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Table of Contents
Intro; Preface; Contents; About the Author; Abbreviations; Capital Markets Operation; 1 Understanding the Behaviour of Stock Market; Introduction; Preferences; Psychological Biases; Heuristics; Human Tendency or Self-deception; Conclusion; Annexure: Market Anomalies; References; 2 Clearance and Settlement Process; Introduction; Literature Review; Research Methodology; Dematerialization; According to ISMR; Linkages with Clearing System; Integration with Theory; Rolling Settlement and Settlement Cycle; Straight-Through Processing; Integration with Theory; Deferral Products; Risk Management
Integration with TheoryConclusion; Appendix 1: Major Redesign Events; References; 3 Stock Market Operations and Long-Run Reversal Effect; Introduction; Literature Review; Empirical Evidence of Long-Run Reversal Effect; Alternative Explanation of Long-Run Return Reversal Effect; Data and Methodology; Data Description; Methodology; Empirical Results; Descriptive Statistics of Portfolios; Market-Adjusted Returns and Long-Run Return Reversal Effect; Seasonality in Long-Run Contrarian Profits; Risk-Adjusted Long-Run Contrarian Profits; Other Sources of Risk; Multivariate Risk-Adjusted Approach
Conclusion and ImplicationsReferences; 4 Stock Markets' Conditions and Investment Decisions; Introduction; Literature Review; Overreaction and Momentum Effect: An Overview; Sources of Contrarian and Momentum Profits; Data and Methodology; Empirical Results; Existence of Momentum and Overreaction Effect in the Indian Stock Market; Market States and Investment Strategies; Market State and Momentum Profits; Interaction Between Market State, Size and Investment Strategies; Market-Dependent Risk-Adjusted Returns; Discussion; Conclusion; References; 5 Stock Markets Overreaction; Introduction
Literature ReviewOverreaction and Momentum Effect; Rational Sources of Contrarian and Momentum Profits; Behavioural Finance: A New Approach; Data and Methodology; Empirical Results; Existence of Momentum and Overreaction Effect in Indian Stock Market; Robustness Test; Evaluation of Behaviour Explanation for Momentum and Overreaction Effect; Conclusion; References; Global Markets and Investment Decisions; 6 Calendar Anomalies in Stock Markets; Introduction; Data and Methodology; Empirical Findings; Day-of-the-Week Effect; Conclusion; References; 7 Stock Market Return Volatility; Introduction
Review of LiteratureResearch Methodology; Empirical Findings; Preliminary Results; Test for Cross-Relation in Stock Returns; Forecasting of Volatility Fitting of GARCH(1,1) Model; Diagnostic Testing; Measurement of Asymmetric Volatility; Relationship Between Stock Returns and Conditional Volatility, and Standardized Residuals; Summary and Implication of the Study; References; 8 Stock Markets' Instability, Integration and Volatility; Introduction; South Asia: Current State of Art; An Overview of South Asian Stock Markets; Data Source, Methods and Properties of Data; Data Source
Integration with TheoryConclusion; Appendix 1: Major Redesign Events; References; 3 Stock Market Operations and Long-Run Reversal Effect; Introduction; Literature Review; Empirical Evidence of Long-Run Reversal Effect; Alternative Explanation of Long-Run Return Reversal Effect; Data and Methodology; Data Description; Methodology; Empirical Results; Descriptive Statistics of Portfolios; Market-Adjusted Returns and Long-Run Return Reversal Effect; Seasonality in Long-Run Contrarian Profits; Risk-Adjusted Long-Run Contrarian Profits; Other Sources of Risk; Multivariate Risk-Adjusted Approach
Conclusion and ImplicationsReferences; 4 Stock Markets' Conditions and Investment Decisions; Introduction; Literature Review; Overreaction and Momentum Effect: An Overview; Sources of Contrarian and Momentum Profits; Data and Methodology; Empirical Results; Existence of Momentum and Overreaction Effect in the Indian Stock Market; Market States and Investment Strategies; Market State and Momentum Profits; Interaction Between Market State, Size and Investment Strategies; Market-Dependent Risk-Adjusted Returns; Discussion; Conclusion; References; 5 Stock Markets Overreaction; Introduction
Literature ReviewOverreaction and Momentum Effect; Rational Sources of Contrarian and Momentum Profits; Behavioural Finance: A New Approach; Data and Methodology; Empirical Results; Existence of Momentum and Overreaction Effect in Indian Stock Market; Robustness Test; Evaluation of Behaviour Explanation for Momentum and Overreaction Effect; Conclusion; References; Global Markets and Investment Decisions; 6 Calendar Anomalies in Stock Markets; Introduction; Data and Methodology; Empirical Findings; Day-of-the-Week Effect; Conclusion; References; 7 Stock Market Return Volatility; Introduction
Review of LiteratureResearch Methodology; Empirical Findings; Preliminary Results; Test for Cross-Relation in Stock Returns; Forecasting of Volatility Fitting of GARCH(1,1) Model; Diagnostic Testing; Measurement of Asymmetric Volatility; Relationship Between Stock Returns and Conditional Volatility, and Standardized Residuals; Summary and Implication of the Study; References; 8 Stock Markets' Instability, Integration and Volatility; Introduction; South Asia: Current State of Art; An Overview of South Asian Stock Markets; Data Source, Methods and Properties of Data; Data Source