Price and Volatility Spillovers across North American, European and Asian Stock Markets: With Special Focus on Indian Stock Market

<div align=justify>This paper investigates interdependence of fifteen world indices including an Indian market index in terms of return and volatility spillover effect. Interdependence of Indian stock market with other fourteen world markets in terms of long run integration, short run dependence (return spillover) and volatility spillover are investigated. These markets are that of are Canada, China, France, Germany, Hong-Kong, Indonesia, Japan, Korea, Malaysia, Pakistan, Singapore, Taiwan, United Kingdom and United States. Long run and short run integration is examined through Johansen cointegration techniques and Granger causality test respectively. Vector autoregressive model (VAR 15) is used to estimate the conditional return spillover among these indices in which all fifteen indices are considered together. The effect of same day return in explaining the return spillover is also modeled using univariate models. Volatility spillover is estimated through AR-GARCH in which residuals from the index return is used as explanatory variable in GARCH equation. Return and volatility spillover between Indian and other markets are modeled through bivariate VAR and multivariate GARCH (BEKK) model respectively. It is found that there is greater regional influence among Asian markets in return and volatility than with European and US. Japanese market, which is first to open, is affected by US and European markets only and affects most of the Asian Markets. Also, high degree of correlation among European indices namely FTSE, CAC and DAX is observed. US market is influenced by both Asian and European markets. Specific to Indian context, it is found that Indian market is not cointegrated with rest of the world except Indonesia. This may provide diversification benefits for potential investors. However, strong short run interdependence is found between Indian markets and most of the other markets. Indian and other markets like US, Japan, Korea, and Canada positively affect each others conditional returns significantly. Indian market also has significant effect on Malaysia, Pakistan, and Singapore return. This study found that there is significant positive volatility spillover from other markets to Indian market, mainly from Hong Kong, Korea, Japan, and Singapore and US market. Indian market affects negatively the volatility of US and Pakistan. It is interesting to note that Chinese and Pakistan markets are less integrated with other Asian, European and US markets.</div>

The Dynamic Relationship between Price and Trading Volume:Evidence from Indian Stock Market

This study investigates the nature of relationship between price and trading volume for 50 Indian stocks. Firstly the contemporaneous and asymmetric relation between price and volume are examined. Then we examine the dynamic relation between returns and volume using VAR, Granger causality, variance decomposition (VD) and impulse response function (IRF). Mixture of Distributions Hypothesis (MDH), which tests the GARCH vs. Volume effect, is also studied between the conditional volatility and volume. The results show that there is positive and asymmetric relation between volume and price changes. Further the results of VAR and Granger causality show that there is a bi-directional relation between volume and returns. However, the results of VD imply weak dynamic relation between returns and volume which becomes more evident from the plots of IRF. On MDH, our results are mixed, neither entirely rejecting the MDH nor giving it an unconditional support.

Supernovae study: Context of the 4-m ILMT facility

The upcoming 4-m International Liquid Mirror Telescope (ILMT) facility will perform deep imaging (in single scan $g'$ $\sim$22 mag.) of a narrow strip of sky each clear night in the Time Delayed Integration mode. A cadence of one day observation will provide unique opportunities to discover different types of supernovae (SNe) along with many other types of variable sources. We present the approach to discover SNe with the ILMT and discuss the follow-up strategy in the context of other existing observational facilities. The advantages of the ILMT observations over the traditional glass mirror telescopes are also discussed.Comment: 8 pages, 3 figures, to appear in proceedings of the First Belgo-Indian Network for Astronomy & Astrophysics (BINA) Worksho

How the global airline industry behaved to restrictions on air travel to India? An event study analysis

We examine the impact of the recent restrictions/bans imposed by several nations on air travel to India in the light of the increasing number of infections amid the second wave of covid-19. We employ the standard event study method on a sample of 34 airline stocks across seven nations to find that the recent restrictions/ bans on air travel significantly impact the global airline industry, although the country-specific impacts are not similar. We find that the post-event reaction in all nations has been different from those evidenced during the global pandemic declaration. We are the first to examine these impacts during the current wave of the pandemic. It contributes to the literature on the effects of the pandemic on the global airline industry. Further, it also provides practical explanations to the investors on how the airline stocks react to the persistence of the pandemi

The zenithal 4-m International Liquid Mirror Telescope: a unique facility for supernova studies

The 4-m International Liquid Mirror Telescope (ILMT) will soon become operational at the newly developed Devasthal observatory near Nainital (Uttarakhand, India). Coupled with a 4k $\times$ 4k pixels CCD detector and TDI optical corrector, it will reach approximately 22.8, 22.3 and 21.4 magnitude in the $g'$, $r'$ and $i'$ spectral bands, respectively in a single scan. The limiting magnitudes can be further improved by co-adding the consecutive night images in particular filters. The uniqueness to observe the same sky region by looking towards the zenith direction every night, makes the ILMT a unique instrument to detect new supernovae (SNe) by applying the image subtraction technique. High cadence ($\sim$24 hours) observations will help to construct dense sampling multi-band SNe light curves. We discuss the importance of the ILMT facility in the context of SNe studies. Considering the various plausible cosmological parameters and observational constraints, we perform detailed calculations of the expected SNe rate that can be detected with the ILMT in different spectral bands.Comment: 11 pages, 6 figures, 3 tables, accepted for publication in MNRA