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Papers by Animesh Bhattacharjee
The Review of Finance and Banking
The present study examines the long-run and short-run e§ects of monetary fac- tors (money supply,... more The present study examines the long-run and short-run e§ects of monetary fac- tors (money supply, interest rate, ináation, and foreign currency exchange rate) on the Indian stock market. The study uses sophisticated econometric tools to analyse monthly observations from January 1993 to December 2019. The Augmented Dickey Fuller (ADF) test indicates that the variables involved in the present study are either I(0) or I(1). The Bai-Perron multiple break point test identiÖes four breakpoint dates in the Indian stock market index series. The breakpoint dates are incorporated as di§erent dummy variables in the ARDL-ECM regression. The F-bounds test reveals that the variables in the study are cointegrated within the time period under consideration. Our Öndings show that the interest rate, which is a proxy for monetary policy instrument, and the foreign currency exchange rate have a negative impact on the Indian stock market both in the long-run and short-run. Furthermore, we Önd that struc...
Zenodo (CERN European Organization for Nuclear Research), Feb 3, 2023
The weak-form efficiency of the Indian stock market: Fresh Evidence Numerous types of research ha... more The weak-form efficiency of the Indian stock market: Fresh Evidence Numerous types of research have been done ever since the efficient market hypothesis notion was created to support or, in some cases, refute the theory. It is practically hard to predict future prices and turn a profit from them when it is clear that prices do, move randomly or drunkenly. On the other hand, if the outcome is the opposite of what was said above, there is a potential to profit simply by looking at a security price's historical behaviour. Because of this, economists and the general investing community are particularly interested in this topic. 901 T he primary goal of the present research initiative is to determine if the Indian stock market follows a random walk or not. The data on eight nifty sectoral indices' daily opening, closing, high and low values are taken from a website. The Augmented Dickey-Fuller test and the Phillips-Perron test is used to assessing the stationarity of the selected eight sectoral indices. The Variance ratio test is used to check for auto-correlation between the returns and the Runs test is performed to examine if the stock market followed a random walk or not. The unit root tests show that the returns from the eight selected sectoral indices are integrated into order 1. According to the variance ratio test future stock prices can be forecasted by prior stock prices in the Indian stock market. The Runs test results indicate the returns are not random throughout the studied time frame.
Social Science Research Network, Jun 1, 2020
International Journal of Information
Abstract: A sectoral mutual fund aims to generate the excess returns focusing on specific themes ... more Abstract: A sectoral mutual fund aims to generate the excess returns focusing on specific themes or industry sectors. This kind of mutual funds come in the high risk and high reward category due to the concentration of their portfolio in a particular sector or industry. In this ...
AARN: Environmentalism (Sub-Topic), 2019
In the absence of mandatory reporting requirements in India, few corporate bodies make environmen... more In the absence of mandatory reporting requirements in India, few corporate bodies make environmental disclosure purely on a voluntary basis in the form of sustainability reporting. Thus, the purpose of the present paper is to assess whether Bharat Heavy Electricals Limited furnishes environmental information in accordance with the Global Reporting Initiative (GRI) guidelines and also to measure the performance of the company on the basis of the selected environmental performance indicators. The data for the present study has been collected from the Sustainability Report of the company and covers a time span of five years starting from 2012-13. The key findings of the study indicate that the company provides adequate information on selected environmental performance indicators in accordance with the GRI guidelines and also reported that the company has been able to reduce the consumption of resources like coal and diesel on a year-to-year basis. It is recommended that the company sho...
International Journal of Financial Management, 2020
The study measures the performance of mutual fund (MF) schemes in India with special reference to... more The study measures the performance of mutual fund (MF) schemes in India with special reference to sector-specific schemes. For the purpose, 21 open-ended equity schemes are considered and analysed by employing Sharpe ratio, Treynor ratio, Jensen alpha, M-squared measure, R-squared measure, and Information ratio. Among the measures selected, the Treynor ratio, Sharpe ratio, Jensen alpha, and M-squared measure are applied as absolute measures and these measures do not compare the returns of the schemes with the returns of their benchmarks. Correlation analysis has also been applied to the ranks assigned by the measures. The study found that majority of the schemes are efficiently and consistently providing more returns than their respective benchmarks. Also, the study found the ranks assigned by absolute measures to be highly associated with each other and the paired correlation between absolute measures and the information ratio is found to be insignificant. The article will help the...
Econometric Modeling: International Economics eJournal, 2020
The aim of the study is to provide an analytical analysis of co-integration between Indian and U.... more The aim of the study is to provide an analytical analysis of co-integration between Indian and U.S stock market. The study used monthly average data from the stock indices namely, NSE Nifty (NSE) and NASDAQ Composite (NASDAQ), for the period from January 2010 to December 2018. A number of statistical methods were employed including unit root test, Johansen co-integration test and Granger Causality test. The results concluded that NSE Nifty and NASDAQ are not co-integrated, which indicates that a long run equilibrium relationship do not exists between the indices. The Granger causality test showed a unidirectional causality exists between the indices and the causality runs from NASDAQ to NSE. Thus, indicating that NASDAQ have the ability to influence NSE.
Jindal Journal of Business Research
The present study investigates the effect of changes in money supply on both Indian stock market ... more The present study investigates the effect of changes in money supply on both Indian stock market sensitive index and stock market overall capitalization by employing unit root test with break point, Johansen’s cointegration test, vector error correction (VEC) model, VEC Granger causality test, variance decomposition, and impulse response function. The result of the unit root test reveals that all the variables are nonstationary in levels but become stationary at the first-order difference. The unit root test further reveals that there are structural breaks in the mid-1990s or 2000s. The Johansen’s cointegration test reveals that the Indian stock market index and stock market capitalization are individually cointegrated with money supply. Further, the long-run co-movement between the Indian stock market and money supply and stock market capitalization and money supply is found to be positive. The results of the VEC model shows that the error correction term in the lnSENSEX–lnMS model...
Paradigm
Understanding the effect of domestic macroeconomic forces on equity market is essential since mac... more Understanding the effect of domestic macroeconomic forces on equity market is essential since macroeconomic forces have a systematic effect on the equity market returns. The present study uses monthly observations from India for the period from January 2012 to December 2019 to investigate the long-run and short-run relationship between the domestic macroeconomic forces and equity market. The study employed the autoregressive distributed lag (ARDL) bounds testing approach and pair-wise granger causality test to attain the objective. The long-run empirical results indicated that the Indian equity market and the domestic macroeconomic forces are cointegrated. The long-run coefficients of foreign exchange rate and money supply are found to be significant. The short-run coefficients suggest that money supply, inflation and foreign exchange rate significantly influence the Indian equity market. The study also observed the presence of feedback mechanism between foreign exchange rate and In...
Jindal Journal of Business Research
The present article applies event study methodology in an attempt to investigate the impact of th... more The present article applies event study methodology in an attempt to investigate the impact of the announcement of 3-month moratorium by Reserve Bank of India on Indian public sector bank equity returns. For the present study, the estimation period is considered to be 120 trading days while the event window is considered to be 21 trading days. To compute the expected returns, the study uses a single-index model or the market model proposed by Fama [Fama, E., 1976. Foundations of finance. Basic Books]. The findings of the study suggest that the market responded to the news relating to the liquidity infusion by the Reserve Bank of India, falling global indices, development of potential coronavirus vaccine, and the announcement of 3 weeks period lockdown. The study further concluded that the market anticipated that the government may announce loan moratorium since industry bodies like The Associated Chambers of Commerce and Industry of India and The Federation of Indian Chambers of Com...
Journal of Commerce & Accounting Research, 2020
In the absence of mandatory reporting requirements in India, few corporate bodies make environmen... more In the absence of mandatory reporting requirements in India, few corporate bodies make environmental disclosure purely on voluntary basis in the form of sustainability reporting. Thus, the purpose of the present paper is to assess whether Bharat Heavy Electricals Limited furnishes environmental information in accordance with the Global Reporting Initiative (GRI) guidelines and also to measure the performance of the company on the basis of the selected environmental performance indicators. The data for the present study has been collected from the Sustainability Report of the company and covers a time span of five years starting from 2012-13. The key findings of the study indicate that the company provides adequate information on selected environmental performance indicators in accordance to the GRI guidelines and also reported that the company has been able to reduce the consumption of resources like coal and diesel on year-to-year basis. It is recommended that the company should make disclosure on materials and natural resources used by manufacturing units in terms of volume and weight.
The Review of Finance and Banking
The present study examines the long-run and short-run e§ects of monetary fac- tors (money supply,... more The present study examines the long-run and short-run e§ects of monetary fac- tors (money supply, interest rate, ináation, and foreign currency exchange rate) on the Indian stock market. The study uses sophisticated econometric tools to analyse monthly observations from January 1993 to December 2019. The Augmented Dickey Fuller (ADF) test indicates that the variables involved in the present study are either I(0) or I(1). The Bai-Perron multiple break point test identiÖes four breakpoint dates in the Indian stock market index series. The breakpoint dates are incorporated as di§erent dummy variables in the ARDL-ECM regression. The F-bounds test reveals that the variables in the study are cointegrated within the time period under consideration. Our Öndings show that the interest rate, which is a proxy for monetary policy instrument, and the foreign currency exchange rate have a negative impact on the Indian stock market both in the long-run and short-run. Furthermore, we Önd that struc...
Zenodo (CERN European Organization for Nuclear Research), Feb 3, 2023
The weak-form efficiency of the Indian stock market: Fresh Evidence Numerous types of research ha... more The weak-form efficiency of the Indian stock market: Fresh Evidence Numerous types of research have been done ever since the efficient market hypothesis notion was created to support or, in some cases, refute the theory. It is practically hard to predict future prices and turn a profit from them when it is clear that prices do, move randomly or drunkenly. On the other hand, if the outcome is the opposite of what was said above, there is a potential to profit simply by looking at a security price's historical behaviour. Because of this, economists and the general investing community are particularly interested in this topic. 901 T he primary goal of the present research initiative is to determine if the Indian stock market follows a random walk or not. The data on eight nifty sectoral indices' daily opening, closing, high and low values are taken from a website. The Augmented Dickey-Fuller test and the Phillips-Perron test is used to assessing the stationarity of the selected eight sectoral indices. The Variance ratio test is used to check for auto-correlation between the returns and the Runs test is performed to examine if the stock market followed a random walk or not. The unit root tests show that the returns from the eight selected sectoral indices are integrated into order 1. According to the variance ratio test future stock prices can be forecasted by prior stock prices in the Indian stock market. The Runs test results indicate the returns are not random throughout the studied time frame.
Social Science Research Network, Jun 1, 2020
International Journal of Information
Abstract: A sectoral mutual fund aims to generate the excess returns focusing on specific themes ... more Abstract: A sectoral mutual fund aims to generate the excess returns focusing on specific themes or industry sectors. This kind of mutual funds come in the high risk and high reward category due to the concentration of their portfolio in a particular sector or industry. In this ...
AARN: Environmentalism (Sub-Topic), 2019
In the absence of mandatory reporting requirements in India, few corporate bodies make environmen... more In the absence of mandatory reporting requirements in India, few corporate bodies make environmental disclosure purely on a voluntary basis in the form of sustainability reporting. Thus, the purpose of the present paper is to assess whether Bharat Heavy Electricals Limited furnishes environmental information in accordance with the Global Reporting Initiative (GRI) guidelines and also to measure the performance of the company on the basis of the selected environmental performance indicators. The data for the present study has been collected from the Sustainability Report of the company and covers a time span of five years starting from 2012-13. The key findings of the study indicate that the company provides adequate information on selected environmental performance indicators in accordance with the GRI guidelines and also reported that the company has been able to reduce the consumption of resources like coal and diesel on a year-to-year basis. It is recommended that the company sho...
International Journal of Financial Management, 2020
The study measures the performance of mutual fund (MF) schemes in India with special reference to... more The study measures the performance of mutual fund (MF) schemes in India with special reference to sector-specific schemes. For the purpose, 21 open-ended equity schemes are considered and analysed by employing Sharpe ratio, Treynor ratio, Jensen alpha, M-squared measure, R-squared measure, and Information ratio. Among the measures selected, the Treynor ratio, Sharpe ratio, Jensen alpha, and M-squared measure are applied as absolute measures and these measures do not compare the returns of the schemes with the returns of their benchmarks. Correlation analysis has also been applied to the ranks assigned by the measures. The study found that majority of the schemes are efficiently and consistently providing more returns than their respective benchmarks. Also, the study found the ranks assigned by absolute measures to be highly associated with each other and the paired correlation between absolute measures and the information ratio is found to be insignificant. The article will help the...
Econometric Modeling: International Economics eJournal, 2020
The aim of the study is to provide an analytical analysis of co-integration between Indian and U.... more The aim of the study is to provide an analytical analysis of co-integration between Indian and U.S stock market. The study used monthly average data from the stock indices namely, NSE Nifty (NSE) and NASDAQ Composite (NASDAQ), for the period from January 2010 to December 2018. A number of statistical methods were employed including unit root test, Johansen co-integration test and Granger Causality test. The results concluded that NSE Nifty and NASDAQ are not co-integrated, which indicates that a long run equilibrium relationship do not exists between the indices. The Granger causality test showed a unidirectional causality exists between the indices and the causality runs from NASDAQ to NSE. Thus, indicating that NASDAQ have the ability to influence NSE.
Jindal Journal of Business Research
The present study investigates the effect of changes in money supply on both Indian stock market ... more The present study investigates the effect of changes in money supply on both Indian stock market sensitive index and stock market overall capitalization by employing unit root test with break point, Johansen’s cointegration test, vector error correction (VEC) model, VEC Granger causality test, variance decomposition, and impulse response function. The result of the unit root test reveals that all the variables are nonstationary in levels but become stationary at the first-order difference. The unit root test further reveals that there are structural breaks in the mid-1990s or 2000s. The Johansen’s cointegration test reveals that the Indian stock market index and stock market capitalization are individually cointegrated with money supply. Further, the long-run co-movement between the Indian stock market and money supply and stock market capitalization and money supply is found to be positive. The results of the VEC model shows that the error correction term in the lnSENSEX–lnMS model...
Paradigm
Understanding the effect of domestic macroeconomic forces on equity market is essential since mac... more Understanding the effect of domestic macroeconomic forces on equity market is essential since macroeconomic forces have a systematic effect on the equity market returns. The present study uses monthly observations from India for the period from January 2012 to December 2019 to investigate the long-run and short-run relationship between the domestic macroeconomic forces and equity market. The study employed the autoregressive distributed lag (ARDL) bounds testing approach and pair-wise granger causality test to attain the objective. The long-run empirical results indicated that the Indian equity market and the domestic macroeconomic forces are cointegrated. The long-run coefficients of foreign exchange rate and money supply are found to be significant. The short-run coefficients suggest that money supply, inflation and foreign exchange rate significantly influence the Indian equity market. The study also observed the presence of feedback mechanism between foreign exchange rate and In...
Jindal Journal of Business Research
The present article applies event study methodology in an attempt to investigate the impact of th... more The present article applies event study methodology in an attempt to investigate the impact of the announcement of 3-month moratorium by Reserve Bank of India on Indian public sector bank equity returns. For the present study, the estimation period is considered to be 120 trading days while the event window is considered to be 21 trading days. To compute the expected returns, the study uses a single-index model or the market model proposed by Fama [Fama, E., 1976. Foundations of finance. Basic Books]. The findings of the study suggest that the market responded to the news relating to the liquidity infusion by the Reserve Bank of India, falling global indices, development of potential coronavirus vaccine, and the announcement of 3 weeks period lockdown. The study further concluded that the market anticipated that the government may announce loan moratorium since industry bodies like The Associated Chambers of Commerce and Industry of India and The Federation of Indian Chambers of Com...
Journal of Commerce & Accounting Research, 2020
In the absence of mandatory reporting requirements in India, few corporate bodies make environmen... more In the absence of mandatory reporting requirements in India, few corporate bodies make environmental disclosure purely on voluntary basis in the form of sustainability reporting. Thus, the purpose of the present paper is to assess whether Bharat Heavy Electricals Limited furnishes environmental information in accordance with the Global Reporting Initiative (GRI) guidelines and also to measure the performance of the company on the basis of the selected environmental performance indicators. The data for the present study has been collected from the Sustainability Report of the company and covers a time span of five years starting from 2012-13. The key findings of the study indicate that the company provides adequate information on selected environmental performance indicators in accordance to the GRI guidelines and also reported that the company has been able to reduce the consumption of resources like coal and diesel on year-to-year basis. It is recommended that the company should make disclosure on materials and natural resources used by manufacturing units in terms of volume and weight.