http://dspace.iimk.ac.in:80/xmlui/handle/2259/380 This section is mainly deals with the publications of IIMK Community in the area of Financial Management 2026-05-12T13:18:34Z http://dspace.iimk.ac.in:80/xmlui/handle/2259/1086 Three Essays on Indian Equity Options Market Abhishek, Kumar “Are ‘options’ performative?” has incited much interest but also some puzzlement and considerable confusion among researchers. The purpose of this thesis is to examine from the focal point of performativity the economic significance of options with respect to the Indian market. Each state is critical in the economy in the sense that all of the states must be spanned (by contingent claims) to attain full Pareto efficiency (Ross, 1976). A sufficient condition for this to be true is that for each state there is some individual who values wealth in that state (and is not satiated) and the system should have ample opportunities to trade and price various kinds of risks (Malkiel, &Fama, 1970). The possibility of writing option contracts opens up new spanning opportunities. As there are only a finite number of marketed capital assets, stocks, bonds; which are referred as ‘primitives’, there can be infinite number of options or derivative that the primitives may generate. Therefore, to attain efficiency in competitive equilibrium in the absence of complete markets, simple options have considerable power to accomplish that(Ross, 1976). Also, options are associated with greater information production, lower transaction costs, greater financial leverage, an absence of short-sale constraints, and possibility to bet on volatility only (Back, 1993; Mayhew, Sarin, &Shastri, 1995)... Research Advisory Committee: Prof. S S S Kumar (Chair-person), Prof. Sony Thomas (Member), Prof. Kausik Gangopadhyay (Member):: Hardcopy of the thesis is available in the library. Please contact the help desk for reference. 2017-01-01T00:00:00Z http://dspace.iimk.ac.in:80/xmlui/handle/2259/1002 The determinants of currency derivatives usage among Indian non-financial firms: An empirical study Praveen Bhagawan, M.; Jijo Lukose, P.J. Purpose – Theoretical studies suggest that hedging helps firms to reduce their financial distress costs and under investment problem especially if the markets are imperfect. Hence hedging, through the use of currency derivatives, is one of the important financial policies for firms. The purpose of this paper is to empirically examine the determinants of derivatives usage by Indian firms using financial disclosures on currency derivatives by non-financial constituents of S&P CNX 500 for 2009. Design/methodology/approach – We manually collect the data on foreign currency derivatives from firms’ annual reports for 2009 and then follow Haushalter’s (2000) approach to examine the determinants of firms’ decision to hedge. A firm can make its hedging decision at once, deciding whether to hedge and how much to hedge. Given the nature of dependent variable that is censored, it is appropriate to use Tobit regression. A firm can also decide its hedging decision in two steps by deciding first on whether to hedge and later how much to hedge. The former is modelled by probit regression and later by conditional regression. Findings – Our empirical evidence suggests that forwards are the main instruments for managing currency risk followed by options and swaps. The objectives, in the order of priority, are reduction in exposure associated with foreign currency receivables, foreign currency long-term loans and foreign currency payables. Firm’s decision to hedge is positively related to size, foreign exchange exposure and leverage, while negatively related to liquidity and investment opportunities. We find evidence of higher derivative usage by firms with both higher currency risk and higher financial distress costs. Practical implications – The findings of this paper will help corporates, researchers and regulators to understand firms’ motives behind hedging. Originality/value – This is the first empirical study that examines the determinants of firm’s decision to hedge and the extent of hedging in the context of emerging economies like India. Studies in Economics and Finance, Vol. 34 Issue: 3, pp.363-382, https://doi.org/10.1108/SEF-09-2014-0172 Permanent link to this document: https://doi.org/10.1108/SEF-09-2014-0172 2016-05-12T00:00:00Z http://dspace.iimk.ac.in:80/xmlui/handle/2259/943 Dynamic Linkages between Gold and Equity Prices: Evidence from Indian Financial Services and Information Technology Companies Shubhasis, Dey; Aravind, Sampath In this paper, we use multivariate GARCH models to analyze dynamic linkages between gold and equity price returns. We model dynamic conditional correlations and volatility spillovers between these assets. Our results indicate that spot gold can be an effective hedge against stock prices. A $1 long position in the NIFTY Financial Services index can be hedged for 12 cents with a short position in spot gold and a $1 long position in the NIFTY Information Technology index can be hedged for 5 cents with a short position in spot gold. Gold also seems to act as a safe haven asset during the Global Financial Crisis period between 2007 and 2009. Our results suggest that crisis or not a prudent investor should allocate around 30 per cent of her investible assets in gold within a gold/stock portfolio. Given that in India around 41% of the population is still without access to banking services and are hence deprived of interest-earning deposits, it is not very surprising to find gold’s optimal portfolio weight to be as high as 30 per cent. * Shubhasis Dey is an Associate Professor in Economics at the Indian Institute of Management Kozhikode, Kozhikode, India. IIMK Campus P.O., Kozhikode, Kerala 673570, India; Email: s.dey@iimk.ac.in; Phone Number (+91) 4952809115.  Aravind Sampath is an Assistant Professor in Finance at the Indian Institute of Management Kozhikode, Kozhikode, India. IIMK Campus P.O., Kozhikode, Kerala 673570, India; Email: aravinds@iimk.ac.in Phone Number (+91) 4952809232. 2017-03-01T00:00:00Z http://dspace.iimk.ac.in:80/xmlui/handle/2259/396 Forecasting Volatility – Evidence from Indian Stock and Forex Markets Kumar, S.S.S. Volatility forecasting is an important area of research in financial markets and lot of effort has been expended in improving volatility models since better forecasts translate in to better pricing of options and better risk management. In this direction this paper attempts to evaluate the ability of ten different statistical and econometric volatility forecasting models in the context of Indian stock and forex markets. These competing models are evaluated on the basis of two categories of evaluation measures – symmetric and asymmetric error statistics. Based on an out of the sample forecasts and a majority of evaluation measures we find that GARCH (4, 1) and EWMA methods will lead to better volatility forecasts in the Indian stock market and the GARCH (5, 1) will achieve the same in the forex market. The same models perform better on the basis of asymmetric error statistics also. 2006-01-01T00:00:00Z