This study examines the reliability of the OLS beta estimates in Indian stock markets by consider... more This study examines the reliability of the OLS beta estimates in Indian stock markets by considering the residual characteristics of the market model regressions. The statistics used include the coefficient of determination (R 2), the F-test for significance of the regression coefficient, the Durbin-Watson test for serial autocorrelation, the residual autocorrelation function, the Kolmogorov-Smirnov and Shapiro-Wilk tests for normality of the residuals, the presence of outliers, and White's test for heteroskedasticity. The results of the study indicate some serious issues afflicting beta estimation in Indian stock markets, including: non-normality of stock returns and of residuals, extreme standardized residual values, heteroskedasticity, residual autocorrelation, and low R 2. Thus, the simple market model is likely to result in biased estimates for beta in Indian stock markets.
Derivatives have emerged as the key financial instruments to hedge financial risk. The volatility... more Derivatives have emerged as the key financial instruments to hedge financial risk. The volatility and uncertainty in the global market has forced investors to use derivatives to hedge their positions. The speculator, being a risky player in the market, needs sound strategies for speculation, otherwise he may end up in making huge losses. This study aims at constructing an optimal portfolio of options for speculators and compares its performance with that of an optimal stocks portfolio. A mathematical programming model similar to Sharpe's optimization model is used to construct these optimal portfolios. An attempt has been made to compare and analyze both the portfolios to show how the options portfolio gives better returns on average than the stocks portfolio.
The strength and soundness of a banking system primarily depends upon the quality of the assets. ... more The strength and soundness of a banking system primarily depends upon the quality of the assets. Non-performing assets (NPA) is one of the major concerns for banking system in India. This study analyzes NPA management in Indian banks for the period 2004-2013. The data for the study pertained to gross and net NPAs of different bank groups over the research period, and was collected from the Reserve Bank of India (RBI) website. The results of the study show that there has been a reduction in the NPA ratios over the research period, which indicates improvement in the asset quality of Indian public sector banks, private sector banks, and foreign banks. There was significant improvement in the management of NPAs of the public sector banks. The stringent prudential and provisioning norms and other initiatives taken by the regulatory bodies have pressurized banks to improve their performance, and consequently resulted in reduction of NPA as well as improvement in the financial health of the Indian banking system. The various steps initiated by the RBI and the Government of India in strengthening/improving the functioning of the Debt Recovery Tribunals, Lok Adalats, and SARFAESI Act as a comprehensive settlement policy certainly has resulted in improved recovery of NPA accounts. All these efforts have improved the efficiency and profitability of Indian banks, and have strengthened the financial position of the public sector banks and private sector banks. The study further reveals that despite the huge NPA level of public sector banks, they have been successful in reducing their respective gross and net NPA ratios at par with the private sector banks.
Editor- Vincent Charles Foreword This issue of the Journal of CENTRUM Cathedra (JCC): The Busines... more Editor- Vincent Charles Foreword This issue of the Journal of CENTRUM Cathedra (JCC): The Business and Economics Research Journal, includes eight research articles by authors from Denmark, India, Peru, Poland, Spain, and the United Kingdom and spans a spectrum of research areas such as productivity, strategic management, performance management, intellectual capital management, financial markets, and option pricing. This issue of the journal, like its earlier issues, upholds the aim to present a global perspective. Collaboration is inherent in any operating market economy, and firms seek to collaborate because of the advantages of collaborating relative to not collaborating. Past literature in the field points to “collaborative advantages” that can arise at multiple levels. In “Researching Multilevel Phenomena: The Case of Collaborative Advantage in Strategic Management,” Nicolai J. Foss and Bo B. Nielsen reflect on important multilevel issues pertaining to collaborative advantage an...
ABSTRACT Indian banks are amongst the most technologically advanced in the world, with vast netwo... more ABSTRACT Indian banks are amongst the most technologically advanced in the world, with vast networks of branches empowered by strong banking systems, and their product and channel distribution capabilities are on par with those of the leading banks in the world. The Indian banking system was heavily dominated by nationalised commercial banks until globalisation. The financial regulation and credit controls imposed by the government created a system in which competition was very less. A more competitive banking environment has gradually been achieved through the deregulation measures and permission granted to many private and foreign banks into the Indian banking industry. These changes have also caused a compression of profits and a re-orientation of banking strategy towards quality service provision. The introduction of new private sector banks and foreign banks has decreased margins and revenues to banks. As a result of the heightened competition, bank service quality has become an increasingly important factor in determining market shares and profitability in banking sector. With a high potential in the Indian banking industry, all leading banks are differentiating themselves based on service quality offering. The results of the study show that there is a significant difference between the expectations and the perceptions of banking service quality of the respondents for all of the variables under the Banking Service Quality (BSQ) model. It was found that public banks fared better overall than private/foreign banks in terms of perceptions of banking service quality. This can be explained partially by the experience with private/foreign banks worldwide. With the sudden collapse of some of the oldest and most well-established international banks and the onset of the global financial meltdown, customers have become more cautious about private/foreign banks. At the same time the trust level on public banks have increased. Therefore, private/foreign banks would have to concentrate on meeting customer expectations better.
ABSTRACT Service quality is a dominant issue in business today. Not only is superior quality link... more ABSTRACT Service quality is a dominant issue in business today. Not only is superior quality linked to business success (Philips, Chang and Buzzell, 1983), but some consider service quality to be a prerequisite for the survival in the marketplace (Parasuraman, Zeithmal and Berry, 1988). Service quality was traditionally, albeit mistakenly, equated with courtesy (Benett and Higgins, 1988). Over the years, however, service quality has become more important to service businesses. In the early twentieth century, service quality has been reported as having apparent relationship to customer satisfaction (Boltan and Drew, 1991; Boulding et al, 1993).The results of the present study confirm the same in the context of the Indian insurance industry. The most important parameters that influence perception of overall service quality found in the study are appealing brochures, pamphets; time related promises being kept; services being provided at the promised time and employees’ individual attention to customers.
ABSTRACT At the heart of the Capital Asset Pricing Model (CAPM) lies the concept of systematic ri... more ABSTRACT At the heart of the Capital Asset Pricing Model (CAPM) lies the concept of systematic risk. The systematic risk of a security is that component of the total risk of the security that is explained by market risk. This is captured through the regression of security returns on market returns. The regression coefficient represents the sensitivity of returns of the security to changes in market returns. Current developments in econometric theory, however, undermine the simplicity of this approach. Firstly, there should be some form of causality from changes in market returns to changes in security returns. In particular, Granger causality from market returns to security returns must hold. Secondly, in order for the regression to be meaningful, the time series should be stationary. In particular, the presence of a unit root would undermine the significance of the regression coefficient, and therefore threaten the entire basis of the CAPM. It is in this context that Granger causality and stationarity should be examined for the security line. This approach may be extended to determining the macroeconomic variables that influence asset returns in general.
... Krishna Keshav Havaldar. affiliation not provided to SSRN Jacob Alexander. Alliance Business ... more ... Krishna Keshav Havaldar. affiliation not provided to SSRN Jacob Alexander. Alliance Business School (ABS) Mihir Dash. ... Havaldar, Krishna Keshav, Alexander, Jacob and Dash, Mihir, Basic Customer Service and its Impact on Customer Retention (September 27, 2011). ...
ABSTRACT The study analyzes the market behavior and causality effects between spot and futures pr... more ABSTRACT The study analyzes the market behavior and causality effects between spot and futures prices in Indian commodity markets. The pattern is quite different for different commodities. Commodities that suffer from chronic backwardation should be analyzed in more detail, in order to understand the causes, and controls (known as backwardation limits) should be instituted for the same. Causality in commodities markets can be used to either hedge or speculate price movements: if changes in spot prices drive changes in futures prices, efficient hedging strategies can be formulated; whereas if changes in futures prices drive changes in spot prices, efficient speculation strategies can be formulated. Further, causality can be used in forecasting commodity spot and futures prices.
... as in Fama and French (1992), while other studies have examined the impact of the ... and cha... more ... as in Fama and French (1992), while other studies have examined the impact of the ... and changes in the discount rate, Journal of Financial Services Research, 6. 4 ... Theory (APT) Across Time, Manchester Metropolitan University Business School Working Paper Series, WPS010 ...
Abstract: Stock splits are a relatively new phenomenon in Indian markets, especially since early ... more Abstract: Stock splits are a relatively new phenomenon in Indian markets, especially since early 2005 with the bull phase in Indian stock markets, with many companies' stock prices shooting far beyond the normal trading range. Though stock splits do not change the ...
This study examines the reliability of the OLS beta estimates in Indian stock markets by consider... more This study examines the reliability of the OLS beta estimates in Indian stock markets by considering the residual characteristics of the market model regressions. The statistics used include the coefficient of determination (R 2), the F-test for significance of the regression coefficient, the Durbin-Watson test for serial autocorrelation, the residual autocorrelation function, the Kolmogorov-Smirnov and Shapiro-Wilk tests for normality of the residuals, the presence of outliers, and White's test for heteroskedasticity. The results of the study indicate some serious issues afflicting beta estimation in Indian stock markets, including: non-normality of stock returns and of residuals, extreme standardized residual values, heteroskedasticity, residual autocorrelation, and low R 2. Thus, the simple market model is likely to result in biased estimates for beta in Indian stock markets.
Derivatives have emerged as the key financial instruments to hedge financial risk. The volatility... more Derivatives have emerged as the key financial instruments to hedge financial risk. The volatility and uncertainty in the global market has forced investors to use derivatives to hedge their positions. The speculator, being a risky player in the market, needs sound strategies for speculation, otherwise he may end up in making huge losses. This study aims at constructing an optimal portfolio of options for speculators and compares its performance with that of an optimal stocks portfolio. A mathematical programming model similar to Sharpe's optimization model is used to construct these optimal portfolios. An attempt has been made to compare and analyze both the portfolios to show how the options portfolio gives better returns on average than the stocks portfolio.
The strength and soundness of a banking system primarily depends upon the quality of the assets. ... more The strength and soundness of a banking system primarily depends upon the quality of the assets. Non-performing assets (NPA) is one of the major concerns for banking system in India. This study analyzes NPA management in Indian banks for the period 2004-2013. The data for the study pertained to gross and net NPAs of different bank groups over the research period, and was collected from the Reserve Bank of India (RBI) website. The results of the study show that there has been a reduction in the NPA ratios over the research period, which indicates improvement in the asset quality of Indian public sector banks, private sector banks, and foreign banks. There was significant improvement in the management of NPAs of the public sector banks. The stringent prudential and provisioning norms and other initiatives taken by the regulatory bodies have pressurized banks to improve their performance, and consequently resulted in reduction of NPA as well as improvement in the financial health of the Indian banking system. The various steps initiated by the RBI and the Government of India in strengthening/improving the functioning of the Debt Recovery Tribunals, Lok Adalats, and SARFAESI Act as a comprehensive settlement policy certainly has resulted in improved recovery of NPA accounts. All these efforts have improved the efficiency and profitability of Indian banks, and have strengthened the financial position of the public sector banks and private sector banks. The study further reveals that despite the huge NPA level of public sector banks, they have been successful in reducing their respective gross and net NPA ratios at par with the private sector banks.
Editor- Vincent Charles Foreword This issue of the Journal of CENTRUM Cathedra (JCC): The Busines... more Editor- Vincent Charles Foreword This issue of the Journal of CENTRUM Cathedra (JCC): The Business and Economics Research Journal, includes eight research articles by authors from Denmark, India, Peru, Poland, Spain, and the United Kingdom and spans a spectrum of research areas such as productivity, strategic management, performance management, intellectual capital management, financial markets, and option pricing. This issue of the journal, like its earlier issues, upholds the aim to present a global perspective. Collaboration is inherent in any operating market economy, and firms seek to collaborate because of the advantages of collaborating relative to not collaborating. Past literature in the field points to “collaborative advantages” that can arise at multiple levels. In “Researching Multilevel Phenomena: The Case of Collaborative Advantage in Strategic Management,” Nicolai J. Foss and Bo B. Nielsen reflect on important multilevel issues pertaining to collaborative advantage an...
ABSTRACT Indian banks are amongst the most technologically advanced in the world, with vast netwo... more ABSTRACT Indian banks are amongst the most technologically advanced in the world, with vast networks of branches empowered by strong banking systems, and their product and channel distribution capabilities are on par with those of the leading banks in the world. The Indian banking system was heavily dominated by nationalised commercial banks until globalisation. The financial regulation and credit controls imposed by the government created a system in which competition was very less. A more competitive banking environment has gradually been achieved through the deregulation measures and permission granted to many private and foreign banks into the Indian banking industry. These changes have also caused a compression of profits and a re-orientation of banking strategy towards quality service provision. The introduction of new private sector banks and foreign banks has decreased margins and revenues to banks. As a result of the heightened competition, bank service quality has become an increasingly important factor in determining market shares and profitability in banking sector. With a high potential in the Indian banking industry, all leading banks are differentiating themselves based on service quality offering. The results of the study show that there is a significant difference between the expectations and the perceptions of banking service quality of the respondents for all of the variables under the Banking Service Quality (BSQ) model. It was found that public banks fared better overall than private/foreign banks in terms of perceptions of banking service quality. This can be explained partially by the experience with private/foreign banks worldwide. With the sudden collapse of some of the oldest and most well-established international banks and the onset of the global financial meltdown, customers have become more cautious about private/foreign banks. At the same time the trust level on public banks have increased. Therefore, private/foreign banks would have to concentrate on meeting customer expectations better.
ABSTRACT Service quality is a dominant issue in business today. Not only is superior quality link... more ABSTRACT Service quality is a dominant issue in business today. Not only is superior quality linked to business success (Philips, Chang and Buzzell, 1983), but some consider service quality to be a prerequisite for the survival in the marketplace (Parasuraman, Zeithmal and Berry, 1988). Service quality was traditionally, albeit mistakenly, equated with courtesy (Benett and Higgins, 1988). Over the years, however, service quality has become more important to service businesses. In the early twentieth century, service quality has been reported as having apparent relationship to customer satisfaction (Boltan and Drew, 1991; Boulding et al, 1993).The results of the present study confirm the same in the context of the Indian insurance industry. The most important parameters that influence perception of overall service quality found in the study are appealing brochures, pamphets; time related promises being kept; services being provided at the promised time and employees’ individual attention to customers.
ABSTRACT At the heart of the Capital Asset Pricing Model (CAPM) lies the concept of systematic ri... more ABSTRACT At the heart of the Capital Asset Pricing Model (CAPM) lies the concept of systematic risk. The systematic risk of a security is that component of the total risk of the security that is explained by market risk. This is captured through the regression of security returns on market returns. The regression coefficient represents the sensitivity of returns of the security to changes in market returns. Current developments in econometric theory, however, undermine the simplicity of this approach. Firstly, there should be some form of causality from changes in market returns to changes in security returns. In particular, Granger causality from market returns to security returns must hold. Secondly, in order for the regression to be meaningful, the time series should be stationary. In particular, the presence of a unit root would undermine the significance of the regression coefficient, and therefore threaten the entire basis of the CAPM. It is in this context that Granger causality and stationarity should be examined for the security line. This approach may be extended to determining the macroeconomic variables that influence asset returns in general.
... Krishna Keshav Havaldar. affiliation not provided to SSRN Jacob Alexander. Alliance Business ... more ... Krishna Keshav Havaldar. affiliation not provided to SSRN Jacob Alexander. Alliance Business School (ABS) Mihir Dash. ... Havaldar, Krishna Keshav, Alexander, Jacob and Dash, Mihir, Basic Customer Service and its Impact on Customer Retention (September 27, 2011). ...
ABSTRACT The study analyzes the market behavior and causality effects between spot and futures pr... more ABSTRACT The study analyzes the market behavior and causality effects between spot and futures prices in Indian commodity markets. The pattern is quite different for different commodities. Commodities that suffer from chronic backwardation should be analyzed in more detail, in order to understand the causes, and controls (known as backwardation limits) should be instituted for the same. Causality in commodities markets can be used to either hedge or speculate price movements: if changes in spot prices drive changes in futures prices, efficient hedging strategies can be formulated; whereas if changes in futures prices drive changes in spot prices, efficient speculation strategies can be formulated. Further, causality can be used in forecasting commodity spot and futures prices.
... as in Fama and French (1992), while other studies have examined the impact of the ... and cha... more ... as in Fama and French (1992), while other studies have examined the impact of the ... and changes in the discount rate, Journal of Financial Services Research, 6. 4 ... Theory (APT) Across Time, Manchester Metropolitan University Business School Working Paper Series, WPS010 ...
Abstract: Stock splits are a relatively new phenomenon in Indian markets, especially since early ... more Abstract: Stock splits are a relatively new phenomenon in Indian markets, especially since early 2005 with the bull phase in Indian stock markets, with many companies' stock prices shooting far beyond the normal trading range. Though stock splits do not change the ...
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