Ravinder Kumar Arora

Bio: Ravinder Kumar Arora is an academic researcher from International Management Institute, New Delhi. The author has contributed to research in topics: Emerging markets & Initial public offering. The author has an hindex of 7, co-authored 14 publications receiving 109 citations.

Stock Returns and Volatility: Evidence from Select Emerging Markets

Abstract: This paper investigates the behavior of stock returns and volatility in 10 emerging markets and compares them with those of developed markets under different measures of frequency (daily, weekly, monthly and annual) over the period January 1, 2002 to December 31, 2006. The ratios of mean return to volatility for emerging markets are found to be higher than those of developed markets. Sample statistics for stock returns of all emerging and developed markets indicate that return distributions are not normal and return volatility shows clustering. In most cases, GARCH (1, 1) specification is adequate to describe the stock return volatility. The significant lag terms in the mean equation of GARCH specification depend on the frequency of the return data. The presence of leverage effect in volatility behavior is examined using the TAR-GARCH model and the evidence indicates that is not present across all markets under all measures of frequency. Its presence in different markets depends on the measure of frequency of stock return data.

The Relation between Investment of Domestic and Foreign Institutional Investors and Stock Returns in India

Abstract: This study investigates the trading behaviour of foreign institutional investors (FIIs) and domestic institutional investors (DIIs) in the Indian stock market and also the relation between stock returns and equity flows by FIIs and DIIs. The study uses a wider definition of DIIs that includes not only mutual funds (MFs) but also banks, domestic financial institutions and insurance companies. The results show that the trading pattern followed by FIIs and DIIs is opposite of each other. While FIIs act as positive feedback traders, DIIs act as contrarian investors and negative feedback traders. High lagged stock returns result in increased FII investment. The DIIs, on the other hand, appear to book profits when the market moves up and buy when it moves down. Contrary to findings of earlier studies that MF investment has no effect on future stock returns, the study finds that DII investment has a significant positive relation with future stock returns. The study also finds weak evidence of a negative relation...

Impact of Quality Certification on IPO Underpricing: Evidence from India:

Abstract: The study examines the impact of quality certification of initial public offerings (IPOs) arising out of lead manager’s reputation, grading by credit rating agencies, presence of anchor investors a...

Initial and After-market Performance of SME IPOs in India:

Abstract: This article examines the initial and after-market performance of the initial public offerings (IPOs) listed on the recently launched platform for small and medium enterprises (SMEs) by the Bombay ...

Determinants of Long-run Performance of Initial Public Offerings: Evidence from India:

Abstract: The article examines the long-run performance of 377 initial public offerings (IPOs) made by Indian companies during the period 2005–2015. The objectives of the article are to analyze whether India...

ICT, Financial Development, Economic Growth and Electricity Consumption: New Evidence from Malaysia:

Abstract: This article investigates the impact of information and communication technology (ICT), financial development and economic growth on electricity consumption for Malaysian economy, utilizing quarter...

Alternative statistical distributions for estimating value-at-risk: theory and evidence

Abstract: A number of applications presume that asset returns are normally distributed, even though they are widely known to be skewed leptokurtic and fat-tailed and excess kurtosis. This leads to the underestimation or overestimation of the true value-at-risk (VaR). This study utilizes a composite trapezoid rule, a numerical integral method, for estimating quantiles on the skewed generalized t distribution (SGT) which permits returns innovation to flexibly treat skewness, leptokurtosis and fat tails. Daily spot prices of the thirteen stock indices in North America, Europe and Asia provide data for examining the one-day-ahead VaR forecasting performance of the GARCH model with normal, student’s t and SGT distributions. Empirical results indicate that the SGT provides a good fit to the empirical distribution of the log-returns followed by student’s t and normal distributions. Moreover, for all confidence levels, all models tend to underestimate real market risk. Furthermore, the GARCH-based model, with SGT distributional setting, generates the most conservative VaR forecasts followed by student’s t and normal distributions for a long position. Consequently, it appears reasonable to conclude that, from the viewpoint of accuracy, the influence of both skewness and fat-tails effects (SGT) is more important than only the effect of fat-tails (student’s t) on VaR estimates in stock markets for a long position.

Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis

Abstract: We examine daily cross-market return interactions and downside risk between a US REIT returns index and the return indexes of twelve international REIT markets. These relationships are investigated for a period of normal REIT market conditions as well as for periods of inflating and collapsing REIT prices. We find that US REIT returns are contemporaneously correlated with other REITs most strongly during the bubble and crash market conditions where the US REIT market is an almost unilateral transmitter of returns. We also find that the Value at Risk (VaR) of the least capitalized REIT markets is proportionally higher during base/normal market conditions but that the largest REIT markets have the highest VaR contribution during the crash (financial crisis) period. Overall, our evidence indicates that REIT market risk shifted to the largest REIT markets and that diversification benefits eroded considerably during turbulent market conditions.

Convergence of gdp per capita in asean countries

Abstract: Economists have long debated whether different countries and regions within countries are converging over time in terms of per capita income. In the last decade the convergence debate captured the attention of macroeconomic theories and econometricians. The increasing diversity of average growth rates and income levels across countries has generated a large literature on testing the income convergence hypothesis. Most countries in South-East Asia, have experienced substantial economic growth, with the pace of growth having varied substantially across countries. In this paper, test of convergence was applied to determine if there is a convergence club for ASEAN-9 countries and whether, the catching up hypothesis which stated that the lagging country, with low initial income and productivity levels, will tend to grow more rapidly by copying the technology of the leader country, without having to bear the associated costs of research and development. The finding of ‚ and U convergence in the study suggests that ASEAN countries are converging towards common GDP per capita steadily but slowly. However, while convergence has occurred, the speed at which the initially poor countries are catching up with the initially rich countries is slow.