Does Nifty Index Inclusion (still) Convey Information? A Comprehensive Empirical Examination in the Indian Stock Market

نویسندگان

چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

The Impact of Derivatives on Stock Market Volatility: a Study of the Nifty Index

This paper studies the volatility implications of the introduction of derivatives on stock market volatility in India using the S&P CNX Nifty Index as a benchmark. To account for non-constant error variance in the return series, a GARCH model is fitted by incorporating futures and options dummy variables in the conditional variance equation. We find clustering and persistence of volatility befo...

متن کامل

Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms

This paper empirically analyzes the effect of the inclusion of German corporations in the Dow Jones STOXX Sustainability Index (DJSI STOXX) and the Dow Jones Sustainability World Index (DJSI World) on stock performance. In order to receive robust estimation results, we apply an (short-term) event study approach that is based on both a modern asset pricing model, namely the three-factor model ac...

متن کامل

Stock Market Seasonality: A Study of the Indian Stock Market

1.0 Introduction Seasonal variations in production and sales are a well known fact in business. Seasonality refers to regular and repetitive fluctuation in a time series which occurs periodically over a span of less than a year. The main cause of seasonal variations in time series data is the change in climate. For example, sales of woolen clothes generally increase in winter season. Besides th...

متن کامل

Volatility of India’s Stock Index Futures Market: an Empirical Analysis

In recent years, the increasing importance of the futures market in the Indian financial markets has received considerable attention from researchers, academicians and financial analysts. This paper is an attempt to examine the time varying properties of volatility of India’s stock index futures market. The application of GARCH class models provides the evidence of the persistence of time varyi...

متن کامل

Empirical Rationality in the Stock Market

Rational expectations models make stringent assumptions on the agent’s knowledge about the true model. This paper introduces a model in which the rational agent realizes that using a given model involves approximation errors, and adjusts behavior accordingly. If the researcher accounts for this empirical rationality on part of the agent, the resulting empirical model assigns likelihood to the d...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Asian Journal of Finance & Accounting

سال: 2019

ISSN: 1946-052X

DOI: 10.5296/ajfa.v11i1.14866