Mohammad Irshad VK | Pondicherry university (original) (raw)

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Papers by Mohammad Irshad VK

The monetary rate announcement is one of the important event which bothers bond investors. demone... more The monetary rate announcement is one of the important event which bothers bond investors. demonetization announcement. The effect of demonetization announcement on Indian bond indices was severe while comparing with other monetary policy announcements. The study also indicated that the level of impact of monetary policy announcements on Indian bond indices got increased during the post demonetization period. NIFTY 15 year and above G-Sec is the Indian bond index which reacted more towards the monetary policy and demonetization announcements. Finally, Indian bond market indices shows a tendency to diverge one from another after the events happens.

A study on integration among stock markets from different countries having an enormous importance... more A study on integration among stock markets from different countries having an enormous importance in a globalised economic world. Being an awful economic force BRICS group of nations can change the economic climate of the world, if they are highly financially integrated. The primary objective of this paper is to investigate the integration among BRICS nations during the past 10 years (2005 to 2015) by considering daily price histories of IBrX 50, RTSI, Nifty Index, Shanghai Composite Index, and FTSI-Africa Index for Brazil, Russia, India, China and South Africa respectively. It has been applied Johansen Co-integration Test (1988) and Pairwise Granger Causality test to remark interdependencies and dynamic linkages among selected markets. Surprisingly, Even though it is an Hulking economic force in the world, It have no long run relationship between them and some unidirectional cause and effect relationship only existed. Finally this paper allege better candidacy of the stock exchanges in multinationally diversified portfolios.

Against the well-established fact that the usefulness and suitability of futures trading in devel... more Against the well-established fact that the usefulness and suitability of futures trading in developing the underlying agricultural commodity market, especially in agriculture based country like India are been questioned by various bodies. Through this work it has been analysing the role of futures trading on agricultural commodities. The effect of futures trading may be of two kinds, that is by way of hedging the price risk and the other way is through price discovery. The data collected for the analysis are the daily price history of spot and futures of five major agricultural commodities (Castor Seed, Chana, Chilli, Jeera, and Wheat) for a period of 7 years started from 2007 to 2014. Here it is revalidated the relationship between price movements of agricultural commodity futures and underlying spot prices by applying econometric analysis tools like Unit Root Test, and Engel-Granger test of Cointegration. The empirical findings proved that an existence of interrelationship between futures price movement and respective underlying spot prices in Indian agricultural commodity market.

On agricultural commodity futures, there is always been a doubt, expressed by different bodies an... more On agricultural commodity futures, there is always been a doubt, expressed by different bodies and experts on the usefulness and suitability of futures contract in developing in underlying agricultural commodity market, especially in agricultural based economy like India. Here an attempt is made to revalidate the impact of futures trading on agricultural commodity market. The daily price information in spot and futures market for a period of seven years ranging from 2007 to 14 for five major agricultural commodities are VAR (Vector Auto Regression) and GARCH (1,1) to test the dynamic interrelationship among the variables. The empirical findings significantly shows that comparative advantage of futures market in disseminating information, leading to a significant price discovery and risk management, that can help to successfully develop the underlying commodity market in India.

The plots of market volatility can act as an electrocardiogram, reflecting the pulse of capital m... more The plots of market volatility can act as an
electrocardiogram, reflecting the pulse of capital markets. It has
been identified that stock indices in many developed as well as
developing economies exhibit volatility clustering, which in finance
literature is called “time varying conditional volatility”. The purpose
of the study is to characterize the time varying volatility of the Indian
capital market in the long run. The study focus on aspects like time
varying volatility, predictability of volatility, the symmetric nature of
volatility towards positive and negative shocks, and the explanation
for high volatility ofIndian capital marketfor a period of 20 years.
This study has analyzed the price data as well as return data of NSE
CNX Nifty. We have used GARCH (1, 1) Model to estimate time
varying volatility and TARCH (1, 1) Model, to measure asymmetric
volatility effect. The magnitude of volatility was found to fluctuate
between periods and showed a repeating trend over time. It validates
theasymmetric nature of volatility in Indian capital market and
volatility clustering in the long run and give insights on the
predictability of volatility.

Drafts by Mohammad Irshad VK

This paper examines the current status of research on sovereign bond market around the world and ... more This paper examines the current status of research on sovereign bond market around the world and the level of consideration received by Indian sovereign bonds in international peer reviewed finance journals as well as top Indian finance journals for the last 18 years, from 2000-2017. The authors explored all the published research articles available in four popular online research databases such as Sciencedirect, Emerald Insight, Wiley online library, and Sage publications by using the keyword "Sovereign Bond" and identified 370 scholarly articles on 12 different sub themes across 64 top rated international journals. 16 of 370 articles had considered Indian sovereign bond market as a sample. The authors could also identify an increasing trend in number of researches. Using the same methodology the authors examined 8 top Indian journals, from which only 2 articles were identified. The paper also explored 83 working papers on Indian sovereign bonds. Overall, there is a visible growth in research related to global sovereign bond markets, whereas Indian sovereign bond markets are not being considered.

This paper tests the impact of the commodity transaction tax (CTT) introduced in Indian commodity... more This paper tests the impact of the commodity transaction tax (CTT) introduced in Indian commodity market since July 2013, particularly on market liquidity and volatility aspects. We rely on a distinctive design of the tax, which is imposed only on non agri-commodities. Here, we considered Gold as a proxy for non agri-commodities and MCX agri-index as a proxy for agri-commodities. This provides one control group and one treatment group which allows us to use Difference in Difference approach in order to isolate the impact of the tax from other economic changes that have happened simultaneously. We find that CTT significantly reduces trading and turnover in Gold futures market. The test for conditional variance using GARCH (1,1) model, reveal that CTT did not significantly contributed to volatility contradiction as expected by policy makers. As the results expressed increased volatility in treatment commodity introducing CTT, similar to that of control group, this paper suggests repealing of CTT on non-agri commodities.