Browsing by Author "Acharya, R.H."

Now showing 1 - 4 of 4

Do different types of oil price shocks affect the indian stock returns differently at firm-level? A panel structural vector autoregression approach
(2020) Aruna, B.; Acharya, R.H.
In this paper, we investigate the dynamic relationship between different oil price shocks and Indian stock returns at firm level, using variable-structural vector autoregression (VAR) approach for the period 1995:01-2018:12. We use large unbalanced panel of 1768 manufacturing energy-intensive and non-manufacturing energy-intensive firms listed in the national stock exchange. The estimation results depict that stock returns of India deteriorate due to disruptions in oil supply. In response to aggregate demand shock, stock returns and oil price move in opposite direction, whereas for speculative demand shock, oil price and stock returns have similar reactions. We also use Generalized Methods of Moments technique since our model suffers from endogeneity, thanks to the use of panel data. Since not all oil price shocks are alike, policy makers and investors should look into all aspects and sources of oil price shocks that impact stock returns, and make appropriate policy and investment decisions. From impulse response function, the effect is again cyclical as one could witness ups and downs in stock returns. This is because domestic oil price is partially dependent upon the status of subsidiaries and taxes. Also, inflation does not depend just upon oil price shocks and its sources, but it depends on other shocks such as inflation shock as well. 2020, Econjournals. All rights reserved.
Energy price uncertainty and investment: Firm level evidence from Indian manufacturing sector
(2016) Acharya, R.H.; Sadath, C.A.
Uncertainty whatsoever has undoubtedly been deemed to be malevolent to the interests of investors. Theories of partial irreversibility of investment argue that uncertainty at the micro level negatively impacts the firm s investment and thereby, at least, slow the process of capital accumulation. Therefore, the present study, empirically analyzes how energy price uncertainty affects investment decisions of manufacturing firms in India. A variety of panel data models are estimated using generalized method of moments with data pertaining to Indian manufacturing firms over the period 1992-1993-20132014. Results are consistent with irreversible investment literature on the supply side of production, which shows that energy uncertainty has a negative effect on the capital accumulation in the manufacturing sector and this effect transpires in the form of firm s inability to adjust its actual capital stock to match up to its potential desired capital stock as proposed by the investment theories. 2016, Econjournals. All rights reserved.
Insider trading in India - Regulatory enforcement
(2017) Manchikatla, A.K.; Acharya, R.H.
Purpose: The purpose of this paper is to study the effectiveness of insider trading enforcement actions in India and international dimensions. Design/methodology/approach: The research is based on the insider trading regulations and amendments made during the period 1992-2015. Findings: The notable observation of the study is the dearth of insider trading conviction and the paucity of prosecution for insider trading offences in India. It is difficult to resist the conclusion that surveillance and enforcement matter more than the drafting of the relevant statutes and regulations in emerging markets. Whereas, developed countries have a better record of prosecution than emerging markets. Research limitations/implications: Future research may explore the factors that hinder effective regulation and recommend new methods to increase the impact of Securities and Exchange Board of India insider trading regulation. Originality/value: The current paper presents guidance for the foreign institutional investors, regulators and market participants on insider trading regulation and prosecution in India. � Emerald Publishing Limited 1359-0790.
Pre-open call auction and price discovery: Evidence from India
(2014) Acharya, R.H.; Gaikwad, V.
Premier stock exchanges in India, viz. National Stock Exchange of India and Bombay Stock Exchange, introduced call auction in the pre-open session from 18 October 2010. This paper analyzes the impact of introduction of pre-open call auction on price discovery at the open. Empirical analysis is based on the familiar market model in an event study framework. The result shows a decline in the market model R2 for both opening and closing returns of stocks forming the part of call auction and also control sample. However, the magnitude of decline is less in the opening prices for the call auction stocks compared with control sample. Furthermore, analysis carried out using the second pass ? and R2 regressions shows that the introduction of pre-open call auction does not have any significant impact on market quality. The findings of the study have implications for the future policymaking on the call auction framework. 2014 The Author(s).