Search results for: Sunil S. Poshakwale

Items from 1 to 12 out of 12 results

article

Do investors gain from forecasting the asymmetric return co‐movements of financial and real assets?

Anandadeep Mandal, Sunil S. Poshakwale, Gabriel J. Power

International Journal of Finance & Economics > 26 > 3 > 3246 - 3268

Recent research on asset allocation emphasizes the importance of considering non‐traditional asset classes such as commodities and real estate—the former for their diversification properties, and the latter due to its importance in the average investor's portfolio. However, modelling and forecasting asset return co‐movements is challenging because the dependence structure is dynamic, regime‐specific,...

article

Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market

Sunil S. Poshakwale, Jude W. Taunson, Anandadeep Mandal, Michael Theobald

Review of Quantitative Finance and Accounting > 2019 > 53 > 4 > 1135-1163

We provide robust evidence of the impact on spot market liquidity and the pricing efficiency of FBM-FKLI index futures following the introduction of lower tick sizes for the stocks listed in the Bursa Malaysia. Our findings show a significant increase in unexpected trading volume and the speed of mean reversion of the futures mispricing. We find that the increase in the unexpected trading volume of...

article

What drives asymmetric dependence structure of asset return comovements?

Sunil S. Poshakwale, Anandadeep Mandal

International Review of Financial Analysis > 2016 > 48 > C > 312-330

We examine the determinants of return comovements of three different asset classes and provide critical insights on the key macroeconomic and non-macroeconomic factors which drive the asset return comovements during economic contraction and expansion regimes. We show that amongst the macroeconomic factors, interest rate and inflation have significant effect on the return comovements during the economic...

article

Determinants of asymmetric return comovements of gold and other financial assets

Sunil S. Poshakwale, Anandadeep Mandal

International Review of Financial Analysis > 2016 > 47 > Complete > 229-242

Using conditional time-varying copula models, we characterize the dependence structure of return comovements of gold and other financial assets (stocks, bonds, real estate and oil) during economic expansion and contraction regimes. We also investigate which key macroeconomic and non-macroeconomic variables significantly impact the asset return comovements using a two stage Markov Switching Stochastic...

article

Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market

Sunil S. Poshakwale, Anandadeep Mandal

Review of Quantitative Finance and Accounting > 2017 > 48 > 4 > 859-892

We study the economic and non-economic sources of stock return comovements of the emerging Indian equity market and the developed equity markets of the US, UK, Germany, France, Canada and Japan. Our findings show that the probability of extreme comovements in the economic contraction regime is relatively higher than in the economic expansion regime. We show that international interest rates, inflation...

article

Transparency in IPO mechanism: Retail investors’ participation, IPO pricing and returns

Suman Neupane, Sunil S. Poshakwale

Journal of Banking and Finance > 2012 > 36 > 7 > 2064-2076

Using data from the transparent Indian IPO setting, the paper examines retail investors’ participation, their influence on IPO pricing and the returns they make on IPO investment. The transparency in the mechanism, which allows investors to observe prior investors’ participation, leads to demand which is concentrated at either one or two points of the offer price range. Analysis of investors’ demand...

article

Country-specific equity market characteristics and foreign equity portfolio allocation

Chandra Thapa, Sunil S. Poshakwale

Journal of International Money and Finance > 2012 > 31 > 2 > 189-211

Do country-specific equity market characteristics explain variations in foreign equity portfolio allocation? We study this question using comprehensive foreign equity portfolio holdings data and different measures of country-specific equity market factors for 36 host countries. Employing panel data econometric estimations, our investigation shows that foreign investors prefer to invest more in larger...

article

Competitiveness and Efficiency of the Banking Sector and Economic Growth in Egypt

Sunil S. Poshakwale, Binsheng Qian

African Development Review > 23 > 1 > 99 - 120

Abstract: This paper investigates the impact of financial reforms on competitiveness and production efficiency of the banking sector, as well as the short‐term and long‐term impact on economic growth, in Egypt during 1992–2007. The results suggest that the reforms have a positive and significant effect on competitiveness and production efficiency. Also, the evidence shows that state‐owned banks are...

article

Investor protection and international equity portfolio investments

Sunil S. Poshakwale, Chandra Thapa

Journal of International Financial Markets, Institutions & Money > 2011 > 22 > 2 > 116-129

The paper examines the influence of investor protection on international equity portfolio investments. Using bilateral portfolio holdings data for 36 countries for 2001–2006, the study demonstrates that the investor protection measures are important determinants of foreign equity portfolio investments. The findings suggest that by improving the quality and enforcement efficiency of legal protections...

article

International equity portfolio allocations and transaction costs

Chandra Thapa, Sunil S. Poshakwale

Journal of Banking and Finance > 2010 > 34 > 11 > 2627-2638

In spite of the critical role of transaction cost, there are not many papers that explicitly examine its influence on international equity portfolio allocation decisions. Using bilateral cross-country equity portfolio investment data and three direct measures of transaction costs for 36 countries, we provide evidence that markets where transaction costs are lower attract greater equity portfolio investments...

article

Stock index futures hedging in the emerging Malaysian market

Wee Ching Pok, Sunil S. Poshakwale, J.L. Ford

Global Finance Journal > 2009 > 20 > 3 > 273-288

The paper investigates hedging effectiveness of dynamic and constant models in the emerging market of Malaysia where trading information is not readily available and market liquidity is lower compared to the developed equity markets. Using daily data from December 1995 to April 2001 and bivariate GARCH(1,1) and TGARCH models, the paper uses differing variance–covariance structures to obtain hedging...

article

The dynamics of volatility transmission and information flow between ADRs and their underlying stocks

Sunil S. Poshakwale, Katty Pérez Aquino

Global Finance Journal > 2008 > 19 > 2 > 187-201

This research examines the dynamics of volatility transmission and information flow between ADRs and the underlying stocks. Using a bivariate GARCH model with BEKK parameterisation, the study investigates how changes in volatility in the ADR market affect the volatility in the underlying equity market and vice versa. The findings suggest a bidirectional volatility transmission and information flow...

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Keywords

ASSET RETURN COMOVEMENTS (3)
MARKOV SWITCHING STOCHASTIC VOLATILITY MODEL (3)
PANEL DATA MODELS (2)
ADRS (1)
ASSET ALLOCATION (1)
BIVARIATE GARCH AND TGARCH (1)
COPULA (1)
COPULA MODELS (1)
CO‐MOVEMENT (1)
CROSS-LISTED STOCKS (1)
DEPENDENCE STRUCTURE (1)
DEVELOPED AND DEVELOPING COUNTRIES (1)
DEVELOPED AND EMERGING MARKETS (1)
ECONOMIC AND NON-ECONOMIC SOURCES (1)
ECONOMIC VALUE ADDED (1)
EMERGING INDIAN EQUITY MARKET (1)
EMERGING MARKETS (1)
FIXED EFFECT MODELS (1)
FORECAST (1)
FORECASTING (1)
FOREIGN EQUITY PORTFOLIO ALLOCATIONS (1)
GARCH (1)
GOLD (1)
INDEX FUTURES (1)
INFORMATION FLOW (1)
INITIAL PUBLIC OFFERINGS (1)
INTERNATIONAL EQUITY ALLOCATION (1)
INTERNATIONAL EQUITY PORTFOLIO INVESTMENTS (1)
INVESTOR PROTECTION (1)
IPO PRICING (1)
MACRO AND NON-MACROECONOMIC DETERMINANTS (1)
MACROECONOMIC VARIABLES (1)
MALAYSIAN EMERGING MARKET (1)
MARKET MICROSTRUCTURE (1)
MARKOV MODELS (1)
MEAN REVERSION (1)
PORTFOLIO DIVERSIFICATION (1)
PORTFOLIO HEDGING (1)
PORTFOLIO OPTIMIZATION (1)
REGIMES (1)
RETAIL INVESTORS (1)
SPEED OF ADJUSTMENT (1)
SPOT AND FUTURES VOLATILITY (1)
STOCK MARKET DEVELOPMENT (1)
TIME-VARYING CONDITIONAL COPULA (1)
TRANSACTION COSTS (1)
TRANSPARENCY (1)
VARIANCE REDUCTION (1)
VOLATILITY (1)
VOLATILITY TRANSMISSION (1)
WINNER’S CURSE (1)
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Elsevier (8)
Springer (2)
Wiley (2)

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Search results for: Sunil S. Poshakwale

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