Lithin B. M.
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Modeling Indian Bank Nifty volatility using univariate GARCH models
Nikhil M. N. , Suman Chakraborty , Lithin B. M. , Sanket Ledwani , Satyakam doi: http://dx.doi.org/10.21511/bbs.18(1).2023.11Banks and Bank Systems Volume 18, 2023 Issue #1 pp. 127-138
Views: 1078 Downloads: 296 TO CITE АНОТАЦІЯThe crumble of financial markets due to the recent crises has wobbled precariousness in the stock market and intensified the returns vulnerability of banking indices. Against this backdrop, this study intends to model the volatility of the Indian Bank Nifty returns using a battery of GARCH specifications. The finding of the present research contributes to the literature in three ways. First, volatility during the sample period, which corresponds to a time of stress (a bear market), is more persistent, with an estimated coefficient of 0.995695. Moreover, when volatility rises, it persists for a long time before returning to the mean in an average of 16 days. Second, for a positive γ, the results insinuate the possibility of an “anti-leverage effect” with a coefficient of 0.139638. Thus, the volatility of the Bank Nifty returns tends to rise in response to positive shocks relative to negative shocks of equal magnitude in India. Finally, the findings demonstrate that EGARCH with Student’s t-distribution offers lower forecast errors in modeling conditional volatility.
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Does the adoption of Ind AS affect the performance of firms in India?
Nikhil M. N. , Suman Chakraborty , Lithin B. M. , Lumen Shawn Lobo doi: http://dx.doi.org/10.21511/imfi.20(2).2023.15Investment Management and Financial Innovations Volume 20, 2023 Issue #2 pp. 171-181
Views: 735 Downloads: 182 TO CITE АНОТАЦІЯThe increasing prevalence of IFRS adoption has resulted in enhanced transparency, accounting quality, and comparability of financial information among firms, especially in emerging markets worldwide, including India. Nonetheless, the question of whether the adoption of IFRS has led to improved firm performance persists. To address this question, this study examines the impact of transitioning from India’s GAAP-based accounting standards to IFRS-converged standards (Ind AS) on non-financial firms’ performance from 2013 to 2022. The empirical findings reveal that the convergence of Indian accounting standards with IFRS significantly improves firm performance, as demonstrated by a positive coefficient of 0.0166 for Ind AS in the fixed-effect model. The study also validates the original empirical findings using the return on equity (ROE) measure of firm performance, which yielded a coefficient of 0.0197, further confirming that the adoption of Ind AS leads to an increase in the performance of Indian firms. These results contribute new insights to the existing IFRS literature and have implications for policymakers and managers.
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