01
Original Article
Open Access
Does Twitter Activity Proxy for Idiosyncratic Information ? Evidence from the Indian Stock Market
Sayantan Kundu, Aditya Banerjee
· pp. 8–23
DOI: 10.17010/ijf/2021/v15i8/165815
This study analyzed the impact of stock-specific information, proxied by Twitter activity, on the stock returns of listed Indian firms. Twitter activities at different levels of information assimilation were considered through tweet-count, retweet-count, and favorite-count as proxies for information supply, …
Keywords:
Twitter Activity, Information Supply, Asymmetric Impact, Indian Stocks, Returns
02
Original Article
Open Access
Price Discovery and Volatility Spillover for Indian Energy Futures Market in the Pre- and Post-Crisis Periods
Neha Seth, Arpit Sidhu
· pp. 24–39
DOI: 10.17010/ijf/2021/v15i8/165816
The present paper examined the price discovery and volatility spillovers in pre and post-crisis (global financial crisis and European sovereign debt crisis) periods of spot and futures energy markets in India from January 1, 2007 – December 31, 2018, with …
Keywords:
ARDL Model, Crisis Period, Energy Futures Market, GJR - GARCH, Price Discovery, VECM, Volatility Spillover
03
Original Article
Open Access
Integration of the Indian Stock Market with Select Asian Stock Markets : An Analysis
Pravin Kumar Agrawal, Tanuj Nandan, Ashutosh Pratap Singh
· pp. 40–51
DOI: 10.17010/ijf/2021/v15i8/165817
The present study explored the long-term associative relationships and the short-run causal relationships between stock market indices of select Asian economies: India, China, Hong Kong, Indonesia, Japan, Singapore, South Korea, and Taiwan. These countries make significant contributions in terms of …
Keywords:
ADF, Granger Causality Test, Johansen Cointegration Test, Long-Term Equilibrium Relationship. JEL Classification