Debasish Maitra

Bio: Debasish Maitra is an academic researcher from Indian Institute of Management Indore. The author has contributed to research in topics: Stock market & Portfolio. The author has an hindex of 10, co-authored 30 publications receiving 262 citations. Previous affiliations of Debasish Maitra include Institute of Management Technology, Ghaziabad & Institute of Rural Management Anand.

Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets

Abstract: •This study examines dynamic spillovers and connectedness between stocks, commodities, bonds, and VIX markets.•Results suggest that emerging equity markets are net receiver of shocks.•Commodity markets provide poor heading opportunity in the short-run.•Portfolio strategy using shock-receiver and shock-transmitter information generates better hedging effectiveness.

Market Liquidity: Asset Pricing with Liquidity Risk

Abstract: This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidityadjusted capital asset pricing model, a security s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security s liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity. r 2005 Elsevier B.V. All rights reserved.

Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?; Parenting Styles and Financial Security: How are children impacted?

Abstract: Recently developed structural models of the global crude oil market imply that the surge in the real price of oil between mid-2003 and mid-2008 was driven by repeated positive shocks to the demand for all industrial commodities, reflecting unexpectedly high growth mainly in emerging Asia. This note evaluates this proposition using an alternative data source and a different econometric methodology. Rather than inferring demand shocks from an econometric model, we utilize a direct measure of global demand shocks based on revisions of professional real GDP growth forecasts. We show that recent forecast surprises were associated primarily with unexpected growth in emerging economies (and to a lesser extent in Japan), that markets were repeatedly surprised by the strength of this growth, that these surprises were associated with a hump-shaped response of the real price of oil that reaches its peak after 12 to 16 months, and that news about global growth predict much of the surge in the real price of oil from mid-2003 until mid-2008 and much of its subsequent decline.

Gold investment as an inflationary hedge: Cointegration evidence with allowance for endogenous structural breaks

Abstract: This note tests for the presence of a stable long-run relationship between the price of gold and inflation in the United States from 1945 to 2006 and from 1973 to 2006. Since both the gold market and the inflationary regime have been subjected to structural change over time, a novel unit root testing procedure is employed which allows for the timing of significant breaks to be estimated, rather than assumed exogenous. After taking these breaks into account, a modified cointegration approach provides strong evidence of a cointegrating relationship between gold and inflation in the post-war period and since the early 1970s. The results lend support to the widely held view that direct and indirect gold investment can serve as an effective inflationary hedge.