3,386 research outputs found

    The Structural Relationship between Current and Capital Account Balance in India: A Time Series Analysis

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    The long run relationship between current account balance (CAB) and capital account balance (KAB) and the repercussions of capital account convertibility (KAC) on growth process of a country is a much debated issue. In particular, in the aftermath of the Southeast Asian crisis, the limitation of the liberal capital regime for a developing country like India is often highlighted in the literature. However, the probable impact of introducing KAC on CAB in India generally is discussed theoretically. Though some of the existing studies in India have earlier focused on this research question, they have done so by exogenously assuming the existence of a single structural break in the interrelationship between CAB and KAB. The present study intends to bridge the gap in the literature by raising two empirical questions: first, how far KAC is likely to destabilize the CAB and second, measuring the strength of the interrelationship between CAB and KAB. The current paper also contributes to the literature by incorporating multiple endogenous structural breaks in the empirical analysis. The empirical findings do not support any long term relationship between capital and current account balance and reveals that two significant structural breaks are observed in 1993-94 and 2003-04.International Capital Movements, Foreign Exchange, Current Account Adjustment

    An Empirical Evidence of Dynamic Interaction between institutional fund flows and Stock Market Returns

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    This study examines the dynamics of the relationship between institutional investment flow and stock returns for India using daily data over the period of 1st Jan 2002 to 31st July 2012. The analysis has been conducted in a two and three factors vector autoregression framework in which we considered investment flow of two sets of institutional investors i.e., foreign institutional investors (FIIs) and domestic institutional investors (DIIs), separately as well as jointly to form the endogenous part of vector autoregression system. The separate analysis for each institutional investors group reveals that, FIIs flow do not have any significant impact on market returns, the DIIs investment flow do. We also find that the fund flow from both the investor groups significantly affected by their own lags and lagged returns, implying that they follow their own past strategy as well as the recent market behaviour albeit their trading strategy differs. Considering these two institutional investment groups jointly, we find that the net flow of both FIIs and DIIs significantly influences Indian stock market even after controlling for market fundamentals. Further we find a feedback relationship between the institutional investment flow and stock market returns. Overall, it is found that the institutional investment flow collectively impact the stock market returns

    An Empirical Evidence of Dynamic Interaction between institutional fund flows and Stock Market Returns

    Get PDF
    This study examines the dynamics of the relationship between institutional investment flow and stock returns for India using daily data over the period of 1st Jan 2002 to 31st July 2012. The analysis has been conducted in a two and three factors vector autoregression framework in which we considered investment flow of two sets of institutional investors i.e., foreign institutional investors (FIIs) and domestic institutional investors (DIIs), separately as well as jointly to form the endogenous part of vector autoregression system. The separate analysis for each institutional investors group reveals that, FIIs flow do not have any significant impact on market returns, the DIIs investment flow do. We also find that the fund flow from both the investor groups significantly affected by their own lags and lagged returns, implying that they follow their own past strategy as well as the recent market behaviour albeit their trading strategy differs. Considering these two institutional investment groups jointly, we find that the net flow of both FIIs and DIIs significantly influences Indian stock market even after controlling for market fundamentals. Further we find a feedback relationship between the institutional investment flow and stock market returns. Overall, it is found that the institutional investment flow collectively impact the stock market returns

    Financial Integration for India Stock Market, a Fractional Cointegration Approach

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    The Indian stock market is one of the earliest in Asia being in operation since 1875, but remained largely outside the global integration process until the late 1980s. A number of developing countries in concert with the International Finance Corporation and the World Bank took steps in the 1980s to establish and revitalize their stock markets as an effective way of mobilizing and allocation of finance. In line with the global trend, reform of the Indian stock market began with the establishment of Securities and Exchange Board of India in 1988. This paper empirically investigates the long-run equilibrium relationship and short-run dynamic linkage between the Indian stock market and the stock markets in major developed countries (United States, United Kingdom and Japan) after 1990 by examining the Granger causality relationship and the pairwise, multiple and fractional cointegrations between the Indian stock market and the stock markets from these three developed markets. We conclude that Indian stock market is integrated with mature markets and sensitive to the dynamics in these markets in a long run. In a short run, both US and Japan Granger causes the Indian stock market but not vice versa. In addition, we find that the Indian stock index and the mature stock indices form fractionally cointegrated relationship in the long run with a common fractional, nonstationary component and find that the Johansen method is the best reveal their cointegration relationship.unit root test, cointegration, Error Correction Model, Vector Autoregression Model, Johansen Multivariate Cointegration, Fractional Cointegration

    The Financial Crisis and Money Markets in Emerging Asia

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    Asian money markets entered the financial crisis in better shape than markets in other regions due to a substantial build-up of savings and liquidity in their banking systems, as well as a greater domestic focus in most of the region’s markets. However, despite the higher liquidity and lower levels of global integration, the effects of the crisis in Asia were severe and followed a similar path observed in international markets. The further development of money markets, particularly in less developed economies, will require policies and initiatives that add liquidity and depth to attract broader participation from both domestic and international investors—including regional cooperation, a robust regulatory architecture, and foreign competition to expedite the development of less developed money markets. Risk management and liquidity assumptions also need to be enhanced to establish buffers that will withstand more severe and prolonged external shocks and disruptions to external financing.Money market; money market participants; components of money markets; financial crisis

    Public Choice in National Highways Financing in India:The Scope for Financial Intermediation in Enhancing Infrastructure Investment

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    The Economics of Insider Trading Reconsidered

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    Does hot money in equity flows affect emerging stock markets?

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    The Relationship Between The Movements Of Capital Markets In Developed Economies And Their Emerging Market Counterparts In The Asian Pacific Region

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    This research revisits at the relationship between the movements of capital markets in developed economies and their emerging market counterparts in the Asian Pacific region using market indices of the American, British, Malaysian, Singaporean, Mainland Chinese, Hong Kong Special Administrative Region (SAR), Indian, Japanese and Australian markets for the periods 1997 to 2003
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