Browsing by Author "Jaiswal, R."

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An analysis of diversification benefits of commodity futures using Markov regime-switching approach
(Inderscience Publishers, 2018) Jaiswal, R.; Uchil, R.
This study investigates the hedge and safe haven properties of individual commodity futures against stock market movements using a nonlinear regime-switching framework. Based on the results of Brock, Dechert and Scheinkman (BDS) test and information selection criterion, Markov-switching vector auto-regression (MS-VAR) model is applied with three regimes for gold and silver futures and with two regimes for crude oil, copper and zinc futures. The results demonstrate strong hedge and weak safe haven property of gold and silver futures, while it shows a weak hedge and weak safe haven potential of copper and zinc futures. Conversely, crude oil futures cannot be used as a safe haven against extreme stock market movements. In addition, portfolio analysis confirms that these findings provide significant information to investors for the construction of better risk-adjusted return portfolio. Â© 2018 Inderscience Enterprises Ltd.
An analysis of diversification benefits of commodity futures using Markov regime-switching approach
(2018) Jaiswal, R.; Uchil, R.
This study investigates the hedge and safe haven properties of individual commodity futures against stock market movements using a nonlinear regime-switching framework. Based on the results of Brock, Dechert and Scheinkman (BDS) test and information selection criterion, Markov-switching vector auto-regression (MS-VAR) model is applied with three regimes for gold and silver futures and with two regimes for crude oil, copper and zinc futures. The results demonstrate strong hedge and weak safe haven property of gold and silver futures, while it shows a weak hedge and weak safe haven potential of copper and zinc futures. Conversely, crude oil futures cannot be used as a safe haven against extreme stock market movements. In addition, portfolio analysis confirms that these findings provide significant information to investors for the construction of better risk-adjusted return portfolio. � 2018 Inderscience Enterprises Ltd.
Dynamic land use and coastline changes in active estuarine regions - A study of sundarban delta
(2014) Thomas, J.V.; Arunachalam, A.; Jaiswal, R.; Diwakar, P.G.; Kiran, B.
Alteration of natural environment in the wake of global warming is one of the most serious issues, which is being discussed across the world. Over the last 100 years, global sea level rose by 1.0-2.5 mm/y. Present estimates of future sea-level rise induced by climate change range from 28 to 98 cm for the year 2100. It has been estimated that a 1-m rise in sea-level could displace nearly 7 million people from their homes in India. The climate change and associated sea level rise is proclaimed to be a serious threat especially to the low lying coastal areas. Thus, study of long term effects on an estuarine region not only gives opportunity for identifying the vulnerable areas but also gives a clue to the periods where the sea level rise was significant and verifies climate change impact on sea level rise. Multi-temporal remote sensing data and GIS tools are often used to study the pattern of erosion/ accretion in an area and to predict the future coast lines. The present study has been carried out in the Indian Sundarbans area. Major land cover/ land use classes has been delineated and change analysis of the land cover/ land use feature was performed using multi-temporal satellite images (Landsat MSS, TM, ETM+) from 1973 to 2010. Multivariate GIS based analysis was carried out to depict vulnerability and its trend, spatially. Digital Shoreline change analysis also was attempted for two islands, namely, Ghoramara and Sagar Islands using the past 40 years of satellite data and validated with 2012 Resourcesat-2 LISS III data.
Dynamic land use and coastline changes in active estuarine regions - A study of sundarban delta
(International Society for Photogrammetry and Remote Sensing, 2014) Thomas, J.V.; Arunachalam, A.; Jaiswal, R.; Diwakar, P.G.; Kiran, B.
Alteration of natural environment in the wake of global warming is one of the most serious issues, which is being discussed across the world. Over the last 100 years, global sea level rose by 1.0-2.5 mm/y. Present estimates of future sea-level rise induced by climate change range from 28 to 98 cm for the year 2100. It has been estimated that a 1-m rise in sea-level could displace nearly 7 million people from their homes in India. The climate change and associated sea level rise is proclaimed to be a serious threat especially to the low lying coastal areas. Thus, study of long term effects on an estuarine region not only gives opportunity for identifying the vulnerable areas but also gives a clue to the periods where the sea level rise was significant and verifies climate change impact on sea level rise. Multi-temporal remote sensing data and GIS tools are often used to study the pattern of erosion/ accretion in an area and to predict the future coast lines. The present study has been carried out in the Indian Sundarbans area. Major land cover/ land use classes has been delineated and change analysis of the land cover/ land use feature was performed using multi-temporal satellite images (Landsat MSS, TM, ETM+) from 1973 to 2010. Multivariate GIS based analysis was carried out to depict vulnerability and its trend, spatially. Digital Shoreline change analysis also was attempted for two islands, namely, Ghoramara and Sagar Islands using the past 40 years of satellite data and validated with 2012 Resourcesat-2 LISS III data.
Time-varying conditional profitability of momentum strategies in commodity futures market: Evidence from India
(University of Malaya, 2020) Jaiswal, R.; Uchil, R.
Manuscript type: Research paper Research aims: This study aims to provide fresh evidence on the presence of momentum profitability in the commodity futures market of India. Design/Methodology/Approach: The sample of this study consists of highly traded commodity futures contracts taken from the commodity market of India over the period of 2006-2017. This study applies the conditional multi-factor model to test the time-varying performance of the momentum strategies. Research findings: This study confirms the existence of exceptionally high abnormal momentum profitability in the commodity futures market despite the consideration of transaction costs. However, subsample analysis and the application of conditional multi-factor model suggest that momentum profits are essentially time-varying. The low and insignificant correlation of momentum portfolios with stocks and bonds confirm that the relative strength of the momentum portfolios of commodity futures are part of an effective strategy to create a welldiversified portfolio. Theoretical contribution/Originality: This study examines the timevarying conditional profitability of momentum strategies for the commodity futures market of emerging economies such as India. The outcome enriches the small group of contemporary studies that have been conducted on commodity futures in relation to India. The most significant contribution of this study is the use of a conditional multi-factor model which assesses the possible role of time-varying conditional alphas and betas in defining the momentum payoffs in the commodity futures market in India. Practitioner/Policy implication: Policymakers should consider developing more lucrative policies which can attract institutional investors to the commodity market of India. This is because the domestic and foreign institutional investors are central to the enhancement and stability of the financial market. It is imperative to create awareness about the exceptionally high abnormal profits generating potential of the commodity futures that are used by professional money managers simply as a tool for price risk management. Research limitations: This study uses 13 highly traded commodity futures contracts of India to design the momentum strategies. The robustness of the high abnormal returns provided by these strategies can be further investigated through an extended study period, and by including medium and less liquid commodity futures contracts to create the momentum strategies. © 2020, University of Malaya. All rights reserved.