies and encourage the Indian firms to use more energy eff...
The study of Inter-Linkages, Co Movement and Causal Relationship of Indian Stock Market with emer... more The study of Inter-Linkages, Co Movement and Causal Relationship of Indian Stock Market with emerging stock market indices returns in Asia, has gained momentum. With the establishment of SEBI and technological advancement, the Indian Stock Market has now reached the global standard. This study used the secondary daily time series data for a period of 12 years from 2002 to 2013. Descriptive Statistics, Unit Root, Correlation Matrix, Linear Regression Model and Granger Causality Test were used. This paper endeavors to empirically investigate the co movement relationship and inter linkages of S&P CNX Nifty with other emerging markets in Asia.
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