Causal relation and dynamic volatility spillover between commodity market and stock market: empirical evidence from India
Ruchika Kaura; Nawal Kishor; Namita Rajput
Afro-Asian J. of Finance and Accounting, Vol. 12, No. 2 (2022) pp. 232 - 253
The study aims to investigate the causal relationship and dynamic volatility spillover across commodity market and stock market in India. The study is based on Nifty index of NSE and commodity market indices of MCX. The findings highlight the existence of strong linkages between commodity market indices and stock market index, Nifty. Results of VAR model indicate that causal relationship is present from commodity market indices towards Nifty. The results of DCC-GARCH model show that dynamic volatility spillover between the conditional variances of all commodity market indices and Nifty is significant implying that any disturbance in one market leads the other market to become more volatile. The findings of this study can be useful for portfolio managers, policy makers and regulators to devise substitution and risk management strategies and to understand the macroeconomic implications of one market shocks on the other market.
Tag: stock market
Value relevance of reported financials of NSE listed companies
Value relevance of reported financials of NSE listed companies
Mwila J. Mulenga; Meena Bhatia
Afro-Asian J. of Finance and Accounting, Vol. 10, No. 3 (2020) pp. 295 - 319
The purpose of this paper is to examine value relevance of accounting information in Indian stock market. The study focuses exclusively on the listed firms under Nifty 100 from 2001 to 2015, and uses price and returns models. The findings under both models suggest that accounting information has the significant ability in influencing stock prices and stock returns during the entire period covered by this study. Further analysis shows that book value per share is more relevant for loss-making firms while earnings per share are more relevant for profit-making firms. Based on industry classification, the value relevance of accounting information reported is high in metal industry, infrastructure, energy, financial services, automobiles and services industry and low in consumption and pharma industry. Study concludes that accounting information is relevant for investment decisions and investors must focus on this information to make informed investment decisions.
Technical analysis and National Stock Exchange of India: testing the RSI rule using CNX Nifty index
Technical analysis and National Stock Exchange of India: testing the RSI rule using CNX Nifty index
Esha Jain
Afro-Asian J. of Finance and Accounting, Vol. 9, No. 4 (2019) pp. 406 - 419
Technical analysis is just a strategy for seeing if it worth purchasing or offering a stock. This review can be made on the premise of information that is produced through the activities of the general population in the market. Technical analysis attempts to quantify the aggregate mind of the speculators which is led by covetousness and dread. The essential starting point under which specialised investigation works is the investigation of interest and supply, past costs and volume in the market and the heading of the value incline thereof later on. This study is significant for investors and traders as it leads to identify the level of price movement that further helps in understanding buying and selling situations in the market by identifying support and resistance levels. The results of the study show that the RSI test is reliable for any investor while trading in stock market.