Papers by K. V. Bhanumurthy
Econometric Modeling: International Financial Markets - Volatility & Financial Crises eJournal, 2019
This study aims to gain insights on various issues that surround stock market volatility. For thi... more This study aims to gain insights on various issues that surround stock market volatility. For this purpose, more than forty empirical studies have been examined to critically assess issues like, heteroscedasticity, asymmetric effect, risk-return framework, spillovers and forecasting accuracy. With the help of time-series plots, the study demonstrates in layman terms how mean-reversion, clustering and heteroscedasticty exhibits in stock market volatility. This study finds GARCH variants to have a wider applicability in the modelling of volatility persistence despite fearing poorly in evaluation against naive methods like realised volatility, EWMA. The asymmetric effect doesn’t seem to be as strong at firm level as it appears at the broad market index level. Evidence of statistically weak relation between conditional volatility and expected returns raises questions about accuracy of the volatility measures plugged for testing the relation. In case of spillover effects, immunity/propen...
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International Journal of Banking, Risk and Insurance, 2013
seek the convenient position of equating competition with concentration (Murugkar et al., 2007). ... more seek the convenient position of equating competition with concentration (Murugkar et al., 2007). We differ from these strands of literature. We believe that the competition can be rigorously conceptualized and measured and that it cannot be subsumed in the measurement of concentration. Finally, there is a strong need to position theory of competition in the context of banking as distinct from the general notions of competition. The plan of the paper is as follows.
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SSRN Electronic Journal, 2005
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Agricultural Economics, 1999
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This paper emphasizes the role played by the level of global environmental degradation (GED) in e... more This paper emphasizes the role played by the level of global environmental degradation (GED) in economic development; this link has been ignored in the existing literature on the environmental Kuznets curve (EKC). We develop a composite environmental degradation index (EDI) using Principal Components Analysis (PCA) and relate it to an appropriate measure of economic development, i.e., the human development index (HDI), with a view toward developing a global EKC (GEKC) for 174 countries. Several important conclusions relating to the global behavior of environmental degradation, the precise shape of the GEKC, and the pattern of distribution of GED are
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International Journal of Financial Management, 2014
The two relevant criteria for evaluating the performance of the Indian economy in regional terms,... more The two relevant criteria for evaluating the performance of the Indian economy in regional terms, in respect of FDI flows, according to our understanding are efficiency and equity. Since FDI is primarily a relocation of international production it is based on the principle of optimal resource allocation. The notion of efficiency, in this context, refers to the tendency of FDI to flow to those regions or States which have efficient production. The other side of the coin is that an efficient State deserves to get a greater share of FDI. This spells out the notion of equity. The paper uses set of new indices, including index of rank dominance, which shows that the most dominant centre is Mumbai. The paper also uses a 2-Stage Least Square (2SLS) estimation procedure, with two panel regression fixed effects models. There is a very high elasticity of FDI flows w.r.t. SDP growth. Also the results show that there is an extremely high negative correlation (-0.996) between equity and efficien...
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FOCUS : Journal of International Business
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The paper tries to argue that Cobb-Douglas (CD) production function merits its use for analysing ... more The paper tries to argue that Cobb-Douglas (CD) production function merits its use for analysing production process, not because it is looked as a simple tool which can be handled easily or is looked as a crude remedy for estimation ills, but because of the advantages it possesses. These advantages are due to the fact that it can handle multiple inputs in its generalised form. Even in the face of imperfections in the market it does not introduce distortions of its own. Unconstrained CD-function further increases its potentialities to handle different scales of production. Various econometric estimation problems, such as serial correlation, hetroscidasticity and multicolinearity can be handled adequately and easily. It is argued that most of its criticism is focussed on its inflexibility and admits that except for one obvious assumptions all other assumptions can be relaxed. It is further argued that it facilitates computations and has the properties of explicit representability, uni...
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Management and Economics Research Journal, 2018
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seek the convenient position of equating competition with concentration (Murugkar et al., 2007). ... more seek the convenient position of equating competition with concentration (Murugkar et al., 2007). We differ from these strands of literature. We believe that the competition can be rigorously conceptualized and measured and that it cannot be subsumed in the measurement of concentration. Finally, there is a strong need to position theory of competition in the context of banking as distinct from the general notions of competition. The plan of the paper is as follows.
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FOCUS : Journal of International Business
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International Journal of Financial Management, 2015
Outward Foreign Direct Investment (OFDI) is in the nature of international relocation of producti... more Outward Foreign Direct Investment (OFDI) is in the nature of international relocation of production. OFDI acts as a complementary input in the host country and hence aims at rational allocation of global resources. The pattern of economic development on a multilateral scale would, thus, determine the pattern of OFDI. We consider the effect of economic development on OFDI originated from developing countries, with the help of a set of socioeconomic variables. With the help of Principal Component Analysis we construct a set of six composite indices, namely, human resource, infrastructure, labour, market, trade openness and resource, as determinants of OFDI. We use a panel regression approach both in terms of OFDI stock and flow. The period of study is 1990-2009. Empirical results indicate that developing countries outflow has not been growing significantly. The annual growth rate of global FDI outflows is 3.2 percent. FDI outflow is mainly from developed countries. Resource is most important determinant because it has elasticity greater than one. Resource and market variables indicate that in long run FDI focused on resource-seeking and market-seeking.
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SSRN Electronic Journal, 2000
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Global Economic Review, 2010
ABSTRACT This article aims at analysing the role of foreign direct investment (FDI) outflows in e... more ABSTRACT This article aims at analysing the role of foreign direct investment (FDI) outflows in economic performance and the impact of economic growth on outward FDI with the data from Japan. Bivariate and multivariate Granger causality frameworks have been used in this study. The results suggest that the conclusion of bivariate framework may not be valid because it allows omission of important variables. The results of the multivariate framework show that there is a long-run positive unidirectional causality from outward FDI to gross domestic product (GDP) per capita. In the short-run, both per capita income and outward FDI do not allow Granger causality.
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Page 1. 1 IPO Market: Underpricing or overpricing? KV Bhanu Murthy Amit Kumar Singh Department ... more Page 1. 1 IPO Market: Underpricing or overpricing? KV Bhanu Murthy Amit Kumar Singh Department of Commerce, Shaheed Bhagat Singh College, Delhi School of Economics, (Delhi University), Sheikh Sarai-Phase II Delhi University, New Delhi 11 0017 Delhi 110007 India ...
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Indian Journal of Finance
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ASARC Working Papers, Jan 1, 2005
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Economics Systems, Jan 1, 1997
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Papers by K. V. Bhanumurthy