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Now showing items 11-20 of 45
Analysis of the Indian securities industry: market for debt
(2010-03-27)
Though the Indian equity market has shown some encouraging growth in the last decade, the Indian debt market has continued to remain sluggish. In an environment where India is keen to attract foreign investments, it will ...
Equilibrium pricing of special bearer bonds
(2010-03-31)
Special Bearer Bonds provide immunity to investors in respect of black money invested
in them. This paper derives equilibrium prices of these bonds in a continuous time
framework using the mixed Wiener-Poisson process. ...
Sebi's regulatory priorities: need for change
(2010-04-17)
Genesis and Function: SEBI was created in 1988 to reform and regulate the securities markets in India. It was given statutory powers in 1992 and assigned the following functions and responsibilities: * Make rules and ...
Four factor model in Indian equities market
(2013-11-26)
We compute the Fama-French and momentum factor returns for the Indian equity market
or the 1993-2012 period using data from CMIE Prowess. We di er from the previous studies
n several signi cant ways. First, we cover a ...
Gorbachev betas the Russian coup and market blues
(2009-12-12)
Extensive work has been done on response of stock markets to a variety of events, such as announcement of a firm s financial results, changes in a firm s variables. However, little work has been done on response of stock ...
Value at risk models in the Indian Stock market
(2009-12-12)
This paper provides empirical tests of different risk management models in the Value at Risk (VaR) framework in the Indian stock market. It is found that the GARCH-GED (Generalised Auto-Regressive Conditional Heteroscedasticity ...
Towards a unified market for trading gilts in India
(2009-12-14)
This paper argues for a reconsideration of most elements of this design. Government securities are a unique asset class to which all Indians should have non discriminatory access. Segregated markets are unacceptable. Nor ...
Mispricing of volatility in the indian index options market
(2010-01-16)
This paper examines the relationship between index futures and index options prices in India. By using futures prices, we eliminate the effect of short sale restrictions in the cash market that impede arbitrage between the ...
Regulatory implications of monopolies in the securities industry
(2010-01-16)
Since the mid-1990s, investors and regulators have benefited from a high degree of competition in the Indian securities industry. Even more than all the policy changes that have taken place, it is technology and competition ...
Modelling credit risk in Indian bond markets
(2010-01-16)
Government bonds are subject only to interest rate risk. However, corporate bonds are subject to credit risk in addition to interest rate risk. Credit risk subsumes the risk of default as well as the risk of an adverse ...