01
Original Article
Open Access
Identifying Structural Breaks in Asset Pricing Behavior in the Indian Context
G. Raghuram, Christopher Erickson
· pp. 7–20
DOI: 10.17010/ijf/2017/v11i6/115592
The paper studied the asset pricing behavior in India for the time period from April 1991 till March 2015 by employing the Fama-French three factor model and discovered a structural break in November 2001. This structural break was due to …
Keywords:
Asset Pricing, Structural Break, Market, Size, Value, Fama-French Three Factor Model, Adaptive Market Hypothesis (AMH)
02
Original Article
Open Access
Dynamics of Size and Value Factors in Stock Returns : Evidence from India
A. Balakrishnan, Moinak Maiti
· pp. 21–35
DOI: 10.17010/ijf/2017/v11i6/115593
This paper evaluated the cross sectional relationship between firm characteristics : size and value with risks and expected returns in the Indian stock market on different horizon of time from previous studies. Furthermore, the study deployed different breakpoints for market …
Keywords:
Size, Value, Fama-Macbeth Regression, GRS, Residuals GOO
03
Original Article
Open Access
Asymmetric Volatility of the Indian Stock Market and Foreign Portfolio Investments : An Empirical Study
Ashish Varughese, Tomy Mathew
· pp. 36–49
DOI: 10.17010/ijf/2017/v11i6/115595
Generally, a stock index may respond more to bad news (negative shocks) than to good news (positive shocks). It means stock market volatility may tend to be greater in a declining market than in a rising market. This behavior of …
Keywords:
Foreign Portfolio Investors (FPIs), Foreign Portfolio Investment (FPI), Stock Return Volatility, Leverage Effect, Volatility Clustering, GARCH, E-GARCH, TARCH Models
04
Original Article
Open Access
Evaluating the Impact of Financial Banking Development on Economic Growth : An Empirical Investigation in Sultanate of Oman
Faris Nasif Alshubiri
· pp. 50–62
DOI: 10.17010/ijf/2017/v11i6/115597
The aim of this study was to evaluate the impact of financial banking development on economic growth of Sultanate of Oman. The sample selected covered all six banks listed on MSM over the period from 2008 to 2014. The independent …
Keywords:
Financial Development, Economic Growth, Banks, Empirical Analysis of Oman
