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Gupta, Kapil
- Pricing Efficiency of Equity Index Option Contracts: Evidence from National Stock Exchange of India
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Authors
Uma Shankar
1,
Kapil Gupta
2
Affiliations
1 Planning Department, Uttar Pradesh, IN
2 Punjab Institute of Management (PIM), I. K. Gujral Punjab Technical University, Main Campus, Jalandhar-Kapurthala Highway, Kapurthala, IN
1 Planning Department, Uttar Pradesh, IN
2 Punjab Institute of Management (PIM), I. K. Gujral Punjab Technical University, Main Campus, Jalandhar-Kapurthala Highway, Kapurthala, IN
Source
Journal of Commerce and Accounting Research, Vol 5, No 1 (2016), Pagination: 1-25Abstract
The present study examines the pricing efficiency of equity index options traded at National Stock Exchange of India by comparing the premium of options contracts traded on NIFTY, BANKNIFTY, CNXIT, NIFTYJUNIOR, and CNX100 indices with their respective theoretical price estimated by using Black-Scholes Model. 91-day T-Bill rate is used as risk-free rate and standard deviation computed on daily returns of the underlying index is used as volatility to estimate the theoretical prices. Pricing efficiency has been tested both for daily closing prices per se as well as for the In-the-Money, At-the-Money, and Out-of-the-Money options contracts.Mean Absolute Errors (MAE), Mean Squared Errors (MSE), Root Mean Squared Errors (RMSE), and Theil's U statistics suggest that the premium of equity index options contracts do not follow Black-Scholes Model.
Keywords
Option Premium, Liquidity, Volatility, Arbitrage, Put-Call-Parity.
- Relationship between Directors’ Diversity and IPO Underpricing:Evidence from India
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Authors
Affiliations
1 Department of Management, I.K Gujral Punjab Technical University, Jalandhar, Punjab, IN
1 Department of Management, I.K Gujral Punjab Technical University, Jalandhar, Punjab, IN
Source
Journal of Commerce and Accounting Research, Vol 7, No 1 (2018), Pagination: 30-39Abstract
The present study attempts to examine the relationship between the presence of foreign directors on the board of the newly listing companies and Initial Public Offerings (IPOs) on listing day returns. Sample of 367 IPOs issued in India from 2004 to 2014 are examined and the average initial excess return which measures IPO underpricing is found to be 21 percent. Taking lead from existing literature on IPO underpricing, various board related, issue related and company related variables are examined and a significant relationship of issue size, level of subscription, and professional associations of the directors with the initial day returns is observed in this study. Furthermore, it is found that only 28% of the sample companies have foreign directors present on their board at the time of IPO. The findings imply that the presence of the foreign directors on board does not curtail IPO underpricing.Keywords
Foreign Directors, Initial Public Offering, Underpricing, India.- Impact of Merger Announcements on Stock Returns of Acquiring Firms:Evidence from India
Abstract Views :206 |
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Authors
Pinky Mall
1,
Kapil Gupta
1
Affiliations
1 Department of Management, I.K. Gujral Punjab Technical University, Kapurthala, Punjab, IN
1 Department of Management, I.K. Gujral Punjab Technical University, Kapurthala, Punjab, IN
Source
Journal of Commerce and Accounting Research, Vol 8, No 1 (2019), Pagination: 46-53Abstract
Present study examines the impact of merger events on stock returns of acquiring firms. The sample size is composed of 428 merger events that took place during 2008 to 2015 other than financial sector and agricultural mergers. Event study methodology has been applied by using seventeen days event window i.e. -8 to +8 days stock returns. Results indicate that merger deals do not bring any abnormal changes in stock returns pre and post event date, which implies that traders are not able to gain abnormal returns in pre-post event period. These findings are consistent with Bradley et al., (1988); Servaes, (1991); Mulherin and Boone, (2000), Khan (2011), Kemal (2011), Khanal et al. (2014). The findings obtained from this research may be helpful for researchers, fund managers, market regulators, investment managers etc.Keywords
Merger, Acquisition, Stock Return, Event Study Analysis, Average Abnormal Return, Cumulative Average Abnormal Return.References
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- Testing the Hedging Effectiveness of Indian Equity and Currency Futures Contracts
Abstract Views :166 |
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Authors
Mandeep Kaur
1,
Kapil Gupta
1
Affiliations
1 Department of Management, I. K. Gujral Punjab Technical University, Kapurthala, Punjab, IN
1 Department of Management, I. K. Gujral Punjab Technical University, Kapurthala, Punjab, IN