Sandeep Malu - Academia.edu (original) (raw)
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Papers by Sandeep Malu
This research explores the predictive power of the India VIX (volatility index) in emerging marke... more This research explores the predictive power of the India VIX (volatility index) in emerging markets from April 2009 to March 2011. The results of the study show that the models including both the volatility indicator and the option market information have a stronger predictive power. With respect to the trading information from different types of investors in option markets, the trading information from the foreign institutional investors in option markets demonstrates a significantly positive relationship with the stock market volatility. In addition, the results of this paper also reveal that the India VIX GARCH volatility forecasting and stock index options are a strong indicator of future stock market volatility. The GARCH outperforms the historical volatility and the VIX volatility forecast in assessing the activities of Indian capital market.
Asian Journal of Research in Banking and Finance, 2012
The study is the investigates the price discovery and arbitrage efficiency in Indian equity, futu... more The study is the investigates the price discovery and arbitrage efficiency in Indian equity, future and cash market which is one of the liquid market in the world by using the data available at national stock exchange of India website. In this study we found that the stable long-run and strong relationship exists between Indian equity future & cash market. In many findings it has been seen that price discovery in both the market but in Indian equity future market dominates the information transmission process.
Tij S Research Journal of Social Science Management Rjssm, Dec 31, 2013
international journal of research in computer application & management, 2012
This research explores the predictive power of the India VIX (volatility index) in emerging marke... more This research explores the predictive power of the India VIX (volatility index) in emerging markets from April 2009 to March 2011. The results of the study show that the models including both the volatility indicator and the option market information have a stronger predictive power. With respect to the trading information from different types of investors in option markets, the trading information from the foreign institutional investors in option markets demonstrates a significantly positive relationship with the stock market volatility. In addition, the results of this paper also reveal that the India VIX GARCH volatility forecasting and stock index options are a strong indicator of future stock market volatility. The GARCH outperforms the historical volatility and the VIX volatility forecast in assessing the activities of Indian capital market.
Asian Journal of Research in Banking and Finance, 2012
The study is the investigates the price discovery and arbitrage efficiency in Indian equity, futu... more The study is the investigates the price discovery and arbitrage efficiency in Indian equity, future and cash market which is one of the liquid market in the world by using the data available at national stock exchange of India website. In this study we found that the stable long-run and strong relationship exists between Indian equity future & cash market. In many findings it has been seen that price discovery in both the market but in Indian equity future market dominates the information transmission process.
Tij S Research Journal of Social Science Management Rjssm, Dec 31, 2013
international journal of research in computer application & management, 2012