Saif Siddiqui

Weak Form of Market Efficiency: Evidences from Selected NSE Indices

Stock market efficiency is and important parameter to gauge the efficiency of a financial system. It assumes extreme importance especially in developing countries like India. The efficiency of Indian stock markets, especially the leading stock exchange of India - the NSE, attracts the attention of researchers and analysts in view of recent fluctuations in investments levels and the global financial turmoil. The efficiency tests conducted by the researchers so far have produced contradictory results and it is precisely difficult to comment on Indian stock market efficiency with definitiveness. We found it interesting to examine the impact of various macro economic factors both on Indian and global front on Indian stock markets in relation to the rate and manner of incorporation of information, which is the concern of every economic participant in recent times. This paper therefore, attempts to seek evidence for the weak form efficient market hypothesis using the daily data for stock indices of the National Stock Exchange for the period of 1 January 2000 to 31 Oct 2008. We use Kolmogrov -Smirnov, Unit Root and run test to test weak-form efficiency.

Forecasting Volatility in Commodity Market: Application of Select GARCH Models

Commodity prices are volatile and volatility varies over time. Investing in commodities has generated heavy returns and has become increasingly popular, in spite of the high risks associated. The issue of volatility in commodity markets has attracted discussions at international forums too. This study is conducted to assess the volatility related issues of spot and future indices (metal, energy and agriculture) of MCX of India and to gauge the existence of leverage effect in the select commodity indices. It explores various measures of volatility spanning from November 1, 2005 to March 31, 2014. It has applied various ARCH family models such as Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Exponential GARCH (EGARCH) and Component GARCH (CGARCH) models. The results of GARCH indicate high persistence of volatility and news sensitivity. For metal spot, energy spot and metal future persistence is extremely high but for agriculture spot and energy future indices do not portray meaningful result. EGARCH model indicates that there is leverage effect in energy spot, agriculture spot and metal future but other indices do not verify presence of leverage effect. The results of CGARCH model indicate towards subsistence of trend and transitory component of volatility in all the indices except energy future.

Do Global Oil Price Changes Affect Indian Stock Market Returns

The present research work is conducted to analyze whether changes in oil prices at global level affect the stock market returns in Indian market. Daily closing stock market price data from National Stock Exchange (NSE) and daily oil prices, for the period beginning from January 2010 to December 2014, are taken into consideration. VAR model of co-integration is used to test the relation between the two variables. It is found that there is no long term integration between oil price and Indian stock index series. Apart from long term, these series do not even cause each other in short run. Very weak correlation, about 3.21 percent, was observed in the series that may be due to recent fall in crude oil prices at global level. Individual/ institutional investors, portfolio managers, corporate executives, policy makers and practitioners may draw meaningful conclusions from the findings of the present study while operating in stock markets. Research like this may help diverse stakeholders in management of their existing portfolios as their portfolio management strategies may be, up to some extent, dependent upon such research work.This paper is an attempt to fill the research gap that exists for Indian stock market in terms of its relationship with global oil prices.

Islamic Economic System and Poverty Reduction

Poverty is an economic condition of lacking basic necessities needed to live a reasonable life. This include need for money, food, water, education, and shelter. Poverty reduction is a process, aiming to reduce the level of poverty in a group of people or countries. World Bank suggests that poverty can be reduced by various means and methods, which includes economic growth (increase in income and living standard) and direct aid/private charity. World so far has followed two economic systems, communism and capitalism. The communism was based on an emotional reaction against evil consequences of the capitalist economy, specially, against the element of inequitable distribution of wealth. But capitalism prevails, which still suffer from inequities in the distribution of wealth. The world needs a Third Economic System. Elements of Islamic Economic System involve: financing/trading, Zakat and Interest free loans. Even poor persons, with some credibility, can survive in this economic system. Islamic economics prefers co-operation to competition. This aspect of co-operation is a key to poverty reduction. It is possible to reduce poverty by following Islamic economic system because it takes care of society and social justice.

Probing Time-Varying Conditional Correlation Between Crude Oil and Sensex

Change in oil prices may have a different impact on different countries due to various factors such as their relative position as oil importers or exporters, different tax structures. Oil price affects Indian economy. A small rise in oil price leads to an increase in prices of goods and services. It is also affected by the exchange rate and effects stock market too. Here, we propose to study the co-movement of crude oil prices and volatility spillover affect on stock market and USD–INR rate of exchange. Daily data for the period from June 01, 2014 to August 31, 2016 of BSE S&P Sensex (Sensex), prices of crude oil and USD–INR rate of exchange are taken. We used multivariate GARCH model to identify spillover of volatility. Besides, doing descriptive statistics, Unit Root, Johansen Co-integration and correlation test, we also put Granger causality test. Volatility spillover between exchange rate, Sensex and crude oil prices are found to be significant and bidirectional. Affect of crude oil price movement on Sensex is also significant.

Developing Entrepreneurial Intensity among Women Entrepreneurs of Jammu & Kashmir: Model Building through Confirmatory Factor Analysis

In developing nations like India, entrepreneurship can be a solution of many economy-related problems; to achieve this, high level of entrepreneurial intensity (EI) is to be ensured. EI measures the focus and commitment of an entrepreneur towards his/her venture. It can influence performance of firms, provide sustainable advantage to individuals, societies etc. The state of Jammu and Kashmir (J&K) is facing issues like low GDP and high unemployment. High level of EI, especially among women, can provide solution to many of its problems. So, the present endeavour assesses the level of intensity among the women entrepreneurs and then suggests some measures to enhance the same. The results of the study show that innovativeness, pro-activeness, risk-taking, competitive aggressiveness and autonomy, which are taken as the basic postulates of EI in study, show significant loading. Although women entrepreneurs tend to show pro-activeness and competitive aggressiveness strongly, it is innovativeness, risk-taking and autonomy are not good fit. This study proposes a model for training for the women entrepreneurs to improve their level of EI to accelerate the growth of entrepreneurship in the state. This will in turn enhance the overall economic growth of the state.

Volatility Persistence and Fall in Crude Oil Prices: A Study of Indian Stock Market

The deepest downturn has been recently faced by oil industry. This sinking price was first observed in June 2014 and it moved further down. This change affected the investment pattern of many companies and leads to a decline in corporate margins and influence investments in stock markets. Keeping in view this important relationship, here, we propose to study the movement of crude oil prices and volatility spill over affect on Indian Stock market and on Exchange rate. Daily data for the period from June 01, 2014 to August 31, 2016 of stock market, exchange rate and crude oil prices was taken. BSE S&P has been taken to represent Indian stock market. US/INR is used as exchange rate. Beside, doing descriptive statistics, Unit Root, Johansen Cointegration and correlation test, we used Garch (1, 1) model. Preliminary results suggested that apart from different degrees of correlations between exchange rate, stock market and crude oil prices are found to be significant. We found that there are some markets from where there is significant flow of volatility. Affect of historic crude price movement on stock markets is also significant.

Qualitative Variables Affecting Financial Inclusion in India: Exploring Future Direction for Policy Makers

The 12th five year plan of India portrays inclusive growth as one of its key objectives. This makes development of rural India a key component for the overall progress. Financial Inclusion Plan (FIP) is a highly effective way to achieve such inclusive growth. As indicated by researchers, the lacunae of policy implementation are the impediments for faster inclusive financial growth in India. Government wants to increase financial inclusion and measure it on the basis of quantitative variables, reasonable attention has not been given to qualitative variables. This study identifies and analyses the qualitative variables which are the possible blockades in the way of financial inclusion. Responses have been collected, with the help of a structured questionnaire, from 206 respondents from the rural areas of Jammu and Kashmir. It is concluded that there is low to moderate level of financial literacy among the prospective beneficiaries and governments efforts are not sufficient to provide them adequate information. Cumbersome banking procedures, unsuitable products/services, absence of bank branches, illiteracy, social exclusion etc are the other factors that are holding the growth of financial inclusion in India.

Will Strategy Prevail over Economics? An Analysis of Charanka Solar Park in Gujarat

The Charanka Solar Park, one of the world’s largest multi-developer and multi-beneficiary solar parks, is the hub of solar power production in India. It contributes about 6 per cent to the total solar power production in the country. Although solar power is more expensive than the traditional power in the country, its sheen is still not high to make it a potential source to eliminate energy crisis not just in India but all across the world. Researchers are continuously pushing their envelope to explore as to why solar energy should be adopted over traditional energy sources irrespective of the fact that it is more expensive. The war between its financial and strategic viability is going on. Efforts are being made in the direction of reducing its costs and making it as a financially viable and strategically active option. This case is an attempt in the same direction. We are using Charanka Solar Park as a base to explore if there is any future for such projects in the country. There are projects which are no doubt operational but their long-term viability is truly questionable.

Movement of Shariah Indices in Financial Crisis Period: Exploring Evidences from National Stock Exchange of India

We attempted to reveal the co-movement and to model the risk and return of CNX 500 and CNX 500 Shariah of National Stock Exchange of India, with reference to global financial and euro zone crisis. Closing prices from 1st January, 2007 to 30th April 2015 are used to empirically measure the time varying effects. The sample is divided into six periods. Johansen Co-integration, Vector Auto-regression, and Granger Causality are calculated. GMM and E-GARCH Models are also employed. Shariah indices earned more return only in half of the periods, but are lesser volatile. Tests do not show any long term association and causality between both indices. CNX 500 is affected by its own lag but does not affect its Shariah counterparts. Euro and US dollar both are significant to estimate returns, except in some cases. Both indices show leverage effects. This study is done with limited objectives and time period. Results may vary with other indices and time period. The study will help the portfolio managers and investors in revision of their portfolios, if they look to reduce the risk of the portfolios and earn relatively higher returns. As CNX 500 does not share any long term or short term relation with Shariah Index, so it is recommended for diversification even in crises.