Capital markets and investment decision making

목차 (Table of Contents)

• CONTENTS
• Part Ⅰ Capital Markets Operation
• 1 Understanding the Behaviour of Stock Market = 3
• Introduction = 3
• Preferences = 4
• Psychological Biases = 5
• Heuristics = 6
• Human Tendency or Self-deception = 8
• Conclusion = 9
• Annexure : Market Anomalies = 9
• References = 10
• 2 Clearance and Settlement Process = 13
• Introduction = 13
• Literature Review = 14
• Research Methodology = 15
• Dematerialization = 16
• Linkages with Clearing System = 17
• Rolling Settlement and Settlement Cycle = 18
• Straight-Through Processing = 22
• Deferral Products = 24
• Risk Management = 25
• Integration with Theory = 27
• Conclusion = 28
• Appendix 1 : Major Redesign Events = 29
• References = 30
• 3 Stock Market Operations and Long-Run Reversal Effect = 33
• Introduction = 33
• Literature Review = 34
• Empirical Evidence of Long-Run Reversal Effect = 34
• Alternative Explanation of Long-Run Return Reversal Effect = 35
• Data and Methodology = 37
• Data Description = 37
• Methodology = 37
• Empirical Results = 40
• Descriptive Statistics of Portfolios = 40
• Market-Adjusted Returns and Long-Run Return Reversal Effect = 42
• Seasonality in Long-Run Contrarian Profits = 45
• Risk-Adjusted Long-Run Contrarian Profits = 45
• Other Sources of Risk = 46
• Multivariate Risk-Adjusted Approach = 48
• Conclusion and Implications = 50
• References = 52
• 4 Stock Markets' Conditions and Investment Decisions = 55
• Introduction = 55
• Literature Review = 57
• Overreaction and Momentum Effect : An Overview = 57
• Sources of Contrarian and Momentum Profits = 58
• Data and Methodology = 60
• Empirical Results = 61
• Existence of Momentum and Overreaction Effect in the Indian Stock Market = 61
• Market States and Investment Strategies = 62
• Market State and Momentum Profits = 64
• Interaction Between Market State, Size and Investment Strategies = 71
• Market-Dependent Risk-Adjusted Returns = 75
• Discussion = 78
• Conclusion = 79
• References = 80
• 5 Stock Markets Overreaction = 83
• Introduction = 83
• Literature Review = 85
• Overreaction and Momentum Effect = 85
• Rational Sources of Contrarian and Momentum Profits = 87
• Behavioural Finance : A New Approach = 87
• Data and Methodology = 89
• Empirical Results = 92
• Existence of Momentum and Overreaction Effect in Indian Stock Market = 92
• Robustness Test = 96
• Evaluation of Behaviour Explanation for Momentum and Overreaction Effect = 101
• Conclusion = 104
• References = 105
• Part Ⅱ Global Markets and Investment Decisions
• 6 Calendar Anomalies in Stock Markets = 111
• Introduction = 111
• Data and Methodology = 113
• Empirical Findings = 115
• Day-of-the-Week Effect = 115
• Conclusion = 119
• References = 120
• 7 Stock Market Return Volatility = 123
• Introduction = 123
• Review of Literature = 124
• Research Methodology = 125
• Empirical Findings = 126
• Preliminary Results = 126
• Test for Cross-Relation in Stock Returns = 127
• Forecasting of Volatility Fitting of GARCH(1,1) Model = 128
• Diagnostic Testing = 130
• Measurement of Asymmetric Volatility = 130
• Relationship Between Stock Returns and Conditional Volatility, and Standardized Residuals = 131
• Summary and Implication of the Study = 131
• References = 132
• 8 Stock Markets' Instability, Integration and Volatility = 135
• Introduction = 135
• South Asia : Current State of Art = 138
• An Overview of South Asian Stock Markets = 139
• Data Source, Methods and Properties of Data = 140
• Data Source = 140
• Return Estimation = 143
• Properties of Data = 144
• Model Formulation and Empirical Findings = 145
• Determining the Financial Instability = 145
• Model Formulation and Specifications = 146
• Empirical Results = 146
• Conclusion and Implication of the Study = 150
• References = 151
• 9 Indian and American Stock Markets' Volatility = 155
• Introduction = 155
• Review of Literature = 157
• Data and Research Methodology = 158
• Measurement of Conditional Volatility = 159
• Empirical Findings = 160
• Preliminary Results = 160
• Unit Root Test = 161
• Forecasting of Conditional Volatility in US and Indian Stock Market = 161
• Testing the Relationship Between Conditional Volatilities of two Markets = 164
• Granger Causality Test = 164
• Conclusion and Implication of the Study = 165
• References = 166
• 10 Dependences in Stock Markets of South Asia = 169
• Introduction = 169
• Some Background Information on Stock Markets in South Asia = 171
• Research Methodology = 173
• Data = 173
• Test Procedure = 173
• Empirical Findings = 178
• Stochastic Characteristics of the Market Return Series = 178
• Test for Correlated Increments (VR Test) = 178
• Test for Nonlinear Dependence = 180
• Concluding Remarks = 180
• References = 182
• Part Ⅲ Capital Structure, Value of Firm and Investment Strategy
• 11 Cost of Capital, Capital Structure, Dividend Policy and Value of Firm = 187
• Introduction = 187
• Pre-MM World = 188
• MM World = 188
• Cost of Capital and Financing Decisions = 188
• Capital Structure = 189
• Dividend Policy = 191
• Value of Firm = 193
• Conclusions = 194
• References = 195
• 12 Optimal Capital Structure and Investment Decisions = 197
• Introduction = 197
• Review of Literature = 198
• Objectives = 200
• Research Methodology = 200
• Empirical Results = 202
• Conclusions = 209
• References = 210
• 13 Investor Sentiment and Returns = 211
• Introduction = 211
• Data and Methodology = 214
• Dissection of Sentiment into Sentiment States = 14
• Analysing Group Level Impact of Sentiment States = 215
• Persistence of Sentiment = 215
• Results and Discussion = 215
• Conclusion = 219
• References = 223
• 14 Momentum and Contrarian Strategy = 227
• Introduction = 227
• Literature Review = 228
• Data and Methodology = 230
• Sample Data = 230
• Methodology = 230
• Empirical Results = 232
• Conclusion and Implications = 242
• References = 242
• 15 Private Equity Investment = 245
• Introduction = 245
• Theoretical Framework = 246
• Literature Review = 247
• Dependent Variable = 251
• Independent Variables = 251
• Hypothesis = 252
• Econometric Specification = 252
• Data = 254
• Empirical Results = 255
• Estimation Results = 255
• Conclusion = 257
• References = 258
• Part Ⅳ Emerging Issues in Finance
• 16 Islamic Banking and Finance = 263
• Introduction = 263
• Islamic Banking and Growth of the Economies in the World and Gulf Cooperation Council (GCC) = 265
• Research Objectives and Importance = 267
• A Critique of the Relationship Between Islamic Banking and Growth of Economy : Part One = 267
• A Critique of the Relationship Between Islamic Banking and Financial Stability : Part Two = 269
• Liquidity Ratio Results = 270
• Capital Adequacy Ratio Results = 272
• Critique of the Second Empirical Part = 275
• Conclusions = 275
• References = 276
• 17 Mutual Funds and Risk Management = 279
• Introduction = 279
• Mutual Funds (MF) in India = 280
• Literature Review = 283
• Tracking Error = 284
• The Inside Story in an Asset Management Company = 285
• Conclusion = 288
• References = 289
• 18 Behavioural Finance = 291
• Introduction = 291
• Momentum Effect : An Overview = 292
• Rational Sources of Momentum Effect = 293
• Behavioural Finance : A New Approach = 294
• Momentum is Generated by Initial Overreaction = 295
• Momentum is Generated by Initial Under-Reaction = 296
• Momentum and Disposition Effect = 296
• Inferences = 297
• Scope for Further Research = 297
• Conclusion = 298
• References = 299
• 19 Forecasting Exchange Rate = 301
• Introduction = 301
• Review of the Literature = 303
• Trends of Foreign Exchange Rate = 305
• Methodology = 309
• Analysis of Output = 311
• Conclusion = 320
• References = 321
• 20 International Financial Reporting Standards = 323
• Introduction = 323
• IFRS Around the World = 324
• IFRS in CHINA = 324
• IFRS in JAPAN = 325
• IFRS in INDIA = 326
• What it means to Convergence with IFRS in India? = 327
• Accounting Standards (ASs)—Legal Recognition = 328
• Converged Standards = 330
• IFRS in KOREA = 334
• IFRS in INDONESIA = 334
• IFRS in BANGLADESH = 335
• IFRS in BHUTAN = 337
• IFRS in NIGERIA = 337
• IFRS in EGYPT = 338
• IFRS in SOUTH AFRICA = 338
• IFRS in USA = 339
• IFRS in CANADA = 341
• IFRS in BRAZIL = 344
• Convergence of BR GAAP and IASB IFRS = 344
• IFRS in ARGENTINA = 345
• IFRS in RUSSIA = 345
• IFRS in GERMANY = 347
• IFRS in France = 348
• IFRS in AUSTRALIA = 349
• IFRS for SMEs = 350
• Local Accounting Standard Setter = 350
• Implementation and Compliance = 350
• Conclusion = 350
• Appendix = 351
• References = 351
• Index = 353