Anupam Dutta
University of Vaasa
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Publication
Featured researches published by Anupam Dutta.
Cogent economics & finance | 2015
Anupam Dutta
Although a large number of recent studies employ the buy-and-hold abnormal return (BHAR) methodology and the calendar time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to criticisms. In this paper, we show that a recently introduced calendar time methodology, known as Standardized Calendar Time Approach (SCTA),, controls well for heteroscedasticity problem which occurs in calendar time methodology due to varying portfolio compositions. In addition, we document that SCTA has higher power than the BHAR methodology and the Fama–French three-factor model while detecting the long-run abnormal stock returns. Moreover, when investigating the long-term performance of Canadian initial public offerings, we report that the market period (i.e. the hot and cold period markets) does not have any significant impact on calendar time abnormal returns based on SCTA.
International Journal of Managerial Finance | 2017
Hasib Noor; Anupam Dutta
Purpose The purpose of this paper is to investigate the volatility linkage between global oil market and major South Asian equity markets. Design/methodology/approach In order to serve the purpose, the authors employ a recently developed vector autoregressive-generalized autoregressive conditional heteroskedastic model to examine whether shocks and volatility spill over from the oil market to various equity markets under consideration. Findings The findings of the empirical analysis suggest that all the markets studied do receive volatility from the oil market. Not surprisingly, the authors do not find any significant evidence of volatility transmission from the equity markets to the global oil market. Additionally, while computing the optimal portfolio weights and hedge ratios, the authors document that inclusion of oil in the portfolio of stocks tends to reduce the risk of the resultant portfolio. Originality/value Fully original.
Journal of Empirical Finance | 2018
Anupam Dutta; Johan Knif; James W. Kolari; Seppo Pynnönen
This paper proposes a novel standardized test for abnormal returns in long-horizon event studies that takes into account cross-sectional correlation, autocorrelation, and heteroskedasticity of stock returns. Extensive simulation analyses demonstrate improved size and power of testing relative to existing long-run test methodologies. Application to initial public offerings and seasoned equity offerings further demonstrates robustness to extreme return outliers inherent in these long-run studies.
International Journal of Managerial Finance | 2017
Probal Dutta; Hasib Noor; Anupam Dutta
Purpose The purpose of this paper is to investigate whether the crude oil volatility index (OVX) plays any key role in explaining the trend in emerging market stock returns from a global standpoint. Design/methodology/approach At the empirical stage, different forms of the GARCH-jump model have been estimated. Findings The findings confirm the effects of OVX on equity returns. In addition, the results document that there exist time-varying jumps in the stock market returns. Besides, the impacts of OVX shocks appear to be symmetric. The analysis further shows that the magnitude of OVX impact is marginally bigger than that of the conventional oil price shocks. Originality/value Since various financial assets are traded on the basis of oil and equity markets, investors, for instance, could use the findings of this study for taking proper investment decisions and gaining better portfolio diversification benefits. Additionally, policymakers could utilize the results to develop effective measures and strategies in order to minimize the oil price risk.
Cogent economics & finance | 2017
Anupam Dutta; Hasib Noor
Abstract Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity markets, very little is known about the volatility transmission between these two markets. The present study aims to conceal this gap by investigating the volatility cross effects between oil and three different non-energy commodity markets. Using the bivariate VAR-GARCH models, we do not find any evidence of volatility linkage between oil and agricultural product markets during the sample period used. We, however, document that oil market sends volatility to both metal and non-energy aggregate markets. This finding is not surprising, since petroleum-related products are one of the major production inputs in metal industries and hence the production process of metals largely depends on the crude oil market. Since various financial assets are traded on the basis of commodity markets, our results are beneficial for portfolio diversification and hedging decisions. Policy-makers could also use the findings of this research to reduce the impact of oil price uncertainty on metal and agricultural markets.
Gcb Bioenergy | 2018
Anupam Dutta; Elie Bouri; Juha Junttila; Gazi Salah Uddin
The growing interest in biofuel as a green energy source has intensified the linkages between corn and ethanol markets, especially in the United States that represents the largest producing and exporting country for ethanol in the world. In this study, we examine the effect of corn market uncertainty on the price changes of US ethanol applying a set of GARCH‐jump models. We find that the US ethanol price changes react positively to the corn market volatility shocks after controlling for the effect of oil price uncertainty. In addition, we document that the impact of corn price volatility on the US ethanol prices appears to be asymmetric. Specifically, only the positive corn market volatility shocks are found to influence the ethanol market returns. Our findings also suggest that time‐varying jumps do exist in the ethanol market.
Cogent economics & finance | 2015
Anupam Dutta
Abstract Although several empirical studies report significant positive long-run abnormal stock returns following share buybacks, a recent event study paper claims that such anomalies have disappeared in the most recent decade and this disappearance of abnormal performance is not sensitive to the methods used. The present paper makes an attempt to investigate this claim using 63 Indian share buybacks which took place between July 2008 and June 2012. We consider the application of several event study methods and our findings are a bit mixed. We conclude that the long-run anomalies following stock repurchases in India are still sensitive to the employed methodologies.
Energy | 2017
Anupam Dutta; Jussi Nikkinen; Timo Rothovius
Journal of Cleaner Production | 2017
Anupam Dutta
International Journal of Biometrics | 2014
Anupam Dutta