An examination of the Indian small-cap cycle in relation to the U.S. market

IF 1.7 Q3 MANAGEMENT

IIMB Management Review Pub Date : 2024-06-01 DOI:10.1016/j.iimb.2024.03.008

Avirup Hazra , Parthajit Kayal , Moinak Maiti

引用次数: 0

Abstract

The present study examines the Indian small-cap cycle between April 2011 and March 2022. The ordinary least squares (OLS) estimate shows that investors can benefit from investing in the Nifty Small-Cap 100 index by following a proper exponential moving average strategy. The study findings also highlighted that among macroeconomic factors, ‘term spread’ might influence the Nifty Small-Cap 100 index returns (NIFSC100R). The daily returns of the Russell 2000 index, the relative change in international crude oil prices (RCO), and the relative change in the exchange rate between USD and INR (RUSDINR) show no statistically significant impact on NIFSC100R.

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印度小盘股周期与美国市场的关系研究

本研究探讨了 2011 年 4 月至 2022 年 3 月期间的印度小型股周期。普通最小二乘法（OLS）估算结果表明，投资者可以通过采用适当的指数移动平均线策略，从投资 Nifty Small-Cap 100 指数中获益。研究结果还强调，在宏观经济因素中，"期限利差 "可能会影响 Nifty Small-Cap 100 指数的回报率（NIFSC100R）。罗素 2000 指数的日收益率、国际原油价格的相对变化（RCO）以及美元兑印度卢比汇率的相对变化（RUSDINR）在统计上对 NIFSC100R 没有显著影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

IIMB Management Review MANAGEMENT-

CiteScore

3.20

自引率

5.90%

发文量

审稿时长

68 days

期刊介绍： IIMB Management Review (IMR) is a quarterly journal brought out by the Indian Institute of Management Bangalore. Addressed to management practitioners, researchers and academics, IMR aims to engage rigorously with practices, concepts and ideas in the field of management, with an emphasis on providing managerial insights, in a reader friendly format. To this end IMR invites manuscripts that provide novel managerial insights in any of the core business functions. The manuscript should be rigorous, that is, the findings should be supported by either empirical data or a well-justified theoretical model, and well written. While these two requirements are necessary for acceptance, they do not guarantee acceptance. The sole criterion for publication is contribution to the extant management literature.Although all manuscripts are welcome, our special emphasis is on papers that focus on emerging economies throughout the world. Such papers may either improve our understanding of markets in such economies through novel analyses or build models by taking into account the special characteristics of such economies to provide guidance to managers.