Cointegration of 'MIBOR' with rupee-dollar and rupee-yen exchange rates: estimating volatility spill-overs and asymmetry
Upendra Nath Shukla; Neelam Tandon; Deepak Tandon; Hemendra Gupta
Afro-Asian J. of Finance and Accounting, Vol. 12, No. 6 (2022) pp. 691 - 711
Mumbai Interbank Offer Rate (MIBOR) plays a significant role in the Indian interbank market and its role would be more imperative in India as LIBOR is expected to be ceased by 2021. This paper has a purpose to understand the movement and volatility of MIBOR by exploring any cointegration of MIBOR with exchange rates of major currencies like - US dollar, Japanese yen, euro and pound sterling, to derive a model gauging volatility spill-overs and asymmetry of MIBOR. Based on the daily data from 01.01.19 to 21.01.21 VECM and E-Garch model is applied. MIBOR is found to be cointegrated with exchange rates of dollar and yen with error correction being done by the rupee-yen exchange rates. Volatility spill-overs were significant with previous error lag with no asymmetry due to any negative news. Findings have great implications to manage interest rates and liquidity in Indian interbank and money markets.
Tag: volatility
Stock market efficiency: the Pakistan Stock Exchange merger
Stock market efficiency: the Pakistan Stock Exchange merger
Asad Ali; Saqib Sharif
Afro-Asian J. of Finance and Accounting, Vol. 12, No. 4 (2022) pp. 455 - 478
This study examines the valuation, liquidity, volatility, and efficiency before and after the integration of Islamabad Stock Exchange (ISE) and Lahore Stock Exchange (LSE) with Karachi Stock Exchange (KSE) to form the Pakistan Stock Exchange (PSX). The firm level daily data is analysed to determine the effects of regulatory change. Based on regression analyses, results indicate mixed evidence for different market measures following the integration of domestic bourses. However, the post-integration period in Pakistan is fraught with political turmoil and weak economic indicators. Thus, any improvement that is hypothesised following the merger is offset by poor economic and political factors.
An empirical examination of correlation dynamics between commodity and equity derivative indices: evidence from India using DCC-GARCH models
An empirical examination of correlation dynamics between commodity and equity derivative indices: evidence from India using DCC-GARCH models
Perumandla Swamy; Kurisetti Padma
Afro-Asian J. of Finance and Accounting, Vol. 10, No. 2 (2020) pp. 207 - 234
This empirical study investigates the time-varying co-movements and volatility linkages between equity-commodity indices and inter-commodity indices. This paper deploys DCC-GARCH framework. Three versions of GARCH namely standard, threshold and exponential with both symmetric and asymmetric versions of dynamic conditional correlations (DCC) have been used. This study considers equity index Nifty 50, non-agricultural commodity indices MCX Energy and MCX Metal along with agricultural commodity indices Dhaanya and MCX Agri. Our results revealed that the combined portfolio of commodities-equity has low or negative correlations, which provide better diversification property rather than a portfolio without commodities. However, we notice a steep decline in time-varying correlations of equity with non-agricultural commodity portfolio since 2013. The mixed portfolio of the agricultural commodity with non-agricultural commodity can also offer diversifying benefits. We found high volatility shifts in time-varying co-movements of Nifty 50-MCX Agri pair. On the other hand, we observed an increasing trend in the co-movements of Nifty 50-Dhaanya, it indicates the interdependency of these two markets. Non-agricultural commodity pair (MCX Energy-MCX Metal) and agricultural commodity pair (MCX Agri-Dhaanya) fail to offer better-diversifying properties. This study provides an essential insight to policymakers, portfolio managers, domestic and international investors, risk analysts and financial researchers in an emerging market.
Modelling and forecasting volatility for BSE and NSE stock index: linear vs. nonlinear approach
Modelling and forecasting volatility for BSE and NSE stock index: linear vs. nonlinear approach
A. Shanthi; R. Thamilselvan
Afro-Asian J. of Finance and Accounting, Vol. 9, No. 4 (2019) pp. 363 - 380
This article addresses the important issues related to stock market volatility by modelling and forecasting in the Sensitivity Index of Bombay Stock Exchange and Nifty 50 of National Stock Exchange in India by employing linear models and nonlinear models to show the usefulness of the model by attempting the sample forecast from 1 January 1996 to 31 December 2004, 1 January 2006 to 31 December 2014 and 1 January 1996 to 31 December 2014 as an in-sample forecast, by considering pre-period, post-period and full period. Apart from that, the out-of-sample forecast is also attempted in this study to draw a valid conclusion by using forecasting models. Overall, the study suggests that volatility is a part and parcel of the stock market, which is influenced by other key determining factors such as like inflow of foreign capital into the country, exchange rate, balance of payment and interest rate.