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In order to capture the volatility and asymmetric transformation effect in Indian stock and foreign exchange market, two exchange rates [US Dollar (USD) and Euro] were tested with stock index (SENSEX). The study focused on the 2008 US subprime financial crisis period and analyzed data for the two sub periods like pre subprime and post subprime crisis period. The whole of the study period covers from...
The informational efficiency is the central backdrop among researchers in the quest of behavioural finance since Fama (J Financ 25:383–417, 1970). The succession of time has witnessed the dramatic transformation in the field of global stock markets over the years, and subsequently the liberalization–privatization–globalization played the role of catalyst to form the global stock market convergence...
The present study investigates various aspects of volatility behaviour of BRIC/BRICS nations in varying time regimes. The study has been divided into three regimes where the first regime represents the pre-formation period, the second regime signifies post-formation period, and the third regime symbolizes post-formation period after the entry of South Africa. CUSUMSQ test has been applied in the study...
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