Impact of Derivatives Trading on Emerging Capital Markets: A Note on Expiration Day Effects in India

The impact of expiration of derivatives contracts on the underlying cash market ñ on trading volumes, returns and volatility of returns ñ has been studied in various contexts. We use an AR-GARCH model to analyse the impact of expiration of derivatives contracts on the cash market at the largest stock exchange in India, an important emerging capital market. Our results indicate that trading volumes were significantly higher on expiration days and during the five days leading up to expiration days (“expiration weeks”), compared with nonexpiration days (weeks). We also find significant expiration day effects on daily returns to the market index, and on the volatility of these returns. Finally, our analysis indicates that it might be prudent to undertake analysis of expiration day effects (or other events) using methodologies that model the underlying data generating process, rather than depend on comparison of mean and median alone.http://deepblue.lib.umich.edu/bitstream/2027.42/57243/1/wp863 .pd

Global Macroeconomic Performance: A Comparative Study Based on Composite Scores

This paper proposes a composite indicator designed to summarise in a single statistic a variety of different facets of macroeconomic performance and assesses relative performances of countries with respect to six macroeconomic variables, viz., the growth rate of real GDP, real per capita GDP, unemployment rate, fiscal balance, rate of inflation, and current account balance. An appropriate mathematical model to aggregate these variables to form composite scores has been implemented by adopting the MCDM (Multiple Criteria Decision Making) technique of TOPSIS (Technique for Order Preference by Similarity to Ideal Solution). This allows a parsimonious representation of a variety of different facets of macroeconomic performance and its inter-temporal comparison across countries. The distinctive features of the indicator relate to the domains covered, the normalisation methodology and the weights used for aggregation. Some existing indices like the Okun index and the Calmfors index turn out to be special cases of our proposed index. The data comprising a wide spectrum of countries and spanning the pre- and post- crisis years allow us to capture the effect of the recent global financial and economic crisis on the overall macroeconomic performance of countries relative to others. Not only do the relative performance scores show tremendous variability during the post-crisis years, but the measures of disarray are also at their highest, despite there being overall stability in the country rankings in terms of indicators, which are traditionally relied on, like GDP growth or per-capita GDP. A single graphical plot easily identifies countries that have performed consistently over time, and those whose overall macroeconomic performances have deteriorated sharply relative to others during the post-crisis years

Effects of Market Reforms and External Shocks on Indian Stock Indices: Evidence on Structural Breaks and Weak-Form Efficiency

This study explores stock market efficiency in India after allowing for potential structural changes induced by reforms processes and/or external shocks. The endogenous determination of structural break dates, using mostly Clemente, Montanes, & Reyes (1998) (CMR) methodology, allows us to identify important events in this respect. External shocks such as occasional stock market scams, policy and political regime changes, oil price shocks and the effect of global market meltdowns have caused abrupt or one time changes in the series mean (additive outlier model), while the reforms processes stand out to be the single most important cause for the gradual shifts in the level of stock indices (innovation outlier model). This underlines the importance of institution building and the domestic policy stance in countering external shocks

Salivary Metabolomics for Oral Precancerous Lesions: A Comprehensive Narrative Review

Oral submucous fibrosis (OSMF) is a chronic, potentially malignant disorder of the oral cavity, primarily associated with the consumption of areca nut products and other risk factors. Early and accurate diagnosis of OSMF is crucial to prevent its progression to oral cancer. In recent years, the field of metabolomics has gained momentum as a promising approach for disease detection and monitoring. Salivary metabolomics, a non-invasive and easily accessible diagnostic tool, has shown potential in identifying biomarkers associated with various oral diseases, including OSMF. This review synthesizes current literature on the application of salivary metabolomics in the context of OSMF detection. The review encompasses a comprehensive analysis of studies conducted over the past decade, highlighting advancements in analytical techniques, metabolomic profiling, and identified biomarkers linked to OSMF progression. The primary objective of this review is to provide a critical assessment of the feasibility and reliability of salivary metabolomics as a diagnostic tool for OSMF, along with its potential to differentiate OSMF from other oral disorders. In conclusion, salivary metabolomics holds great promise in revolutionizing OSMF detection through the identification of reliable biomarkers and the development of robust diagnostic models. However, challenges such as sample variability, validation of biomarkers, and standardization need to be addressed before its widespread clinical implementation. This review contributes to a comprehensive understanding of the current status, challenges, and future directions of salivary metabolomics in the realm of OSMF detection, emphasizing its potential impact on early intervention and improved patient outcomes

Increases and decreases in the fine mode fraction of aerosol optical depth with increasing relative humidity

The total contribution of the small (radius <= 0.35 um) and medium (radius <= 0.7 um) sized particles as a defined by MISR (Multi-Angle Imaging SpectroRadiometer) to the Aerosol Optical Depth (AOD) is correlated to the AERONET (Aerosol Robotic Network) fine mode fraction of AOD. According to this thesis the contribution of particles having radius <= 0.7 um to the measured AOD can either increase or decrease with increasing relative humidity, depending on the initial function of aerosols. Instinctively it appears that since the aerosols swell up according to their hygroscopic properties with an increase in relative humidity, the contribution of particles having radius <= 0.7 um to the AOD (defined here as fine mode fraction of AOD) should decrease. Although this is true for certain size distributions, it is not true for all size distributions. However, often the increase in fine mode fraction of AOD as derived from AERONET/ Satellite based instruments are interpreted as an increase in fine particle pollutants of anthropogenic origin and a decrease in fine mode fraction is attributed to enhanced dust activity or influence of larger marine aerosols without considering the influence of relative humidity. Although fine mode fraction will definitely change if the emission scenario of fine particles changes (e.g. if there is increased crop waste burning or a sudden surge of wind blown dust from elsewhere), but according to the work presented in this thesis, for certain size distributions relative humidity alone is sufficient to explain large increases or decreases in fine mode fraction of AOD. Hence prior to attributing increases and decreases in particle fine mode fraction to changes in emission from different sources, the role of relative humidity and the prevalent particle size distribution in the region must both be accounted for

Does the Stock Market in India Move with Asia?: A Multivariate Cointegration-Vector Autoregression Approach

This paper examines if the Indian stock market moves with other markets in Asia and the United States in an era of capital market reforms and the sustained interest of foreign investors in that market. By using techniques of cointegration, vector autoregression, vector error-correction models, and Granger causality, we find that, though there is definite information leadership from the U. S. market to all Asian markets, the U. S. indexes do not uniquely influence the integration of Asian markets, while Japan is found to play a unique role in the integration of Asian markets. The U. S. market is seen not only to influence, but also to be influenced by information from most of the major Asian markets. The Indian stock return in recent times is definitely led by major stock index returns in the United States, Japan, as well as other Asian markets, such as Hong Kong, South Korea, and Singapore. More important, returns on the Indian market are also seen to exert considerable influence on stock returns in major Asian markets.cointegration, comovement, Indian equity market, integration of Asian markets,