Determinants of liquidity risk: Empirical evidence from Indian commercial banks

This paper aims to examine the impact of the COVID-19 outbreak on Indian firms listed on the NSE and analyze its impact on various sectors. In addition, a sub-sample analysis based on market capitalization was performed to understand the effect of size during extreme events. The sample consisted of 1,335 firms listed on the NSE India. A standard event study outlined by Brown and Warner (1985) was employed to analyze the price impact on the COVID-19 outbreak. The event windows from -10 days to +10 days were selected. The estimation window is 250 days. The Nifty 50 has been chosen as a proxy for market return. The sample firms witnessed a negative impact of the COVID-19 outbreak with a negative CAAR in different event windows. In addition, various sectors are classified according their responsiveness towards the COVID-19 outbreak into three groups: highly negatively affected, moderately negatively affected, and slightly negatively affected. The paper also points out that the pandemic substantially affects the above-median market capitalized firms than the below-median market capitalized firms, which contradicts the size effect phenomenon. The results assist shareholders in managing their portfolios and mitigate the systematic risk of their investments during extreme events such as a pandemic, wars, and others. This study is the first comprehensive analysis of the impact of the COVID-19 outbreak on different sectors in India. It is also the first study to investigate the size effect anomalies during extreme events.

The study aims to synthesize the challenges that retailers are facing during the COVID-19 emergency. The research is definitive, informative, and based on a single design of cross-sectional research. Quantitative data based on the research instrument were produced (a questionnaire). Five hundred responses were collected from employees of major retail stores in India. Retailer performance is considered a dependent variable, whereas employee well-being, customer and brand protection, use of technology, government policies, and supply chain are used as independent variables. The current study results indicated that employee well-being and government policies have a significant positive impact on retailer performance, while customer and brand protection, use of technology, and supply chain have a significant positive impact on retailers’ performance. This study will help retailers develop strategies for their employees to protect them and understand that technology is needed in the new normal times. This study highlights the need to be flexible in executing strategic strategies, but retailers need to develop comprehensive action plans, including selecting managers of initiative and defining goals and deadlines. Provided that retailers’ current reality is different from the old normal, no time is lost in taking audacious action.

The purpose of the paper is to select the right market proxy for calculating the expected return, since critically evaluating proxies or selecting the correct proxy market portfolio is essential for portfolio management because the change in the market portfolio proxy affects returns. In this study, monthly data of equity indices are evaluated to find out the better market proxy. The indices taken are BSE 30 (Sensex), Nifty 50, BSE 100, BSE 200, and BSE 500. The macroeconomic variables used in the study are industrial production index (IIP), consumer price index (CPI), money supply (M1), and exchange rate in India. To avoid the influence of COVID-19, the research period was from January 2013 to December 2019 to critically evaluate these proxies in order to find the most appropriate market proxy. This paper reveals a noteworthy relationship between stock market returns and macroeconomic factors, while suggesting that the BSE 500 is a better choice for all equity indices, as the index also shows a significant relationship with all macroeconomic variables. BSE500 is a composite index comprising all sectors with low, mid and large cap securities, therefore it reflects the impact of macroeconomic factors most efficiently, taking it as a market proxy. This study was carried out in the context of India and can be replicated for other countries.