Volatility Spillover in India, USA and Japan Investigation of Recession Effects

In the past decades, there has been an unprecedented increase in cross border transactions between countries in terms of goods and financial flows. This integration has been fuelled by search of lower risk investments, risk diversification, search for cost effective and more efficient factors of production and dreams of global dominance in the world wide market place. An important result of these capital flows was its impact on linkages of global asset returns and spillover of volatility from one capital market to another. This study aims to understand the spillover effect between the US, the Japan capital markets and Indian equity index (Sensex). We analyze whether the volatility spillover is contemporaneous (directly in the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken for this purpose. This paper concludes that contemporary volatility of the Japan capital markets influenced Sensex in the pre-recession period but in the post recession there was no significant contemporaneous spillover from USA and Japan capital markets to Sensex. However, US became a significant factor while considering dynamic spillover in the post recession era. Also, there was no bidirectional volatility spillover from India to US. But, the study showed evidence of dynamic volatility spillover from Indian market to Japanese Capital market

Non-classical paths in interference experiments

In a double slit interference experiment, the wave function at the screen with both slits open is not exactly equal to the sum of the wave functions with the slits individually open one at a time. The three scenarios represent three different boundary conditions and as such, the superposition principle should not be applicable. However, most well known text books in quantum mechanics implicitly and/or explicitly use this assumption which is only approximately true. In our present study, we have used the Feynman path integral formalism to quantify contributions from non-classical paths in quantum interference experiments which provide a measurable deviation from a naive application of the superposition principle. A direct experimental demonstration for the existence of these non-classical paths is hard. We find that contributions from such paths can be significant and we propose simple three-slit interference experiments to directly confirm their existence.Comment: v2: 5 pages + 3 pages supplementary, title changed, version to appear in Physical Review Letter

Is it possible to Measure the Weak Phase of a Penguin Diagram?

The $b\to d$ penguin amplitude receives contributions from internal $u$, $c$ and $t$-quarks. We show that it is impossible to measure the weak phase of any of these penguin contributions without theoretical input. However, a single assumption involving the hadronic parameters makes it possible to obtain the weak phase and test for the presence of new physics in the $b\to d$ flavour-changing neutral current.Comment: 4 pages, latex, no figures, talk given by R. Sinha at the 3rd International Conference on B Physics and CP Violation, Taipei, Taiwan, December 3-7, 1999, to appear in the Proceeding

Relationships among Household Saving, Public Saving, Corporate Saving and Economic Growth in India

This paper examines the relationship between the growth rates of household saving, public saving, corporate saving and economic growth in India using multivariate Granger causality tests. The conventional wisdom suggests that the causality flows from saving to economic growth. We show that the causality goes in the opposite direction for India. Hence, higher saving is the consequence of higher economic growth and not a cause.Economic growth; public saving; corporate saving; household saving

Volatility Spillover in India, USA and Japan Investigation of Recession Effects

In the past decades, there has been an unprecedented increase in cross border transactions between countries in terms of goods and financial flows. This integration has been fuelled by search of lower risk investments, risk diversification, search for cost effective and more efficient factors of production and dreams of global dominance in the world wide market place. An important result of these capital flows was its impact on linkages of global asset returns and spillover of volatility from one capital market to another. This study aims to understand the spillover effect between the US, the Japan capital markets and Indian equity index (Sensex). We analyze whether the volatility spillover is contemporaneous (directly in the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken for this purpose. This paper concludes that contemporary volatility of the Japan capital markets influenced Sensex in the pre-recession period but in the post recession there was no significant contemporaneous spillover from USA and Japan capital markets to Sensex. However, US became a significant factor while considering dynamic spillover in the post recession era. Also, there was no bidirectional volatility spillover from India to US. But, the study showed evidence of dynamic volatility spillover from Indian market to Japanese Capital market.Volatility, Spillover, GARCH, Recession effects

Toda and Yamamoto Causality Tests Between Per Capita Saving and Per Capita GDP for India

This paper looks at the relationship between per capita saving and per capita GDP for India using the Toda and Yamamoto tests of Granger causality. Data are for 1950-2004. We distinguish between three types of saving. These are household saving, corporate saving and public saving. The results show that there is no causality between per capita GDP and per capita household saving/per capita corporate saving in either direction. However, there is bi-directional causality between per capita household saving and per capita corporate saving.Toda-Yamamoto; causality