Accounting and Finance

This paper examines the effects of persistence, asymmetry, and the US Subprime Mortgage crisis on the volatility of the returns  and also the linkages and causality between the spot and futures volatility by using various classes of the ARCH and GARCH models, and through the Granger’s causality. We have used  two indices: one for spot and the other for futures, for the daily data from, June 12th2000 to Sept.30th2013 from Nifty stock market of India. The descriptive statistics of the ‘return data’ calculated from log first differences, shows that the returns are not following the normal distributions.  There is no evidence that the futures market volatility is higher  than that of the spot market volatility . We have then tested for ARCH effects, and subsequently employed various models of the ARCH and GARCH conditional volatility. The ARCH effect is significant in both spot and futures market returns volatility. The GARCH(1,1)  model is found to be significant , and therefore  , in contrast to an  ARCH model,  GARCH(1,1) model  implies that  the returns  are not autocorrelated , and  have ‘short memory’.  It supports the hypothesis of the efficient financial markets. The negative ‘news’ has more significant effect on volatility, corroborating the ‘leverage impact’ in finance on market volatility. We have also tested the volatility spillover effects from spot return variance to future return variance, through adding explanatory variables to the variance equations. We have also employed the Granger causality to know the linkages between spot and futures return volatility. Both methods support the spillover effects.. We also have used the dummy variable for the US Subprime mortgage financial crisis to know the effect on the volatility of the stock returns in Indian market  and found that they are  statistically significant. Indian stock market is thus integrated to the world stock markets and the news effects from the US and other countries

This study throws light on the importance of adjustment lags, variability of inflation, changes in real income, etc. in the empirical estimation of Fisher hypothesis. Variability of inflation has a significant negative impact on both short-and long-term interest rates in a developing economy like India. The 'Philips Curve Effect' has not been operative in a developing country.

This article examines the effects of persistence, asymmetry and the US subprime mortgage crisis on the volatility of the returns and also the price discovery, efficiency and the linkages and causality between the spot and futures volatility by using various classes of the ARCH and GARCH models, and through the Granger’s causality. We have used two indices: one for spot and the other for futures, for the daily data from 12 June 2000 to 30 September 2013 from Nifty stock indices. We have then tested for ARCH effects, and subsequently employed various models of the ARCH and GARCH conditional volatility. The GARCH(1,1) model is found to be significant, and it implies that the returns are not autocorrelated and have ‘short memory’. It supports the hypothesis of the efficiency of the markets. The negative ‘news’ has more significant effect on volatility, corroborating the ‘leverage impact’ in finance on market volatility. We have also tested the volatility spillover effects. The two methods we employed support the spillover effects and the causality is bidirectional. We also have used the dummy variable for the US subprime mortgage financial crisis and found that they are statistically significant. Indian stock market is thus integrated to the world stock markets.

This article examines the effects of persistence, asymmetry and the US subprime mortgage crisis on the volatility of the returns and also the price discovery, efficiency and the linkages and causality between the spot and futures volatility by using various classes of the ARCH and GARCH models, and through the Granger's causality. We have used two indices: one for spot and the other for futures, for the daily data from 12 June 2000 to 30 September 2013 from Nifty stock indices. We have then tested for ARCH effects, and subsequently employed various models of the ARCH and GARCH conditional volatility. The GARCH(1,1) model is found to be significant, and it implies that the returns are not autocorrelated and have 'short memory'. It supports the hypothesis of the efficiency of the markets. The negative 'news' has more significant effect on volatility, corroborating the 'leverage impact' in finance on market volatility. We have also tested the volatility spillover effects. The two methods we employed support the spillover effects and the causality is bidirectional. We also have used the dummy variable for the US subprime mortgage financial crisis and found that they are statistically significant. Indian stock market is thus integrated to the world stock markets.

Capital Asset Pricing model (CAPM ) is widely  researched, tested , and paradoxically both generally accepted and rejected  model  of asset pricing. From its beginning (1964) it has occupied the pride of place among the financial economist’s research, and still part of the text books on finance in the leading business schools all over the world. The study  covered monthly data of Indian companies’ from the ‘National Stock Exchange’ (NSE) for the period 2005 to 2009. In our first model, betas are estimated where the risk free rate is the intercept term. The results show that for the State  Bank Of India( SBIN) , HDFC bank , and Tata Motors , the betas are more than one and significant , and for the Reliance  ,it is near one , and for Infosystch , it is less than one  and statistically significant . The second model of ‘ Jen’s alphas’ results  show  that  for only SBIN  , and Reliance group, ‘Jensen’s alpha ‘ is positive , and for other three companies, it is negative.  For positive values of ‘ Jensen’s alpha, the conclusion is that those companies ear ned  return more than the  companies of similar betas , and for negative values , those companies earned less than the companies of similar betas. Over the sample period, for SBIN, HDFC, and Reliance companies, the actual return is are greater than the required returns, and for Tata Motors,, and Infosystch , the actual return is less than the required returns .There is an equity  risk premium for many of the Indian securities during the sample period .On the whole, the CAPM model could satisfactorily explain the risk-return relationship in the Indian Stock market.
Key words:  Capital Asset Pricing Model (CAPM ), Required Return , Betas, Risk modeling, Indian Companies, Stock markets , Risk and Returns .

The main purpose of this study is to examine the effects of the exchange rates, international prices, and the demand shocks on inflation in Fiji Island. The study covered the annual data from 1975 to 2010.The variables are found to be following unit root process at the level form and stationary at the difference form, and the multi variate cointegration tests showed that there is one cointegratng vector between the Fiji consumer price index, Australian consumer price index, domestic demand shocks, Exchange rate Australian dollars /unit Fiji dollar, and devaluation years dummies. Further, Vector Error Correction (VEC)model shows that the changes in Fiji consumer price index is Granger caused by the long term trends in all other variables afore mentioned, especially when the Consumer Price Index in Australia , and devaluation dummy years are ,put as exogenous variables in the VEC model, with the with the changes in exchange rate, and changes in demand shocks as independent variables but endogenous in the VEC model. The impulse response function also shows that due to the exchange rate depreciation, inflation increases for many years in Fiji. Due to one standard deviation shock in demand shocks, though Fiji inflation declines initially, it subsequently increases for many years. One standard deviation shock in inflation also increases demand shocks in Fiji for many years. Impulse response function appears to show that the devaluation is contractionary in the long run for Fiji. The Variance Decomposition results also that a major part of the variations in inflation is explained by the Fiji dollar exchange rate movements. The Policy implication of our study is that as a monetary policy instrument the flexibility of the exchange rate policy is indispensable for Fiji to absorb appropriately the international supply and price shocks

Volatility of returns of the financial assets, and the volatility of the inflation and aggregate demand, are important issues in the Financial markets, and the Macro-monetary economics. In this article, the conditional expected returns of the stocks and conditional volatility of returns-volatility persistence and different models of that-are given much focus. The volatility spill over between the spot and futures markets and their implications are deeply explored in this article along with the price discovery between spot and futures markets and the conditions for the efficiency in these markets. In Macro-monetary economics, the variability of inflation on the demand for money function, the nominal rates of interest, and the slope of the aggregate supply curve are brought into discussion through the relevant literature survey. assets, Price discovery, efficient markets, the variability inflation, the demand for money function, Fisher effect of the inflationary expectation on the nominal interest rates.

This study demonstrates that the productivity of real money balances is small in two developing countries (India and Pakistan), using a methodology due to Startz (1984). *We thank Professor Richard Stark, University of Washington, for giving valuable comments on an earlier draft of this paper. Comments of an anonymous referee are also gratefully acknowledged. Any errors are our own.

This paper seeks to examine empirically whether foreign banks on an average operate with greater efficiency and so attain higher levels of productivity and profitability. For this purpose, first, a stochastic frontier production function for the banking industry is estimated and bank-wise technical efficiency is computed. In the second stage, the authors compare the mean efficiency level of foreign banks with that of domestic banks. In addition, foreign and domestic banks are also compared with respect to the other measures of performance, namely, productivity and profitability.

Using random simulations with artificial data with identical sample characteristics to the long-sample exchange rate data employed by Lothian and Taylor (Lothian, J.R. and Taylor, M.P. (1996). The recent float from the perspective of the past two centuries. Journal of Political Economy 104, 488-509.), we show that standard unit-root tests have extremely low power over sample sizes corresponding to the recent float. The probability of rejecting the null hypothesis when it is false is extremely low with 20 years or even 50 years of data and only reaches an acceptable level over much longer spans. (JEL F31, C15, C22).

Capital Asset Pricing model (CAPM) is widely researched, tested , and paradoxically both generally accepted and rejected model of asset pricing. From its beginning (1964) it has occupied the pride of place among the financial economist's research, and still part of the text books on finance in the leading business schools all over the world. The study covered monthly data of Indian companies' from the 'National Stock Exchange' (NSE) for the period 2005 to 2009. In our first model, betas are estimated where the risk free rate is the intercept term. The results show that for the State Bank Of India(SBIN) , HDFC bank , and Tata Motors , the betas are more than one and significant , and for the Reliance ,it is near one , and for Infosystch , it is less than one and statistically significant. The second model of ' Jen's alphas' results show that for only SBIN , and Reliance group, 'Jensen's alpha ' is positive , and for other three companies, it is negative. For positive values of ' Jensen's alpha, the conclusion is that those companies ear ned return more than the companies of similar betas , and for negative values , those companies earned less than the companies of similar betas. Over the sample period, for SBIN, HDFC, and Reliance companies, the actual return is are greater than the required returns, and for Tata Motors,, and Infosystch , the actual return is less than the required returns .There is an equity risk premium for many of the Indian securities during the sample period .On the whole, the CAPM model could satisfactorily explain the risk-return relationship in the Indian Stock market.

This article examines the quarterly data for the demand for money  in Japan for the period 1975 to 1990 , taking the real stock prices as an argument in the demand for money function .The dominance of the wealth effect is found  with positive and significant relation between demand for money and the real stock prices . This implies as Milton Friedman had argued that the financial volatilizes lead to increased demand for money and not the substitution effect from real money to the real stocks .

Capital Asset Pricing model (CAPM ) is widely researched,
tested , and paradoxically both generally accepted and rejected model of asset pricing. From its
beginning (1964) it has occupied the pride of place among the financial economist’s research, and still
part of the text books on finance in the leading business schools all over the world. The study covered
monthly data of Indian companies’ from the ‘National Stock Exchange’ (NSE) for the period 2005 to
2009. In our first model, betas are estimated where the risk free rate is the intercept term. The results
show that for the State Bank Of India( SBIN) , HDFC bank , and Tata Motors , the betas are more than
one and significant , and for the Reliance ,it is near one , and for Infosystch , it is less than one and
statistically significant . The second model of ‘ Jen’s alphas’ results show that for only SBIN , and
Reliance group, ‘Jensen’s alpha ‘ is positive , and for other three companies, it is negative. For positive
values of ‘ Jensen’s alpha, the conclusion is that those companies ear ned return more than the
companies of similar betas , and for negative values , those companies earned less than the companies of
similar betas. Over the sample period, for SBIN, HDFC, and Reliance companies, the actual return is are
greater than the required returns, and for Tata Motors,, and Infosystch , the actual return is less than the
required returns .There is an equity risk premium for many of the Indian securities during the sample
period .On the whole, the CAPM model could satisfactorily explain the risk-return relationship in the
Indian Stock market

Volatility of returns of the financial assets, and the volatility of the inflation and aggregate demand, are important issues in the Financial markets, and the macro- monetary economics. In this article, the volatility in the stock and bond markets are surveyed and discussed in detail. Our view is that the higher volatility in the long-term rates than in the short-term rates, may be due to the higher leverage effect in the long-term markets and rates than in the short -term rates. In the previous century, last fifty years, the average stock returns were much higher and the expected return or the cost of capital was lower. The conditional volatility models and the volatility spill over between the spot and futures markets and their implications are deeply explored in this article along with the price discovery between spot and futures markets and the conditions for the efficiency in these markets. In our section dealing with Macro- monetary economics, the effect of the variability of...

Although optical metamaterials that show artificial magnetism are mesoscopic systems, they are frequently described in terms of effective material parameters. But due to intrinsic nonlocal or spatially dispersive effects it may be anticipated that this approach is usually only a crude approximation and is physically meaningless. In order to study the limitations regarding the assignment of effective material parameters, we present a technique to retrieve the frequency-dependent elements of the effective permittivity and permeability ...

The main purpose of this study is to examine the effects of the exchange rates, international prices, and the demand shocks on inflation in Fiji. How the domestic inflation in a pegged exchange rate system is aligned with international price shocks is an important monetarist idea, and this is tested in this study. This study employs annual data from 1975 to 2010. The multivariate cointegration tests are done after the unit root tests, and further, the Vector Error Correction (VEC) model shows that the changes in Fiji's CPI are Granger caused by the long-term trends in all other variables, and the CPI in Australia, and devaluation-year dummies are used as exogenous variables in the VEC model, and the changes in exchange rate and changes in demand shocks are the independent variables but made endogenous in the VEC model. The impulse response function also shows that due to the exchange rate depreciation, inflation has increased for many years in Fiji. The policy implication of our study is that as a monetary policy instrument, the flexibility of the exchange rate policy is indispensable for Fiji to appropriately absorb the international supply and price shocks.

The main purpose of this study is to examine the effects of the exchange rates,international prices, and the demand shocks on inflation in Fiji Island. The study covers the annual data from 1975 to 2010.The variables are transformed into changes/per cent and then Ordinary Least Squares methodology (OLS) is used. The appropriateness of the OLS assumptions is tested including the normality of the residuals, autocorrelations,heteroskedasticity and functional forms. The main findings are that the Fijian dollar depreciation increases, the international price shocks in the form of Australian consumer prices increase, the Keynesian demand shocks increase, and the devaluation events increase the consumer price inflation in Fiji. As a monetary policy instrument the flexibility of the exchange rate policy is indispensable for Fiji to absorb appropriately the international supply and price shocks. We have been able to include the international supply shocks, the domestic demand shocks, the exc...