Showing papers by "Imlak Shaikh published in 2018"
TL;DR: In this paper, the authors examined the asymmetric inter-temporal relationship between India volatility index (NVIX) and stock market returns (Nifty S&P 50, 100, 200 and 500) in the Indian securities markets.
Abstract: This study examines the asymmetric inter-temporal relationship between India volatility index (NVIX) and stock market returns (Nifty S&P 50, 100, 200 and 500) in the Indian securities markets. The work is based on the daily prices of volatility index and stock indices for the period ranging from 2009–2015. Our results suggest a strong negative correlation between daily change in the NVIX and stock returns. This relation is more prominent when NVIX is higher and more volatile. The results show that there is an asymmetry among India NVIX and the stock returns and the magnitude of asymmetry is not identical. Due to this asymmetry NVIX is more of a gauge of investors’ fear, and portfolio insurance price than investor positive sentiment. The impact of changes in the stock returns on India NVIX is more when there are negative returns as compared to positive returns. These results have potential implications for the portfolio diversification, volatility traders and options trading-timing in the equity markets. DOI: http://dx.doi.org/10.5755/j01.ee.29.1.14966
10 citations
TL;DR: In this article, the authors examined the impact of banking expansion on income growth in India and found that credit disbursement and deposit mobilization have a substantial and positive effect on the Net State Domestic Product.
Abstract: In this article, we examine the impact of banking expansion on income growth in India. The banking expansion indices have been calculated across the region and states/Union Territories, providing the insight that all the regions, excluding the western region, are exhibiting banking expansion indices in the low range. The state-wise analysis indicates that all states exhibit a low-range index, excluding the state of Maharashtra and the UTs of Delhi and Chandigarh. Further, for the examination of the linkage between banking expansion and income growth, a panel data set was prepared for the 23 states/UTs over the period from 1990 to 2015. The panel data regression analysis approach was applied for the estimation of the regression model. It is apparent from the results that the banking expansion has significant and positive effects on credit disbursement. The results indicate that a one crore increase in deposit mobility causes 0.81 crores of increase in credit disbursement. Moreover, credit disbursement and deposit mobilization have a substantial and positive effect on the Net State Domestic Product. Moreover, a 1 percent increase in credit causes a 0.46 percent increase in NSDP, and a 1 percent increase in deposits causes a 0.57 percent increase in NSDP. Further, Net State Domestic Product has a significant and positive effect on the income of individuals. It is evident that a 1 percent increase in NSDP causes a 0.54 percent increase in per capita NSDP, while a 1 percent increase in capital expenditure causes a 0.13 percent increase in per capita NSDP.
4 citations
TL;DR: In this article, the authors argue that such protection mechanisms are indeed very old and have their roots in various religions, but rather than an economic orientation, they were governed by religious faith for collective survival.
Abstract: Archeological evidence shows that many ancient civilizations were engaged in practices resembling insurance to protect individuals from adverse economic loss. The present study argues that such protection mechanisms are indeed very old and have their roots in various religions, but rather than an economic orientation, they were governed by religious faith for collective survival. The concepts of protection, pooling, and temporal diversification of resources are discussed intensively in all religions. By exploring various religious texts, the present study identified four quasi-insurance arrangements, namely religious insurance, political insurance, mutual insurance, and institutional insurance. However, these protection arrangements vary in the degree to which they represent “strict adherence to faith” versus “laws of collective survival.” The argument of the present work is supported using the theory of religious evolution developed by Bellah in 1964.
1 citations
11 Sep 2018
TL;DR: In this paper, the authors investigated most important implied volatility indices of Eurozone, Asia-Pacifi c, Africa, Canada and USA on the event of Brexit election of UK and found that high fear of index about 20-36% has been noticed on the day of Brexit decision.
Abstract: This paper investigates most important implied volatility indices of Eurozone, Asia-Pacifi c, Africa, Canada and USA on the event of Brexit election of UK. Since the international economic events signal new information to market participants, the Brexit event has gauged in the 12 global markets’ volatility indices such as VFTSE, VIX, VDAX, VSMI, VSTOXX, VXJ, VHSI, VKOSPI, NVIX, VASX, VXIC and SAVI. A high fear of index about 20-36% has been noticed on the day of Brexit decision. Abnormal returns and cumulative abnormal returns on volatility index are found to be positive, while majority of global equity markets have reported negative stock returns on this event. To investigate the ‘fear-and-greed’ of investors on this historical event, a window of 11 -day has been considered. The findings suggest that investors’ degree of over-reaction on Brexit decision was very disappointing and fueled concerns on the future investment and portfolio choices. The key volatility indices were on the rise prior to the decision, while the market noticed astray and breached its normal range on the day of Brexit referendum. The findings suggest that market participants have diverted their funds into other safer investment outlets due to Brexit effects.
1 citations
05 Jul 2018
TL;DR: In this paper, the authors examined major implied volatility indices of Eurozone, Asia-Pacific, Africa, Canada and USA on the event of Brexit poll of UK and found that investors' degree of over-reaction on Brexit decision was very disappointing and fueled concerns on the future investment and portfolio choices.
Abstract: The study examines major implied volatility indices of Eurozone, Asia-Pacific, Africa, Canada and USA on the event of Brexit poll of UK. To investigate the fear and greed of investors’ on this historical event, we consider the window of 11-days. The findings suggest that investors’ degree of over-reaction on Brexit decision was very disappointing and fueled concerns on the future investment and portfolio choices. The key volatility indices were on the rise prior to the decision, while the market noticed astray and breached its normal range on the day of Brexit poll results. The results are consistent with the market efficiency, and options trading that contain enough information to explain future stock market volatility. Definitely, the work has practical implications to volatility traders and portfolio managers. This empirical attempt provides a good opportunity for researchers in financial economics to examine global linkages of financial markets, more specifically gives an insight how EU’s financial system and equity markets will perform in future. The Brexit events will change the way of risk management and assets management in the Europe and neighbor countries.