kako citirati ovaj članak
podeli ovaj članak


  • citati u SCIndeksu: 0
  • citati u CrossRef-u:0
  • citati u Google Scholaru:[]
  • posete u poslednjih 30 dana:4
  • preuzimanja u poslednjih 30 dana:4


članak: 8 od 25  
Back povratak na rezultate
2017, vol. 21, br. 1, str. 19-33
Measurement of the financial risk and forecasting the Mispricing of Volatility in Indian market
(naslov ne postoji na srpskom)
Indira Gandhi National Tribal University, Department of Business Management, Amarkantak-MP, India

Ključne reči: Volatility; Financial Risk; Money Market; portfolio and share capital
(ne postoji na srpskom)
The present research paper main objective is that the study of Measurement of the Financial Risk and Mispricing of Volatility in the present scenario in the Indian equity. Money and debt market while the traditional theory explored in the present situation that high returns of money are associated with high risks, The market appears to be underestimating the probability of market movements in either direction, and thereby underpricing volatility severely in the research paper shows in that under certain conditions, a portfolio with low volatility stocks can yield higher returns than a high-volatility portfolio. Market operation is unacceptable in any financial market even if this influence is performed by the state itself. Moreover market operation to reduce interest rates would reintroduce financial repression through the back door and would reverse the principal success of the financial sector reforms. The main agenda of this research paper is the relatively new phenomenon of 'Risk-based anomaly. The present study mainly using a low-volatility portfolio strategy over a 6- year period (from 2010 to 2016) with rolling monthly iterations in the Indian money market, The present Research Paper main proposes a substitute design for the government securities market and also a new monitoring construction. Integrated markets, unbiased access to all modules of investors, intense competition and investor safety are the key elements of the anticipated design. The research study has focused on financial market volatility mispricing and measurement of the financial risk in Indian money market have wide scale repercussion on the economy as a whole. Hence there is a necessity to understand time path and nature of volatility of stock returns. In this study, an attempt has been made to analyze the behavior of volatility in the Bombay Stock Exchange Index shares and other share capital market in India. The nature of volatility persistence, its possible relationship with foreign institutional investment and the flow of unexpected news have been examined in this study.
*** (2007) European financial integration report 2007. Brussels: European Commission EC
*** (2008) Report on enhancing market and institutional resilience. Basel: Financial Stability Forum FSF
*** (2009) NYSE Group shares outstanding and market capitalization of companies listed. June 7, 2009. http://www.nyxdata.com/nysedata/default.aspx?tabid=115
Adler, M., Dumas, D. (1984) Exposure to currency risk: Definition and measurement. Financial Management, Summer, 41-51
Aggarwal, R., Inclan, C., Leal, R. (1999) Volatility in Emerging Stock Markets. Journal of Financial and Quantitative Analysis, 34(1); 33-55
Agrawal, G.D. (1992) Mutual funds and investors interest. Chartered Secretary, 22/1, 23
Akgiray, V. (1989) Conditional Heteroskedasticity in Time Series of Stock Returns: Evidence and Forecasts. Journal of Business, 55-80; 62
Albuquerque, R., Vega, C. (2008) Economic News and International Stock Market Co-movement*. Review of Finance, 13(3): 401-465
Alexander, C. (1998) Volatility and correlation: Measurement, models and applications. u: Alexander C. [ur.] Risk Management and Analysis, Measuring and Modeling Financial Risk, New York: John Wiley and Sons, Vol. I: 125-171
Amihud, Y. (1994) Exchange rates and the valuation of equity shares. u: Amihud Y., Levich R.M. [ur.] Exchange rates and corporate performance, New York: Irwin Professional Publishing, str. 49-59
Aminsky, G.L., Schmukler, S.L. (2001) On booms and crashes: Financial liberalization and stock market cycles
Andersen, T.G., Bollerslev, T., Diebold, F.X., Vega, C. (2007) Micro effects of macro announcements: Real-time price discovery in foreign exchange. American Economic Review, 93 (1); 38-62
Andersen, T.G., Bollerslev, T., Diebold, F.X., Labys, P. (1999) Microstructure bias and volatility signatures. New York: New York University, Unpublished Manuscript
Andersen, T.G., Bollerslev, T. (1998) Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts. International Economic Review, 39(4): 885
Andersen, T.G., Bollerslev, T., Diebold, F.X., Vega, C. (2007) Real-time price discovery in global stock, bond and foreign exchange markets. Journal of International Economics, 73(2): 251-277
Atmaramani, K.A. (1984) Issue of non-convertible debentures by public limited companies. Chartered Secretary, 14/7, 463-468
Balasubramaniam, N. (1993) Corporate financial policies and shareholders returns: The Indian experience. Bombay: Himalaya Publishing, 266
Barua, S.K., Raghunathan, V. (1982) Inflation hedge in India: Stocks or bullion. Ahmedabad: Indian Institute of Management, Working Paper No. 429, (July- Sept)
Barua, S.K., Madhavan, T., Raghunathan, V. (1987) Implications of changes in the holding period and other parameters on systematic risk and performance of a security. Ahmedabad: Indian Institute of Management, Working Paper No. 664, (Jan-Mar)
Barua, S.K., Madhavan, T., Varma, J.R. (1991) Indian convertible bonds with unspecified terms: An empirical study. Ahmedabad: Indian Institute of Management, Working Paper No. 990, (Oct-Dec)
Deardorff, A.V. (1979) One-Way Arbitrage and Its Implications for the Foreign Exchange Markets. Journal of Political Economy, 87(2): 351-364
Fabozzi, F.J., Modigliani, F. (2007) Capital markets: Institutions and instruments. Prentice-Hall International
Howells, P., Bain, K. (2008) Financial markets and institutions. Financial Times, Prentice Hall
Litterman, R., Scheinkman, J. (1991) Common Factors Affecting Bond Returns. Journal of Fixed Income, 54-61; 1
Madura, J. (2008) Financial markets and institutions. Prentice-Hall International
Mishkin, F.S., Eakins, S.G. (2006) Financial markets and institutions. Addison-Wesley
Nelson, C., Schaefer, S.M. (1983) The dynamics of the term structure and alternative immunization strategies. u: Bierwag G.O.; et al. [ur.] Innovations in Bond Portfolio Management: Duration Analysis and Immunization, Greenwich, CT: JAI Press
Prosad, J.M., Kapoor, S., Sengupta, J. (2013) Impact of overconfidence and the disposition effect on trading volume: An empirical investigation of indian equity market. International Journal of Research in Management and Technology, 3/4, 109- 116
Prosad, J.M., Kapoor, S., Sengupta, J. (2015) Theory of Behavioral Finance. IGI Global, str. 1-24
Prosad, J.M., Kapoor, S., Sengupta, J. (2012) An Examination of Herd Behavior: An Empirical Evidence from Indian Equity Market. International Journal of Trade, Economics and Finance, str. 154-157
Seifert, W.G., Achleitner, A., Mattern, F., Streit, C.C., Voth, H. (2000) European Capital Markets. London: Springer Nature
Shiller, R.J. (1990) Market Volatility and Investor Behaviour. American Economic Review, 80(2); 58-62
Valdez, S. (2006) Introduction to global financial markets. Palgrave Macmillan
Varma, J.R. (1996) Bond Valuation and the Pricing of Interest rate Options in India. ICFAI Journal of Applied Finance, 2(2); 161-176

O članku

jezik rada: engleski
vrsta rada: izvorni naučni članak
DOI: 10.18421/TRZ21.01-02
objavljen u SCIndeksu: 01.09.2017.
metod recenzije: dvostruko anoniman