Refine your search
Collections
Co-Authors
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z All
Sen, Som Sankar
- On the Daily Returns & Conditional Volatility of S&P CNX NSE Nifty: Impact of Recent Global Recession
Abstract Views :286 |
PDF Views:2
Authors
Affiliations
1 Department of Commerce, Rabindra Mahavidyalaya, Champadanga, Hooghly, West Bengal, IN
1 Department of Commerce, Rabindra Mahavidyalaya, Champadanga, Hooghly, West Bengal, IN
Source
Journal of Commerce and Accounting Research, Vol 3, No 3 (2014), Pagination: 19-24Abstract
The present study has tried to explore a few stylized facts regarding the volatility of daily returns of S&P CNX NSE NIFTY. Highly significant JB statistic confirms that the return series is not normally distributed. Moreover, clear evidence of volatility clustering could be observed during the study period. Furthermore EGARCH (1, 1) model has been used to compute conditional variance of the NIFTY daily returnsof the sample period. The empirical results confirm that above model is a good fit and it clearly indicates that volatility in NSE persists over a long period. The empirical results establish that news asymmetry and Leverage Effect are present in this market. Finally, it has been clearly established that the recent sub-prime crisis has significant effect on the daily returns and volatility of S&P CNX NSE NIFTY.Keywords
NIFTY, EGARCH (1,1), Sub-Prime Crisis.
References
- Banerjee, A., & Sarkar, S. (2006). Modeling daily volatility of the Indian stock market using intraday data, Working Paper No. 588. [Online] Retrieved from http://www.iimcal. ac.in/res/upd%5CWPS%20588.pdf.
- Batra, A. (2004). Stock return volatility patterns in India, Working Paper no. 124 [Online] Rerievedfrom http:// www.icrier.org/pdf/wp124.pdf.
- Black, F. (1976). Studies of stock price volatility changes. Proceedings of the 1976 meetings of the American Statistical Association, Business and Economics Statistics Section. Washington, DC: American Statistical Association, 177-181.
- Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992). ARCH modeling in finance. Journal of Econometrics, 52(1/2), 5-59.
- Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327.
- Brailsford, T. J., & Faff, R. W. (1996). An evaluation of volatility forecasting techniques. Journal of Banking and Finance, 20, 419-438.
- Brooks, C. (1998). Predicting stock market volatility: Can market volume help? Journal of Forecasting, 17, 59-80.
- Fama, E. (1965). The behaviour of stock market prices. Journal of Business, 38(1), 34-105.
- Goudarzi, H., & Ramanaraynan, C. S. (2011). Modeling asymmetric volatility in the Indian stock market. International Journal of Business and Management, 6(3), 221-231.
- Goyal, R. (1995).Volatility in stock market returns.Reserve Bank of India Occasional Papers, 16(3), 175-195.
- Joshi, P., & Pandya, K. (2008). Exploring movements of stock market volatility in India. TheIcfai Journal of Applied Finance, 14(3), 5-32.
- Karmakar, M. (2005). Modeling conditional volatility of the Indian stock markets. Vikalpa, 30(3), 21-37.
- Kaur, H. (2004). Time varying volatility in the Indian stock market. Vikalpa, 29(4), 25-42.
- Kim, D., & Kon, S. (1994). Alternative models for the conditional heteroscedasticity of stock returns. Journal of Business 67, 563-598.
- Kumar, K., & Mukhopadhyay, C. (2002). A case of US and India. Paper published as part of the NSE Research Initiative, Retrieved from www.nseindia.com.
- MacKinnon, J. G. (1996). Numerical distribution functions for unit ischolar_main and cointegration tests. Journal of Applied Econometrics, 11, 601-618.
- Mandelbrot, B. (1963). The variation of certain speculative prices. Journal of Business, 36, 394-419.
- Nelson, D. B. (1991).Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59, 347-370.
- Pattanaik, S., & Chatterjee, B. (2000). Stock returns and volatility in India: An empirical puzzle? Reserve Bank of India Occasional Papers, 21(1), Summer, 37-60.
- Phillips, P. C. B., & Perron, P. (1988). Testing for a unit ischolar_main in time series regression. Biometrika, 75, 335-346.
- Reddy, Y. S. (1997-98). Effects of microstructure on stock market liquidity and volatility. Prajnan, 26(2), 217-231.
- Roy, M. K., & Karmakar, M. (1995). Stock market volatility: Roots and results. Vikalpa, 20(1), 37-48.
- Schwert, W. G. (1989). Why does stock market volatility change over time?. Journal of Finance, 44(5), 1115-1151.
- Sen, S. S (2010). On the volatility of S & P CNX NIFTY. Indian Journal of Finance, 4(5), 53-57.
- Sen, S. S., & Bandyopadhyay, T. (2012). Characteristics of conditional volatility of BSE SENSEX: The impact of information asymmetry and leverage. South Asian Journal of Management, 19(4), 27-44
- Board Gender Diversity and Firm’s Performance:An Evidence from India
Abstract Views :209 |
PDF Views:0
Authors
Affiliations
1 The University of Burdwan, West Bengal, IN
2 Shree Agrasain College, Liluah, West Bengal, IN
1 The University of Burdwan, West Bengal, IN
2 Shree Agrasain College, Liluah, West Bengal, IN
Source
Journal of Commerce and Accounting Research, Vol 8, No 1 (2019), Pagination: 35-45Abstract
In the recent past, board gender diversity grabs the attention of many researchers in the field of corporate finance. Prior literature suggests gender diversity in the boardroom significantly improves corporate governance and had a favourable impact on firm’s performance. However, gender diversity in the boardrooms and its linkage with firm’s performance is one of the debatable issues since the findings of empirical evidence are diverse across the countries. The main thrust of this study is to investigate the linkage between gender diversity in the boardroom and firm’s performance. A sample size of top 139 non-financial companies listed in NSE for a time period of five years, i.e., from 2011–12 to 2015–16 is used in this monograph. In order to investigate the linkage between gender diversity in the boardroom and the firm’s performance, the study employed Random-Effect GLS Regression Model as suggested by the Hausman Test. The findings of the study reveals that there lay a positive association between Proportion of Independent Female Directors on the Board and the Firm’s Performance (MVANW) after controlling the variables BOARD SIZE, FIRM SIZE, and Leverage (DER).Keywords
Board Composition, Board Gender Diversity, Female Directorship, Firm’s Performance, Random-Effect GLS Regression Model, Control Variables, India.References
- Ahern, K. R., & Dittmar, A. (2012). The changing of the boards: The impact on firm valuation of mandated female board representation. The Quarterly Journal of Economics, 127(1), 137–197.
- Alm, M., & Winberg, J. (2016). How does gender diversity on corporate boards affect the firm financial performance? An empirical investigation of Swedish OMX-listed firms (Bachelor’s Thesis), University of Gothenburg, School of Business, Economics and Law. Retrieved from https://gupea.ub.gu.se/bitstream/2077/41620/1/gupea_2077_41620_1.pdf
- Appiadjei, E. A., Ampong, G. O., & Nsiah, F. (2017). Board, gender diversity and firm performance. International Journal of Economics, Commerce and Management, 5(10), 1–16.
- Bianco, M., Ciavarella, A., & Signoretti, R. (2011). Women on boards in Italy. Working Paper No. 70, Quaderni di Finanza Consob, Rome. Retrieved from http://www.consob.it/documents/11973/204072/qdf70.pdf/92de8d75-ea5b-4d0e-aeac-6b91ef866ebc
- Brigham, E. F., & Houston, J. F. (2015). Fundamentals of financial management. Cengage Learning India Private Limited, India.
- Campbell, K., & Minguez-Vera, A. (2008). Gender diversity in the boardroom and firm financial performance. Journal of Business Ethics, 83(3), 435–451.
- Carter, D. A., Simkins, B. J., & Simpson, W. G. (2003). Corporate governance, board diversity, and firm value. Financial Review, 38(1), 33–53.
- Chen, J., Leung, W. S., & Evans, K. P. (2015). Board gender diversity, innovation and firm performance. Working Paper, Cardiff Business School, Cardiff University. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2607295
- Christiansen, L., Lin, H., Pereira, J., Topalova, P., & Turk, R. (2016). Gender diversity in senior positions and firm performance: Evidence from Europe. IMF Working Paper, European Department. Retrieved from https://www.imf.org/external/pubs/ft/wp/2016/wp1650.pdf
- Daunfeldt, S. O., & Rudholm, N. (2012). Does gender diversity in the boardroom improve firm performance? HUI Working Papers No. 60, HUI Research. Retrieved from http://www.hui.se/MediaBinaryLoader.axd?MediaArchive_FileID=6eb6da15-a8e64239-8581-ca72573124d0&FileName=HUIwp60.pdf&MediaArchive_ForceDownload=true
- Erhardt, N. L., Werbel, J. D., & Shrader, C. B. (2003). Board of director diversity and firm financial performance. Corporate Governance: An International Review, 11(2), 102–111.
- Fan, P. S. (2012). Is board diversity important for firm performance and board independence? An exploratory study of Singapore listed companies. MAS Staff Paper No. 52, The Monetary Authority of Singapore. Retrieved from http://www.mas.gov.sg/~/media/resource/publications/staff_papers/Staff%20Paper%20No52.pdf
- Iren, P. (2016). Gender diversity of boardrooms and firm financial performance. Risk Governance & Control: Financial Markets & Institutions, 6(3), 28–33.
- Jhunjhunwala, S., & Mishra, R. K. (2012). Board diversity and corporate performance: The Indian evidence. The IUP Journal of Corporate Governance, 11(3), 71–79.
- Johl, S. K., Kaur, S., & Cooper, B. J. (2015). Board characteristics and firm performance: Evidence from Malaysian public listed firms. Journal of Economics, Business and Management, 3(2), 239–243.
- Khan, H., Hussain, R., & Marimuthu, M. (2017). Diversity on corporate boards and firm performance: An empirical evidence from Malaysia. American Journal of Social Sciences and Humanities, 2(1), 1–8.
- Kiran, A. (2014). Association between gender diversity in board composition and firm performance: Empirical evidence from Finland (Master’s Thesis), University of Oulu, Oulu Business School. Retrieved from http://jultika.oulu.fi/files/nbnfioulu-201402131105.pdf
- Laible, M. C. (2013). Gender diversity in top management and firm performance: An analysis with the IABEstablishment Panel, CAED Conference Paper (pp.1-32), Atlanta.
- Lee-Kuen, I. Y., Sok-Gee, C., & Zainudin, R. (2017). Gender diversity and firms’ financial performance in Malaysia. Asian Academy of Management Journal of Accounting and Finance, 13(1), 41–62.
- Luckerath-Rovers, M. (2013). Women on boards and firm performance. Journal of Management and Governance, 17(2), 491–509.
- Marinova, J., Plantenga, J., & Remery, C. (2010). Gender diversity and firm performance: Evidence from Dutch and Danish boardrooms. Tjalling C. Koopmans Institute Discussion Paper Series, 10(3), 1–28.
- Randøy, T., Thomsen, S., & Oxelheim, L. (2006). A Nordic perspective on corporate board diversity. Working Paper, Nordic Innovation Centre, Oslo. Retrieved from http://nordicinnovation.org/Global/_Publications/Reports/2006/The%20performance%20effects%20of%20board%20diversity%20in%20Nordic%20Firms.pdf
- Rose, C. (2007). Does female board representation influence firm performance? The Danish evidence. Corporate Governance: An International Review, 15(2), 404–413.
- Sánchez, M. S. (2017). Women on corporate boards and firm performance: Evidence from Spain. Working Paper, Universitat Autonoma de Barcelona. Retrieved from https://ddd.uab.cat/pub/tfg/2017/179991/TFG_msanchezsegura.pdf
- Schwizer, P., Soana, M., & Cucinelli, D. (2012). The relationship between board diversity and firm performance: The Italian evidence. Retrieved from http://www.adeimf.it/new/images/stories/Convegni/Novara/Soana_Schwizer_Cucinelli_Board_diversity.pdf
- Srinidhi, B., Gul, F. A., & Tsui, J. (2011). Female directors and earnings quality. Contemporary Accounting Research, 28(5), 1610–1644.
- Stigring, C., & Lyxell, F. (2011). Is there a business case for gender diversity? Industriell och Finansiell Ekonomi, 10/11(44), 1–26.
- Ujunwa, A., Nwakoby, I., & Ugbam, C. O. (2012). Corporate board diversity and firm performance: Evidence from Nigeria. Corporate Ownership & Control, 9(2), 216–226.
- Voß, J. (2015). The impact of gender diverse boards on firm financial performance in Norway. IBA Bachelor Thesis Conference No. 5, University of Twente, Enschede, The Netherlands.
- Wellalage, N. H., & Locke, S. (2013). Women on board, firm financial performance and agency costs. Asian Journal of Business Ethics, 2(2), 113–127.