NPA与股票收益是否相关:一个回溯检验模型的实证研究

Purushartha Pub Date : 2017-05-21 DOI:10.21844/PAJMES.V10I1.7799

Madhvi, Amit Gautam, A. Srivastava

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引用次数: 0

摘要

本文考察了银行不良资产公告与银行不良资产公告引发的股价波动之间的关系。本研究的主要重点是确定我们是否可以在对印度交易所上市银行股数据进行回测的基础上创建一个摆动交易模型。为了实现这一目标，我们创建了一个跨越十年(2006年至2016年)的数据库，并收集了在孟买证券交易所(BSE)上市的八家银行的每日股价。在相关研究和面板数据分析的基础上，研究了股价与净现值变化之间的关系。虽然相关研究没有建立任何显著的关系，但面板数据分析的结果清楚地显示两者之间存在负相关关系。将所得结果进一步用于开发摆动交易模型，并从中获得收益。本研究的新颖之处在于，它清晰地指导了波动交易者如何从NPA结果公布导致的股价波动中获利。

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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Is NPA and Stock Return Related: An Empirical Study of Back Testing Model

This paper examines the relationship between NPA announcements by banks and the impulsive movement in stock price brought out by these announcements. Primary focus of this study is to determine whether we can create a swing trading model based on back testing the data for the banking stocks listed on the Indian bourses.To achieve this objective we created a databasespanning ten years (2006 to 2016) and collected the daily share prices of eight banks listed on Bombay Stock Exchange (BSE). The relationship between share price and changes in NPA is studied on the basis of correlation studies and panel-data analysis. Although correlation studies does not establish any significant relationship, but the result of panel-data analysis clearly shows a negative relationship between the two. The result is further utilized to develop swing trading model and get benefit out of it. The novelty of the present study is that it clearly guides the swing traders as to how to earn benefit because of fluctuations in share price due to announce of NPA result.

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来源期刊

Purushartha Arts and Humanities-Philosophy

CiteScore

0.40

自引率

0.00%

发文量

期刊介绍： The Journal ‘Purushartha’ has been started with an objective to focus primarily on: Blending of ancient Indian management thoughts with the modern management principles Business ethics Values Indian spirituality for modern business It is strongly felt that there are many unexplored dimensions and fewer researches have been done on the above subjects. Through this journal an effort has been made to explore those dimensions for enriching the modern management science. It is worth mentioning that our effort through this journal for blending ancient Indian wisdom, ethics, values and spirituality with modern management thoughts primarily derived from West is being appreciated by the academia and industry as well.