Mahendra Raj

Day‐of‐the‐week and other market anomalies in the Indian stock market

Purpose – This paper attempts to investigate the presence of seasonal effects in the Indian stock market.Design/methodology/approach – The paper tests the efficiency of the Indian stock market through a number of hypotheses. Week day effects, day‐of‐the‐week, weekend, January and April effects are examined by applying a variety of statistical techniques.Findings – The results are interesting and contradict some of the findings found elsewhere. The negative Monday effect and the positive January effects are not found in India. Instead the Monday returns are positive while Tuesday returns are negative.Research limitations/implications – The seasonal effects in the Indian market have been examined by the two major indices, the Bombay Stock Exchange Index and the National Stock Exchange Index. However, it must be remembered that the Indian economy became deregulated from 1991 and this may have had an impact on the markets.Practical implications – This study indicates that the Indian stock market does not exhi...

Hubris Amongst U.K. Bidders and Losses to Shareholders

This paper examines the performance of bidders with a hubris management during a takeover bid. Data for the study comprises of successful bids in the UK during the 1990s, which have been identified as having a hubris management. Valuation ratios and bid premium sizes are the measures used to identify the sample of hubris bidders. Results show that hubris bidders significantly lose on the announcement of a bid. JEL: G34, G14

Transactions data tests of efficiency: An investigation in the Singapore futures markets

The aim of this article is to test the profitability of technical trading rules in the intra‐day currency futures market. A wide range of technical strategies are applied to tick data over a two‐year period for two currency futures—Japanese Yen (JY) and Deutschemark (DM)—traded in the Singapore International Monetary Exchange. The study finds that after incorporating transactions costs and testing for the significance of the profits using a bootstrap methodology, none of the technical trading systems produce significant returns.

A generalized method of moments comparison of the cox-ingersoll-ross and heath-jarrow-morton models

Abstract In this paper, we compare two competing term structure models: the general equilibrium-based model of Cox, Ingersoll and Ross and the no-arbitrage-based model of Heath, Jarrow and Morton. We compare term structure fit using a set of US Treasury bills split in half around the structural break of October 1979, following the Federal Reserve Boards change in monetary policy. We use Hansens generalized method of moments for parameter estimation. Non-nested comparison tests of model fit are made using Davidson-MacKinnons J test.

Pricing options on short-term interest rates using discrete arbitrage-free models

On June 23 1989, the Chicago Board of Options Exchange introduced a new option on short-term interest rate. These options were unique in that, unlike other interest rate dependent options, there were no assets like bonds underlying them. So, when these options are exercized, settlement delivery is in cash. These options opened new avenues for investors interested in hedging and speculating on interest rate movements. In the present study these short-term interest rate option markets are analysed utilizing recent developments on discrete interest rate stochastic processes. Of the various models developed to price interest contingent claims, Ho and Lee (1986) is especially important since these researchers use the entire term structure to derive relatively simple arbitrage based models. In this study these newly introduced options on interest rates are priced and empirically tested using the modified version of a Ho and Lee term structure model.

Management Motive, Shareholder Returns, and the Choice of Payment: Evidence from the UK

Prior studies have reported mixed findings regarding bidder shareholder returns. There are many theories regarding the motivation towards the initiation of a takeover. This study intends to analyze four major merger motivations separately and examine the impact each has on bidder returns. We find the market reacts according to the nature of the takeover and the underlying motive behind the bid.

An investigation in exchange rate behavior of emerging countries

This study deals with the relative performance of major exponential smoothing models (Simple exponential (SES), Holts double parameter exponential (HTPES) and Winters three parameter exponential (WTPES) used in forecasting exchange rates of emerging countries.

Globalising telecommunications: the case of British Telecommunications PLC

The global telecommunications marketplace has witnessed considerable and unprecedented changes in the past twenty‐five years, so much so, that comparative recognition of most telecommunications fixed‐link network operators is impossible. Consequently, industry structures, market specific structures and the internal operation of incumbent firms have been transformed by visionary strategic directional changes. Demonstrably, the impact of national strategic intentions have identified clear shifts away from predominantly monopolistic – high bureaucratic, labour‐intensive and government‐run service providers, towards distinct deregulated markets – supporting increasingly competitive, innovative and market‐led organisations. With this in mind, this study considers the nature of organisational strategic evolution and its associated consequences on the UK incumbent BT, since UK telecommunications privatisation. A case study approach waqs adopted, with face‐to‐face interviews being carried‐out with senior executives, using semi‐structured questionnaire checklists. Content analysis was applied to the data set and results alluded to the nature of both strategic evolution and the emerging strategic focus occurring within the firm. Against the is backdrop, BT was seen to evolve from a dormant, fat, inward‐looking and inefficient organisation, towards a more dynamic, forward thinking, creative and global organisation. A conceptual model partraying the impact of strategic change on transforming the business focus of BT is developed.