Finance and Accounts

The present study analyses the spill-over’s effect between the interest rate cash and futures market in India. We use daily data of volumes, weighted average price, weighted average yield to represent cash market and number of contracts traded, values, open interest, settlement price to represent futures market from 4th August 2014 to 31st December 2015 with 337 (trading days) number of observations. We consider a single instrument (i.e. 08.40 GS 2024) which is most liquid, active and have contracts for a longer time period. All data are sourced from Clearing Corporation of India Ltd. (CCIL) and National Stock Exchange (NSE). We first presents descriptive statistics followed by stationarity test, Correlation, Regression, Granger Causality test and ARMA (1, 1), GARCH (1, 1) spill-over’s model. The study finds cash market price is leading the futures market but the future settlement price has impact on the yield of the underlying security.
Key words: Govt. Securities, Interest rate futures, NSE, CCIL
JEL Classification: C 58, G 12, G 13

We investigate cross-market volatility spillover e¡ects across New York and London foreign exchange and equity markets. By using several daily data-sets, each relating to a di¡erent time of the day, and the generalized autoregressive conditional heteroscedasticity approach, the empirical analysis found volatility spillover e¡ects (meteor shower e¡ects) from the foreign exchange market in London and New York to the equity market in New York and London, respectively. By contrast, the results did not show volatility spillover e¡ects from the equity markets to the foreign exchange markets across New York and London.

Research is a continuous process. There are two types of research. One is theoretical, and another is empirical. A few researchers like Nobel laureates do theoretical research, and currently, whatever theories in investment or finance we are framing to our syllabus are the contributions of great minds. This process starts with the formulation of an idea followed by a literature review, research gap, objectives of the study, formulation of hypothesis, research design, data and methodology, empirical analysis and conclusion. Getting a research idea requires little effort. The question is how and where to get a research idea? We may get a research idea from research journals. Still, apart from this, we have so many options likedaily newspapers, magazines, conversations, TV and radio programs etc. to get a research idea. After getting a research idea, we need to form one model, review the literature, and so on. In all this process, we make some mistakes, and mistakes help us improve our paper to make it a better one. We should not hesitate to make mistakes/errors: error and error and error again but less and less and less .

This study examines the Markov dynamic regime switching behaviour between cash and futures market in respect to interest rate in India. The study uses daily data of volumes, weighted average price, weighted average yield for cash market and total values, open interest, settlement price from 21st January 2014 to 30th October 2014. We a contract i.e. 883GS2023 of NSE has been used for our analysis. All data are sourced from Clearing Corporation of India Ltd. (CCIL) and National Stock Exchange (NSE). We have run regime switching regression to capture the switching behaviour in bull as well as bear state of cash to future and future to cash in six different equations. This model also captures the estimated probability and estimated duration to continue in bull and bear state and does not require to test stationarity or conversion of data into any normalised form. We find switching behaviour in both cash is regime switching the future as well as future is regime switching the cash market...

Influence of corporate ownership structure on corporate performance and governance has been a matter of debate and investigation in the literature of financial performance, and financial economics. This study explores the nature and extent of the relationship between ownership category and financial performance of the firm in limited manner. It investigates as to how heterogeneity of owners as well as the ownership category of the firm, per se, impacts the corporate performance. Employing panel regression model, the results show ownership structure impacts financial performance but only selectively, and the strength of the impact appears weak. This creates a basis for further analysis to understand the incentives and examine the impact of ownership structure on corporate financial performance across the sectors and the markets.

Influence of corporate ownership structure on corporate performance and governance has been a matter of debate and investigation in the literature of financial performance, and financial economics. This study explores the nature and extent of the relationship between ownership category and financial performance of the firm in limited manner. It investigates as to how heterogeneity of owners as well as the ownership category of the firm, per se, impacts the corporate performance. Employing panel regression model, the results show ownership structure impacts financial performance but only selectively, and the strength of the impact appears weak. This creates a basis for further analysis to understand the incentives and examine the impact of ownership structure on corporate financial performance across the sectors and the markets.

In order to capture the volatility and asymmetric transformation effect in Indian stock and foreign exchange market, two exchange rates [US Dollar (USD) and Euro] were tested with stock index (SENSEX). The study focused on the 2008 US subprime financial crisis period and analyzed data for the two sub periods like pre subprime and post subprime crisis period. The whole of the study period covers from 2nd April 2004 to 30th March 2012 with total of 1,930 daily observations. Descriptive statistics were drawn from the data series to know the nature of the data. All return series were found to be stationary at level. To proceed, for examining the volatility spillover between the variables generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) models was used. The benefit of using EGARCH model is that, it is able to capture the asymmetric nature or the impact of good and bad news separately. The inferences drawn by applying these models in the two sub periods revealed that post crisis period comprised highest bidirectional volatility and asymmetric spillover effect between these two markets compared to pre-crisis period. The study observed that unlike volatility in Euro currency, volatility in Indian stock market was more caused by volatility in USD. Likewise post crisis period is pronouncing more volatility compared to pre-crisis period. This kind of research is of higher relevance in present day context because it allows the players of the financial markets to hedge their risk accordingly.

This article summarizes the recent developments in India's securities markets regulations, instruments, and intermediaries. It documents the latest and first-ever initiatives in the Indian securities markets such as the implementation of the T+1 settlement cycle, introducing social stock exchange with Zero Coupon and Zero principal bonds, a stronger framework for green debt securities through blue, green, and yellow bonds. The article also dwells upon the regulations related to Business Responsibility and Sustainable Reporting (BRSR), and ESG disclosures and ratings aimed at setting up an efficient market structure by strengthening the governance system. The fourth annual international capital markets conference was organized to foreground India's multiple challenges and to encourage policy discussion about the latest developments in the Indian securities market. A brief summary of relevant papers presented in the conference and published in this issue is provided at the end of the article. 4