M Thenmozhi

We examine intraday volatility spillover and interdependence between spot and futuresin different market conditions over two major events - covid-19 and 2008-09 global financial crisisand assess the evolution of hedging dynamics. Our findings indicate distinct differences and similarities in both the crises. During covid-19, we find evidence of increased symmetry in own-market volatility, decreased duration of bear phase and swift recovery to pre-crisis levels. In both 2008-09 crisis and covid-19 period, we findi) strong interconnectedness between spot and futures volatility spillover effect and the intensity varies widely across up and down trends ii) cross-marketvolatility spillover and correlation from futures to spot is relatively higherand provides stronger hedging opportunities during downtrends. The GARCH-BEKK findings demonstrate the importance of market condition-based time varying covariance estimations.

This paper examines the effectiveness of stock index futures by analyzing the dynamic interactions and causal relationship between speculative type activity and spot market volatility. Evidence for bi-directional information flow between speculative activity and volatility are obtained using VAR methodology. It appears that investors speculate in the futures market, in particular when faced with volatility in the cash market. The fluctuations as a result of speculative activity are decreasing over a period of time, possibly due to the hedging activities taking place in the market. The dynamic interactions between speculative activity and spot volatility shows that index futures are having a stabilizing effect on underlying spot market.

This study investigates the performance of four training algorithms, namely, Standard Backpropagation (SBP), Scaled Conjugate Gradient (SCG), Resilient Backpropgation (RBP) and Levenberg-Marquardt (LM) Backpropagation in forecasting three financial time series, namely, Indian call rates, INR/USD exchange rates and S&P CNX Nifty Index. The models are trained from historical data using six technical indicators. The predicted results show that among the four training algorithms, LM based model outperforms other models when measured on commonly used non-penalty based metrics while SCG based model outperforms the other models when direction and sign based performance metrics are used.

This study explores the impact of home country stability factors (CSF)—political stability, corruption and governance—on mergers and acquisitions (M&A) volume and whether it differs between domestic and cross-border acquisitions. Domestic acquisition volume is mainly driven by low corruption and high governance, despite political instability. Increased governance boosts inbound acquisitions, followed by low corruption and greater political stability. Low corruption drives outbound acquisitions, followed by greater governance and political stability. The effect of CSF on propelling M&A volume varies by institutional setting. Low corruption is a unique factor that enhances a country's competitiveness in the pecking order of M&A.

This article presents an overview of literature on behavioural and experimental asset pricing theory. We systematically review the evolution and current development of behavioural asset pricing models as an alternate approach to asset pricing in financial economics literature. A review and synthesis of research carried out in behavioural finance spreading across theoretical, empirical and experimental approaches are presented to understand the behavioural dimension of pricing of financial assets. From theoretical perspective, behavioural asset pricing models try to adopt additional behavioural variables into asset pricing process. In terms of empirical investigation perspective, it is documented that econometric and computational advancement takes its biggest place ever in financial literature when compared with the other field. Our review underlines the fact that the direction of advancing a methodology is changing from financial literature to economics due to the fact that there is huge account of raw data available to analyze. Future research direction should be judging the empirical power of the asset pricing models and their role in practice for incorporating a new dimension to the model. The distinctiveness of the study is that this is the first attempt to review literature written on behavioural asset pricing models in the form of structural empirical review. In doing so, the historical perspective of the concept and the place it will take in future are clarified and the way further researches will be conducted are explored. JEL: E03, G02, G12

Non-traditional debt instruments, particularly innovative instruments, have been the most preferred choice of firms in capital structure financing. This paper attempts to examine the micro finance factors that influence the firm's choice towards non-traditional debt financing. Various micro finance factors like financial leverage, operating leverage, volatility of earnings, value of collateral assets, non-debt tax shield, profitability, market to book ratio, firm size and firm size relative to economy, interest coverage ratio, price-earnings ratio, bankruptcy cost and cash constraint are identified as the probable discriminating factors. Multiple discriminant analysis shows that financial leverage, non-debt tax shield, profitability, firm size and cash constraint are the most significant factors that discriminate firms using traditional debt financing and those who use nontraditional debt financing. The analysis further reveals that a firm that issues non-traditional debt is characterized by high financial leverage, market to book ratio and bankruptcy cost on the one hand and by low level of volatility of earnings, profitability, Value of collateral assets, non-debt tax shield and cash constraint on the other.

We extend the corporate governance literature by examining the effect of independent directors on firm value in the context of regulatory stipulation, considering all firms listed on the National Stock Exchange from 2004 to 2017. We examined the impact during the pre-and post-regulation period using the difference in difference analysis. The results indicate a positive effect of board independence on firm value. Our results show that the presence of independent directors is high in the post-mandate period compared to the pre-mandate period, indicating that firms are complying with regulations with more than 50% of independent directors on the board. Our results align with resource dependency theory, providing evidence that a higher number of outsider directors on a board acts as an additional resource for firms. When CEO duality is absent, the role of independent directors decreases and consequently the regulatory mandate based on CEO duality is effective. Thus, independent directors are significant providers of resources to a firm's governance in emerging economies, especially in the post-mandate period.

The purpose of this paper is to develop and identify the best hybrid model to predict stock index returns. We develop three different hybrid models combining linear ARIMA and non-linear models such as support vector machines (SVM), artificial neural network (ANN) and random forest (RF) models to predict the stock index returns. The performance of ARIMA-SVM, ARIMA-ANN and ARIMA-RF are compared with performance of ARIMA, SVM, ANN and RF models. The various competing models are evaluated in terms of statistical metrics and trading performance criteria via a trading strategy. The analysis shows that the hybrid ARIMA-SVM model is the best forecasting model to achieve high forecast accuracy and better returns. © 2014 Inderscience Enterprises Ltd.

The study examined the impact of perceived organisational support on in-role performance and extra performance towards supervisors, co-workers and patients. A cross-sectional survey was conducted among medical officers and staff nurses working in primary health centres of Tamilnadu. From the results, it is found that perceived organisational support showed a positive impact of on in-role performance and extra role performance. It is found the extra role performance towards patients is greater compared to other job performance measures. The results of the study emphasise the public health department has to identify and reward substantial performers and review welfare policies that are perceived to be unattractive by healthcare professionals. Copyright © 2013 Inderscience Enterprises Ltd.

Financialisation of commodity futures is becoming a significant change agent in the linkage between spot prices of crude oil and food commodities. Prior research has not examined the impact of cross-market futures prices on food-crude oil spot price nexus. This paper fills this gap by documenting the information transmission from cross-market futures to food and crude oil spot market. Vector error correction model is used to examine the importance of futures price to predict the relationship among crude oil, wheat, maize and soybean spot prices for the sample period 2010-2013. The findings suggest that cross-market futures prices have weakened the magnitude of relationship between spot prices of food and crude oil. The findings have implications for hedgers and speculators for taking their positions in futures market, and for industries which use crude oil and staple food commodities as raw materials.