Financial Literacy means knowledge of basic economic and financial concepts, as well as the abili... more Financial Literacy means knowledge of basic economic and financial concepts, as well as the ability to use that knowledge and other financial skills to manage financial resources effectively for a lifetime of financial comfort. In this paper, an attempt is made to examine the burning issue of “financial literacy among investors,” from multiple perspectives. Accordingly the existing literature on the subject has been reviewed and critically analyzed on various bases i.e., definitions developed, importance elucidated, determinants identified, demographics studied, impact of financial education and various geographical locations covered. To conclude, it can be said that the eminent area of financial literacy holds many unexplored dimensions which researchers can take up in future.
Volatility spillover among major equity markets has long fascinated academicians and researchers ... more Volatility spillover among major equity markets has long fascinated academicians and researchers alike. This paper presents an elaborate survey and analysis of the literature on the subject. Review of extant studies on various basis such as markets studied, methodology employed, among others has important implications for various stakeholders. We report that there has been wide variation in results because different studies have examined different markets using wide range of financial econometric methodologies. Some have considered only volatility or both volatility and spillover. Still others have incorporated the impact of global financial crisis on volatility spillover. Future researchers should examine if there is any volatility spillovers between various sectors of an economy, between different financial markets of the same economy, amongst same sectors of different markets, probe whether size effect is relevant, identify the transmission channels of volatility spillover, enume...
Relationship between stock market performance and macroeconomic variables has intrigued and is of... more Relationship between stock market performance and macroeconomic variables has intrigued and is of pertinent importance to policy makers, regulators, academicians, researchers and investment community. This paper presents a comprehensive theoretical framework underpinning this relationship and also provides an extensive critical analysis of existing literature on the subject. Theory suggests that stock market performance has positive relationship with GDP, Money Supply, Industrial Production, Foreign Exchange Reserves, Balance of Trade, Net FPI and FDI Inflows. It is negatively related with Inflation, Interest Rate, Gold Price and Oil Prices. Relationship of stock market with exchange rate and fiscal deficit is not clear. Critical examination of literature on various bases suggests that while this relationship is clearly established for developed markets, there is no unanimity for this relationship regarding emerging markets. Also, while some prominent macroeconomic variables which a...
International Journal of Business and Globalisation, 2021
The present study examines the applicability of five-factor model of Fama-French (2015). This mod... more The present study examines the applicability of five-factor model of Fama-French (2015). This model considers five factors namely market, size, value, profitability and investment in explaining the cross-sectional variations, i.e., variations across different stock or portfolios in the equity returns in Indian stock markets using the monthly closing price data of a sample of 486 companies which are a part of CNX 500 index over the period from July 2000 to June 2015. The paper investigates whether including any or all of the additional four factors can better explain the cross-sectional variations than the single factor capital assets pricing model. The investment strategies based on size, value and profitability provided abnormal returns over the study period. By making use of the Davis et al. (2000) methodology, we find that Fama-French five-factor model based on market premium, size premium, value premium, profitability premium and investment premium explains the variations in the equity returns better than single factor capital assets pricing model but it does not increase the adjusted R2 significantly. The results have implications for asset pricing, market efficiency and investment strategies in the Indian stock market.
Investment Strategy - Redefined with the emergence of Ethical funds, Jul 1, 2017
Various dynamic patterns have been identified in context of the investment strategies followed by... more Various dynamic patterns have been identified in context of the investment strategies followed by retail investors. The current study attempts to bring the attention of the investors towards the importance of the application of the concept of ESG (environmental, social and governance) norms while deciding about investment opportunities available in the stock markets. The data for the study includes the returns of the stocks in the Tata Ethical Fund and Nifty Midcap Index for a period of three years from January, 2016 to January 2019. Various statistical tests like the t-test, KS test, Ftest and Levene’s test have been employed in the study. The study highlights the benefit that the investors achieve by constructing portfolio out of stocks in the ethical funds as compared to the stocks of Nifty Midcap Index, thereby concluding that the investment in stocks contained in ethical funds provides significantly higher return than investments in Nifty Midcap Index
Volatility spillover among major equity markets has long fascinated academicians and researchers ... more Volatility spillover among major equity markets has long fascinated academicians and researchers alike. This paper presents an elaborate survey and analysis of the literature on the subject. Review of extant studies on various basis such as markets studied, methodology employed, among others has important implications for various stakeholders. We report that there has been wide variation in results because different studies have examined different markets using wide range of financial econometric methodologies. Some have considered only volatility or both volatility and spillover. Still others have incorporated the impact of global financial crisis on volatility spillover. Future researchers should examine if there is any volatility spillovers between various sectors of an economy, between different financial markets of the same economy, amongst same sectors of different markets, probe whether size effect is relevant, identify the transmission channels of volatility spillover, enumerate reasons behind volatility spillover, examine asymmetric volatility responses among stock markets and can use more advanced econometric techniques.
Financial Literacy means knowledge of basic economic and financial concepts, as well as the abili... more Financial Literacy means knowledge of basic economic and financial concepts, as well as the ability to use that knowledge and other financial skills to manage financial resources effectively for a lifetime of financial comfort. In this paper, an attempt is made to examine the burning issue of “financial literacy among investors,” from multiple perspectives. Accordingly the existing literature on the subject has been reviewed and critically analyzed on various bases i.e., definitions developed, importance elucidated, determinants identified, demographics studied, impact of financial education and various geographical locations covered. To conclude, it can be said that the eminent area of financial literacy holds many unexplored dimensions which researchers can take up in future.
Relationship between stock market performance and macroeconomic variables has intrigued and is of... more Relationship between stock market performance and macroeconomic variables has intrigued and is of pertinent importance to policy makers, regulators, academicians, researchers and investment community. This paper presents a comprehensive theoretical framework underpinning this relationship and also provides an extensive critical analysis of existing literature on the subject. Theory suggests that stock market performance has positive relationship with GDP, Money Supply, Industrial Production, Foreign Exchange Reserves, Balance of Trade, Net FPI and FDI Inflows. It is negatively related with Inflation, Interest Rate, Gold Price and Oil Prices. Relationship of stock market with exchange rate and fiscal deficit is not clear. Critical examination of literature on various bases suggests that while this relationship is clearly established for developed markets, there is no unanimity for this relationship regarding emerging markets. Also, while some prominent macroeconomic variables which affect stock market performance can be identified, an exhaustive list of macroeconomic variables cannot be drawn. There has been a shift in econometric methods applied from basic tools to more advanced second generation financial econometric techniques Future researchers should focus on examining this relationship for emerging markets, consider a comprehensive set of macroeconomic and stock market performance variables, take a fairly long study period, apply modern financial econometric techniques, explore this relation at sectoral level and incorporate impact of recent global financial crisis in their study.
In a one of its kind study on the subject, weak form efficient market hypothesis (EMH) and Samuel... more In a one of its kind study on the subject, weak form efficient market hypothesis (EMH) and Samuelson’s dictum has been analyzed for seven major developed (Australia, Canada, France, Germany, Japan, UK and USA) and developing markets (Argentina, Brazil, China, India, Mexico, Russia and South Africa) by means of panel and individual time series. Our study period ranged from April 2003 to December 2014 which was further subdivided into a Pre-crisis period (April 2003 to July 2007) and a Post crisis period (August 2007 to December 2014). The analysis was carried out using Unit root tests (ADF, PP and KPSS); Lo-MacKinlay and Wright’s (2000) Variance ratio tests based on Ranks and Sign. Various Unit Root Tests (Im, Pesaran & Shin; Levin, Lin & Chu; PP-Fisher and ADF-Fisher) were also applied on panel data. The results reveal that all markets under study individually exhibited weak form efficiency across the total, pre-crisis and post-crisis periods. No major impact of global financial crisis was found on efficiency of these stock markets individually. Similar results were obtained from panel data analysis, with the exception that panel of all countries and developing countries showed inefficiency for the total study period. These findings have significant implications for policy makers, regulators, investors, academicians and researchers. Market reforms of policy makers and market regulators have resulted in these markets remaining efficient even while withstanding the tsunami of global financial crisis. Investors, mutual fund and portfolio managers have a lesson to learn that developed and even developing markets have matured as a massive global financial crisis also could not provide them any major exploitable arbitrage opportunities which they could use to consistently beat the market. Inefficiency of panel of all countries and developing countries in the total period proves that Samuelson’s Dictum of macro-inefficiency in presence of microefficiency largely holds true in present context.
Financial Literacy means knowledge of basic economic and financial concepts, as well as the abili... more Financial Literacy means knowledge of basic economic and financial concepts, as well as the ability to use that knowledge and other financial skills to manage financial resources effectively for a lifetime of financial comfort. In this paper, an attempt is made to examine the burning issue of “financial literacy among investors,” from multiple perspectives. Accordingly the existing literature on the subject has been reviewed and critically analyzed on various bases i.e., definitions developed, importance elucidated, determinants identified, demographics studied, impact of financial education and various geographical locations covered. To conclude, it can be said that the eminent area of financial literacy holds many unexplored dimensions which researchers can take up in future.
Volatility spillover among major equity markets has long fascinated academicians and researchers ... more Volatility spillover among major equity markets has long fascinated academicians and researchers alike. This paper presents an elaborate survey and analysis of the literature on the subject. Review of extant studies on various basis such as markets studied, methodology employed, among others has important implications for various stakeholders. We report that there has been wide variation in results because different studies have examined different markets using wide range of financial econometric methodologies. Some have considered only volatility or both volatility and spillover. Still others have incorporated the impact of global financial crisis on volatility spillover. Future researchers should examine if there is any volatility spillovers between various sectors of an economy, between different financial markets of the same economy, amongst same sectors of different markets, probe whether size effect is relevant, identify the transmission channels of volatility spillover, enume...
Relationship between stock market performance and macroeconomic variables has intrigued and is of... more Relationship between stock market performance and macroeconomic variables has intrigued and is of pertinent importance to policy makers, regulators, academicians, researchers and investment community. This paper presents a comprehensive theoretical framework underpinning this relationship and also provides an extensive critical analysis of existing literature on the subject. Theory suggests that stock market performance has positive relationship with GDP, Money Supply, Industrial Production, Foreign Exchange Reserves, Balance of Trade, Net FPI and FDI Inflows. It is negatively related with Inflation, Interest Rate, Gold Price and Oil Prices. Relationship of stock market with exchange rate and fiscal deficit is not clear. Critical examination of literature on various bases suggests that while this relationship is clearly established for developed markets, there is no unanimity for this relationship regarding emerging markets. Also, while some prominent macroeconomic variables which a...
International Journal of Business and Globalisation, 2021
The present study examines the applicability of five-factor model of Fama-French (2015). This mod... more The present study examines the applicability of five-factor model of Fama-French (2015). This model considers five factors namely market, size, value, profitability and investment in explaining the cross-sectional variations, i.e., variations across different stock or portfolios in the equity returns in Indian stock markets using the monthly closing price data of a sample of 486 companies which are a part of CNX 500 index over the period from July 2000 to June 2015. The paper investigates whether including any or all of the additional four factors can better explain the cross-sectional variations than the single factor capital assets pricing model. The investment strategies based on size, value and profitability provided abnormal returns over the study period. By making use of the Davis et al. (2000) methodology, we find that Fama-French five-factor model based on market premium, size premium, value premium, profitability premium and investment premium explains the variations in the equity returns better than single factor capital assets pricing model but it does not increase the adjusted R2 significantly. The results have implications for asset pricing, market efficiency and investment strategies in the Indian stock market.
Investment Strategy - Redefined with the emergence of Ethical funds, Jul 1, 2017
Various dynamic patterns have been identified in context of the investment strategies followed by... more Various dynamic patterns have been identified in context of the investment strategies followed by retail investors. The current study attempts to bring the attention of the investors towards the importance of the application of the concept of ESG (environmental, social and governance) norms while deciding about investment opportunities available in the stock markets. The data for the study includes the returns of the stocks in the Tata Ethical Fund and Nifty Midcap Index for a period of three years from January, 2016 to January 2019. Various statistical tests like the t-test, KS test, Ftest and Levene’s test have been employed in the study. The study highlights the benefit that the investors achieve by constructing portfolio out of stocks in the ethical funds as compared to the stocks of Nifty Midcap Index, thereby concluding that the investment in stocks contained in ethical funds provides significantly higher return than investments in Nifty Midcap Index
Volatility spillover among major equity markets has long fascinated academicians and researchers ... more Volatility spillover among major equity markets has long fascinated academicians and researchers alike. This paper presents an elaborate survey and analysis of the literature on the subject. Review of extant studies on various basis such as markets studied, methodology employed, among others has important implications for various stakeholders. We report that there has been wide variation in results because different studies have examined different markets using wide range of financial econometric methodologies. Some have considered only volatility or both volatility and spillover. Still others have incorporated the impact of global financial crisis on volatility spillover. Future researchers should examine if there is any volatility spillovers between various sectors of an economy, between different financial markets of the same economy, amongst same sectors of different markets, probe whether size effect is relevant, identify the transmission channels of volatility spillover, enumerate reasons behind volatility spillover, examine asymmetric volatility responses among stock markets and can use more advanced econometric techniques.
Financial Literacy means knowledge of basic economic and financial concepts, as well as the abili... more Financial Literacy means knowledge of basic economic and financial concepts, as well as the ability to use that knowledge and other financial skills to manage financial resources effectively for a lifetime of financial comfort. In this paper, an attempt is made to examine the burning issue of “financial literacy among investors,” from multiple perspectives. Accordingly the existing literature on the subject has been reviewed and critically analyzed on various bases i.e., definitions developed, importance elucidated, determinants identified, demographics studied, impact of financial education and various geographical locations covered. To conclude, it can be said that the eminent area of financial literacy holds many unexplored dimensions which researchers can take up in future.
Relationship between stock market performance and macroeconomic variables has intrigued and is of... more Relationship between stock market performance and macroeconomic variables has intrigued and is of pertinent importance to policy makers, regulators, academicians, researchers and investment community. This paper presents a comprehensive theoretical framework underpinning this relationship and also provides an extensive critical analysis of existing literature on the subject. Theory suggests that stock market performance has positive relationship with GDP, Money Supply, Industrial Production, Foreign Exchange Reserves, Balance of Trade, Net FPI and FDI Inflows. It is negatively related with Inflation, Interest Rate, Gold Price and Oil Prices. Relationship of stock market with exchange rate and fiscal deficit is not clear. Critical examination of literature on various bases suggests that while this relationship is clearly established for developed markets, there is no unanimity for this relationship regarding emerging markets. Also, while some prominent macroeconomic variables which affect stock market performance can be identified, an exhaustive list of macroeconomic variables cannot be drawn. There has been a shift in econometric methods applied from basic tools to more advanced second generation financial econometric techniques Future researchers should focus on examining this relationship for emerging markets, consider a comprehensive set of macroeconomic and stock market performance variables, take a fairly long study period, apply modern financial econometric techniques, explore this relation at sectoral level and incorporate impact of recent global financial crisis in their study.
In a one of its kind study on the subject, weak form efficient market hypothesis (EMH) and Samuel... more In a one of its kind study on the subject, weak form efficient market hypothesis (EMH) and Samuelson’s dictum has been analyzed for seven major developed (Australia, Canada, France, Germany, Japan, UK and USA) and developing markets (Argentina, Brazil, China, India, Mexico, Russia and South Africa) by means of panel and individual time series. Our study period ranged from April 2003 to December 2014 which was further subdivided into a Pre-crisis period (April 2003 to July 2007) and a Post crisis period (August 2007 to December 2014). The analysis was carried out using Unit root tests (ADF, PP and KPSS); Lo-MacKinlay and Wright’s (2000) Variance ratio tests based on Ranks and Sign. Various Unit Root Tests (Im, Pesaran & Shin; Levin, Lin & Chu; PP-Fisher and ADF-Fisher) were also applied on panel data. The results reveal that all markets under study individually exhibited weak form efficiency across the total, pre-crisis and post-crisis periods. No major impact of global financial crisis was found on efficiency of these stock markets individually. Similar results were obtained from panel data analysis, with the exception that panel of all countries and developing countries showed inefficiency for the total study period. These findings have significant implications for policy makers, regulators, investors, academicians and researchers. Market reforms of policy makers and market regulators have resulted in these markets remaining efficient even while withstanding the tsunami of global financial crisis. Investors, mutual fund and portfolio managers have a lesson to learn that developed and even developing markets have matured as a massive global financial crisis also could not provide them any major exploitable arbitrage opportunities which they could use to consistently beat the market. Inefficiency of panel of all countries and developing countries in the total period proves that Samuelson’s Dictum of macro-inefficiency in presence of microefficiency largely holds true in present context.
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Papers by Pardeep Singh
Theory suggests that stock market performance has positive relationship with GDP, Money Supply, Industrial Production, Foreign Exchange Reserves, Balance of Trade, Net FPI and FDI Inflows. It is negatively related with Inflation, Interest Rate, Gold Price and Oil Prices. Relationship of stock market with exchange rate and fiscal deficit is not clear.
Critical examination of literature on various bases suggests that while this relationship is clearly established for developed markets, there is no unanimity for this relationship regarding emerging markets. Also, while some prominent macroeconomic variables which affect stock market performance can be identified, an exhaustive list of macroeconomic variables cannot be drawn. There has been a shift in econometric methods applied from basic tools to more advanced second generation financial econometric techniques
Future researchers should focus on examining this relationship for emerging markets, consider a comprehensive set of macroeconomic and stock market performance variables, take a fairly long study period, apply modern financial econometric techniques, explore this relation at sectoral level and incorporate impact of recent global financial crisis in their study.
Theory suggests that stock market performance has positive relationship with GDP, Money Supply, Industrial Production, Foreign Exchange Reserves, Balance of Trade, Net FPI and FDI Inflows. It is negatively related with Inflation, Interest Rate, Gold Price and Oil Prices. Relationship of stock market with exchange rate and fiscal deficit is not clear.
Critical examination of literature on various bases suggests that while this relationship is clearly established for developed markets, there is no unanimity for this relationship regarding emerging markets. Also, while some prominent macroeconomic variables which affect stock market performance can be identified, an exhaustive list of macroeconomic variables cannot be drawn. There has been a shift in econometric methods applied from basic tools to more advanced second generation financial econometric techniques
Future researchers should focus on examining this relationship for emerging markets, consider a comprehensive set of macroeconomic and stock market performance variables, take a fairly long study period, apply modern financial econometric techniques, explore this relation at sectoral level and incorporate impact of recent global financial crisis in their study.