IICM 2012 11th Indian Institute of Capital Markets Conference (Archive)最新文献

Determinants of the Performance of Non-Financial Firms in India 印度非金融企业绩效的决定因素

IICM 2012 11th Indian Institute of Capital Markets Conference (Archive) Pub Date : 2012-12-21 DOI: 10.2139/ssrn.2258308

K. Parmar, V. Reddy, A. Jadhav

引用次数: 0

An Assessment of FII Investments in Indian Capital Market 印度资本市场FII投资的评估

IICM 2012 11th Indian Institute of Capital Markets Conference (Archive) Pub Date : 2012-12-21 DOI: 10.2139/ssrn.2258352

Harendra Behera

{"title":"An Assessment of FII Investments in Indian Capital Market","authors":"Harendra Behera","doi":"10.2139/ssrn.2258352","DOIUrl":"https://doi.org/10.2139/ssrn.2258352","url":null,"abstract":"This paper reviews the policies for foreign portfolio investments and empirically assess the impact FIIs investments on Indian equity market. Particularly, the study tries to examine the effects of FIIs investment on equity return, stock market liquidity and volatility. Using monthly data and ordinarily least square, the study found that FIIs investments have a positive impact on both returns and liquidity. However, the GARCH estimates from daily data suggest FIIs investments increase volatility in Indian stock market. Investments by foreign institutional investors (FIIs) witnessed a marked expansion over the years. Ever since the opening of the Indian equity markets to foreigners, net FII investments have steadily grown from about Rs. 13 crores in 1992-93 to over Rs.66,000 crore in 2007-08 before it turning to a net disinvestment of Rs. 45,811 crore in 2008-09, on an annual basis. In subsequent period, it increased sharply to Rs. 1,46,438 crore in 2011-12. With the increase in limit of FIIs investments in corporate debt and Government securities, the investments in debt component also increased significantly from Rs. 29 crore in 1996-97 to Rs.49,988 crore in 2011-12, on an annual basis. This buoyant foreign investment flows into the country have continued to demonstrate the high level of confidence that the international investors repose in the Indian economy and as also norms for FII investments have been progressively relaxed. On the other hand, large reversal of FII inflows during 2008-09 global crisis, made balance of payments management difficult and led the Indian rupee to depreciate significantly.","PeriodicalId":253875,"journal":{"name":"IICM 2012 11th Indian Institute of Capital Markets Conference (Archive)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129933476","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Foreign Exchange Rate Volatility of Indian Rupee/ US Dollar 印度卢比/美元汇率波动

IICM 2012 11th Indian Institute of Capital Markets Conference (Archive) Pub Date : 2012-12-21 DOI: 10.2139/ssrn.2258366

Samsudheen K. Karuthedath, G. Shanmugasundaram

{"title":"Foreign Exchange Rate Volatility of Indian Rupee/ US Dollar","authors":"Samsudheen K. Karuthedath, G. Shanmugasundaram","doi":"10.2139/ssrn.2258366","DOIUrl":"https://doi.org/10.2139/ssrn.2258366","url":null,"abstract":"This study is an attempt to understand the behavior of Indian foreign exchange rate and its volatility characteristics by using a daily observation of Indian Rupee against US Dollar over the period of 40 years from 1st April 1973 to 31st March 2012. The foreign exchange rate volatility of Indian rupee against US Dollar investigated by using different ARCH family models Such as ARCH(1,1) GARCH(1,1) EGARCH(1,1) TGARCH(1,1) etc... further to measure the impact of structural changes in exchange rate system of India, from pegged exchange rate to the Liberalized Exchange Rate Management System (LERMS) in 1992 and market determinant exchange rate regime in 1993, on exchange rate volatility this study divide the entire sample period in to two sub periods, namely pre implementation period(April 1973 to February 1993) and post implementation(march 1993 to march 2012) period. The study found by the symmetric GARCH (1,1) model that the volatility of Indian foreign exchange rate is highly persistent in all three period and in the case of post LERMS period which is high than that of Pre LERMS sample period. The asymmetric models such as EGARCH and TGARCH were evidenced that there is existence of asymmetric or leverage effect in Indian Foreign Exchange rate in all the three sample periods and that is more in post LERMS period. Over all this study modeled of Indian foreign exchange rate volatility.","PeriodicalId":253875,"journal":{"name":"IICM 2012 11th Indian Institute of Capital Markets Conference (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129762678","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 6

A Study on Impact of Micro Factors on Share Prices of Companies in Sensex Sensex股市微观因素对公司股价的影响研究

IICM 2012 11th Indian Institute of Capital Markets Conference (Archive) Pub Date : 2012-12-21 DOI: 10.2139/ssrn.2255439

K. Divya, V. R. Devi

{"title":"A Study on Impact of Micro Factors on Share Prices of Companies in Sensex","authors":"K. Divya, V. R. Devi","doi":"10.2139/ssrn.2255439","DOIUrl":"https://doi.org/10.2139/ssrn.2255439","url":null,"abstract":"Investment is an essential element for the growth of the country. Investment translates economy into a robust economy. The goal of Financial Management is to maximize the wealth of shareholders. An investor has to make an appropriate decision of which shares are to be purchased or to be sold by examining the Micro factors which determine the fluctuations in the share prices and indirectly the wealth of shareholders.The present study makes an attempt to identify the relationship between the market price and selected five variables namely EPS, Price-Earnings ratio, Price to book ratio, book value and yield among 27 selected scrips in BSE Sensex. The data is collected by using secondary sources. Prowess database of CMIE is used in collecting data relating to the selected explanatory variables. The data is collected for a period of four years i.e. from 01-04-2008 to 31-03-2012 with quarterly intervals. The scope of the study is confined only to selected explanatory variables and to selected scrips in Sensex. These selected scrips belong to 10 sectors. Correlation and ANOVA are used for analyzing the relationship between the market price and selected explanatory variables.","PeriodicalId":253875,"journal":{"name":"IICM 2012 11th Indian Institute of Capital Markets Conference (Archive)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122302551","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0