Browsing by Author "Rajesh Acharya, R.H."

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A study on volatility and return spillover of exchange-traded funds and their benchmark indices in India
(Emerald Group Holdings Ltd., 2020) Chandrasekaran, B.; Rajesh Acharya, R.H.
Purpose: The purpose of this paper is to empirically examine the volatility and return spillover between exchange-traded funds (ETFs) and their respective benchmark indices in India. The paper uses time series data which consist of equity ETF and respective index returns. Design/methodology/approach: The study uses autoregressive moving average–generalized autoregressive conditional heteroscedasticity and autoregressive moving average–exponential generalized autoregressive conditional heteroscedasticity models. The study uses data from the inception date of each ETF to December 2016. Findings: The findings of the paper confirm that there is unidirectional return spillover from the benchmark index to ETF returns in most of the ETFs. Furthermore, ETF and benchmark index return have volatility persistence and show the presence of asymmetric volatility wherein a negative news has more influence on volatility compared to a positive news. Finally, unlike unidirectional return spillover, there is a bidirectional volatility spillover between ETF and benchmark index return. Practical implications: The study has several practical implications for investors and regulators. A positive daily mean return over a fairly long period of time indicates that the passive equity ETFs can be a viable long-term investment option for ordinary investors. A bidirectional volatility spillover between the ETFs and benchmark index returns calls for the attention of the market regulators to examine the reasons for the same. Originality/value: ETFs have seen fast growth in the Indian market in recent years. The present study considers the longest period data possible. © 2019, Emerald Publishing Limited.
Access to modern energy services and human development in India: Has government policies paid off?
(Econjournals, 2021) Sadath, A.C.; Rajesh Acharya, R.H.
In this paper we investigate the relationship between access to modern energy services and human development in India over a decade. We estimate an index of human development, multidimensional energy poverty index, and confidence index. Empirical result shows that energy poverty is quite widespread in most of the states in spite of the progress made in reducing the same during the study period. States with higher level of human development are having lower level of energy poverty implying a strong negative correlation between energy poverty and human development. Further, the strength of negative relationship between energy poverty and human development has strengthened during the study period. Among the components of human development, energy poverty has highest impact on GSDP percapita index followed by education index and life expectancy index. The study also finds that confidence index has positive relationship with human development index, whereas negative relationship with energy poverty. © 2021, Econjournals. All rights reserved.
Achievements and challenges of energy poverty alleviation policies: Evidence from the select states in India
(John Wiley and Sons Ltd, 2023) Rajesh Acharya, R.H.; Sadath, A.C.
Indian energy sector has undergone a tremendous transformation with consistent government policy interventions since 2000. Against this backdrop, we examine the extent to which energy poverty has decreased due to the expansion of energy services and the significant determinants of energy poverty in select six states in India. Overall, results reveal that absolute multidimensional energy poverty has substantially decreased across all states examined in the study as well as across all income and social groups between 2015 and 2018. Specifically, acute multidimensional energy poverty has reduced by an average of 30% between 2015 and 2018 in six states. At the same time, dependency on biomass remains more or less the same between 2015 and 2018. Results also show that inequality in the access to energy across income and social groups exists, and education is negatively related to energy poverty. Energy poverty has declined by a similar percentage among most employment groups, except for people practicing cattle rearing. Finally, culture is a significant determinant of energy poverty as households with the elderly and more land owned have higher energy poverty, probably due to the easy access to biomass and preference of such households to use it. © 2022 John Wiley & Sons Ltd.
An analysis of pricing efficiency of exchange traded funds in India using ARDL bounds test approach
(Inderscience Publishers, 2021) Chandrasekaran, B.; Rajesh Acharya, R.H.
This paper analyses the pricing efficiency of exchange traded funds (ETFs) in India. In order to achieve the objective, the study employs the autoregressive distributed lag (ARDL) model - bounds test approach. The study includes 14 equity ETFs for the time period from the inception date of each ETF to December 2016. An attempt has been made to establish long-run relationship between the closing price of ETFs and closing index values using ARDL model. The study also analyses the research question in the presence of single and multiple structural breaks. Empirical results of the study show that the absolute pricing deviation is relatively small in the case of ETFs. Most of the ETFs have long-run relationship with the underlying index. The study confirms structural breaks in the ETF closing price time series. With the introduction of structural breaks, increase in the size of statistically significant long-run coefficients indicates an improvement in the speed of correction to the equilibrium level. © © 2021 Inderscience Enterprises Ltd.
Assessing the extent and intensity of energy poverty using Multidimensional Energy Poverty Index: Empirical evidence from households in India
(Elsevier Ltd, 2017) Sadath, A.C.; Rajesh Acharya, R.H.
In this paper, we have made a comprehensive assessment of the extent and various socio-economic implications of energy poverty in India. Amartya Sens's capability approach to development underpins the analysis of household-level data taken from the India Human Development Survey-II (IHDS-II), 2011-12 using the Multidimensional Energy Poverty Index (MEPI). The overall results show that energy poverty is widespread in India and the existence of energy poverty also coincides with the other forms of deprivations such as income poverty and social backwardness. For example, Dalits (Lower Caste) and Adivasis (Tribal) are found to be extremely energy poor compared to the other social groups in India. The results also reveal that it is the responsibility of women to manage the domestic chores such as collection of firewood and making of dung cake in traditional Indian households. Inefficient use of such biomass fuels is found to cause health hazards. © 2017 Elsevier Ltd
Assessing the Impact of Climate Change on Agriculture: Farm-Level Evidence from Karnataka, India
(Horizon Research Publishing, 2024) Rajesh Acharya, R.H.
This study examines the impact of climate change on agriculture and explores the role of technology in its adaptation. For this purpose, primary data are collected from ecologically sensitive coastal and western ghat regions in the state of Karnataka. The study applied the Ricardian approach to estimate the climate sensitivity of agriculture in the region. A structured questionnaire with 98 questions collected various information from farmer households. Farmers' responses to these questions are presented as frequency tables and cross-sectional regression is applied under the Ricardian approach. The empirical results of the study confirm that farmers are aware of the sensitivity of agriculture to climate change. However, there is a lack of understanding of the adaptation of agriculture to climate change. Most farmers feel that since farming largely relies on nature, it is impossible to adapt to climate vagaries. Therefore, there is a greater need to educate farmers on possible adaptation strategies. Further, there is no greater variation in the crops cultivated and farmers' responses across different districts in the study area. There is a lot of scope for using technology to educate farmers on climate risks and possible adaptation strategies. Results of the Ricardian model reveal that erratic rainfall has a negative impact on farmland value. Among the socioeconomic variables, land belonging to socially backward communities commands less value than forward communities. Variables like education and households practising agriculture as the main profession positively influenced farmland values. Based on findings, several policy implications are highlighted, with the prominent being helping farmers diversify earnings, and communicating the standard adaptation strategies using cost-effective communications with greater reach. © 2024 Horizon Research Publishing. All rights reserved.
Assessing the Relative Importance of Access and Affordability in Energy Poverty in India: A Guide for Future Energy Policies
(Econjournals, 2025) Sadath, A.C.; Rajesh Acharya, R.H.
We analyse the role of access and affordability in measuring energy poverty from a developing country context, particularly India. For this purpose, we use the Harvard Dataverse energy access database household-level data. We measure energy poverty based on subjective indicators such as the Multidimensional Energy Poverty Index (MEPI) and objective measures such as expenditure-based approaches. Empirical results show that India made substantial progress in reducing energy poverty based on all approaches, but we observe vast differences in the extent of energy poverty across different approaches. There is substantial variation in energy poverty among different socioeconomic groups and employment categories, reflecting the reality in the Indian context. Finally, we argue that access, affordability and socioeconomic variables are important determinants of energy poverty in the Indian context. Policymakers should consider these factors while designing policies to handle the problem effectively. © 2025, Econjournals. All rights reserved.
Does speculation impair informational efficiency? New evidence from the Indian agricultural commodity market
(Emerald Publishing, 2024) Pullaykkodi, S.; Rajesh Acharya, R.H.
Purpose: This study explores the association between market efficiency and speculation. The government of India temporarily banned the futures trading of various commodities several times citing the presence of speculation. Many controversies exist about this topic; thus, this study clarifies the association between market efficiency and speculation and investigates whether market reforms altered this association. Design/methodology/approach: The data for nine commodities is collected from the National Commodity and Derivative Exchange (NCDEX) for 2005–2022. Regression analysis and Automatic Variance Ratio (AVR) were adopted to inspect the informational efficiency and influence of speculation in the commodity market. Furthermore, this study uses different sub-samples to understand the changes in the market microstructure and its effects on market quality. Findings: The results confirm an inverse and significant relationship between information efficiency and speculation and a deviation from the random walk process observed. Therefore, return predictability exists in the market. This study confirms that market reforms do not reduce the influence of speculation on market efficiency. The study concludes that the market is not weak-form efficient. Research limitations/implications: This study has certain limitations, since this study is empirical in nature, it may possess the limitations of empirical research. Originality/value: This paper has dual novelty. First, this study investigates the effects of market reforms. Second, this study captures the influence of speculation in the Indian agricultural commodity market by considering the market microstructure aspects. © 2024, Emerald Publishing Limited.
Economic growth and environmental degradation: How to balance the interests of developed and developing countries
(FrancoAngeli nardi@uniroma3.it, 2019) Sadath, A.C.; Rajesh Acharya, R.H.
In this paper we present a pragmatic basis for a multilateral cooperation to deal with climate change problem after accounting for the interests of both developed and developing economies. We develop our argument for such a cooperation based on the principle of affordability of developed countries and accessibility of developing countries. Towards this, we have estimated a panel Autoregressive Distributed Lag (ARDL) model using data pertaining to groups of countries classified based on region and income from 1960 to 2014. Results show that countries with high Gross Domestic Product (GDP) percapita emit more volume of hazardous Greenhouse Gases (GHG) than their developing counterparts and more importantly, the coefficient of elasticity of emission to the growth rate of GDP is substantially lower for highincome countries. Therefore, we argue that developed countries may lead the world in the climate change mitigation efforts through emission reduction and promotion of efficient use of energy resources. © 2020 FrancoAngeli.
Energy poverty and economic development: Household-level evidence from India
(Elsevier Ltd, 2019) Rajesh Acharya, R.H.; Sadath, A.C.
In this paper, we investigate the relationship between energy poverty and economic development in India and its trend over a decade. For this purpose, we estimate a Multidimensional Energy Poverty Index (MEPI) and an index of development at the district level using household level data. Empirical results show that energy poverty is quite extensive in India with substantial variations across the states and districts. Over the years, energy poverty shows a declining trend at all-India level, but with the exception of few bigger and less developed states. Further, the study records a negative relationship between economic development and energy poverty, the strength of relationship has increased during the study period. Among the components of economic development, education has a greater impact on reducing energy poverty compared with income. The study observes that energy poverty and socio-economic backwardness in India are highly correlated; Dalits and Adivasis have higher energy poverty and a lower rate in the reduction of energy poverty in comparison with the national average. Energy poverty is lower in urban India in comparison with rural India. © 2018
Exploring the Dependency between Energy Access and other Sustainable Development Goals: Global Evidence
(Econjournals, 2024) Sadath, A.C.; Rajesh Acharya, R.H.
This paper examines the interlinkage between energy access and other Sustainable Development Goals (SDGs) in the global context. For this purpose, we have calculated the indices for all 17 SDGs and use correlation and path analysis under structural equation modelling framework. Empirical results confirm that SDG 7 has positive and significant correlation with goal 4 and goal 12 indicating that ensuring access to modern energy resources enables women and girls to spend more time on education and gainful employment than gathering fuel. Further, energy access fosters sustainable production and consumption pattern and also promotes food security and promoting sustainable agriculture. © 2024, Econjournals. All rights reserved.
Implications of energy subsidy reform in India
(Elsevier Ltd, 2017) Rajesh Acharya, R.H.; Sadath, A.C.
This paper analyses welfare impact of energy subsidy reform in India based on the data from 1970? 71 to 2014? 15. To this end, Auto Regressive Distributed Lag (ARDL) model and Error Correction Model (ECM) have been estimated to quantify the short-run and long-run price and the income elasticity of various energy products. The results show that the price elasticity of demand for all fossil fuels is low, but the respective income elasticity is higher. Therefore, an increase in the general price level caused by the subsidy reform will lead to the erosion of real income and will have related welfare implications in India. The results also reveal that energy expenditure will obviously increase and hence energy consumption will decline depending upon the extent of the withdrawal of subsidy. Therefore, policy makers in India, while undertaking further reforms, must ensure that the subsidy reaches to those who truly deserve, so that the socioeconomic casualty of reforms can be minimized along with achieving fiscal goals. © 2016 Elsevier Ltd
Insider trading in India - Regulatory enforcement
(Emerald Publishing, 2017) Manchikatla, A.K.; Rajesh 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.
Is the effect of Indian energy price shocks asymmetric on the stock market at the firm level? A panel SVAR approach
(FrancoAngeli, 2021) Aruna, B.; Rajesh Acharya, R.H.
This paper examines, using monthly data from 1995 to 2016, whether the oil, coal and electricity price shocks have an asymmetric influence on stock returns and inflation. The paper has employed Panel Structural Vector Autoregressive (PSVAR) model with various measures of the oil, coal and electricity price shocks on a dataset containing 1168 firms. Results from Panel-SVAR reveal that all oil, coal and electricity price specifications have an asymmetric impact on stock returns. Further, impulse response function reveals that the various dimensions of oil, coal and electricity price shocks lead to volatility in the response variables. It can also be observed that negative coal and electricity price shock has a radical impact on stock returns. Overall, the study on asymmetric impact of net oil and coal price increase, deserves attention from the investors and policy makers. © 2020 Franco Angeli Edizioni. All rights reserved.
Is the effect of oil price shock asymmetric on the Indian stock market? Firm-level evidence from energy-intensive companies
(Emerald Publishing, 2023) Aruna, B.; Rajesh Acharya, R.H.
Purpose: This paper aims to examine the asymmetric impact of the oil price increase and decrease on stock returns at the firm level. Design/methodology/approach: To ascertain the impact oil price can exert on the stock price at the firm level, this study uses panel structural vector auto regression with various linear and nonlinear measures of oil price shock on a data set, containing 1,168 firms listed in Indian stock markets. This study also considers stock index returns, Fama-French factors and inflation as control variables. Findings: This paper finds evidence that at firm level, net oil price increase and decrease have an asymmetric impact on stock returns. Other oil price shock measures, namely, shock because of oil price increase and decrease, do not show any sign of asymmetric impact on stock returns. Originality/value: The comparison of firm-level return on its response towards oil price fluctuation can give valuable insights into a firm’s features. © 2022, Emerald Publishing Limited.
Oil price effect on asset pricing of renewable energy firms in India: a panel quantile regression approach
(Emerald Publishing, 2023) Mishra, L.; Rajesh Acharya, R.H.
Purpose: This study aims to investigate the relationship between oil prices and stock returns of renewable energy firms in India under different market conditions. Design/methodology/approach: The authors use the panel quantile framework with Fama–French–Carhart’s (1997) four-factor asset pricing model. All renewable energy firms listed in the National Stock Exchange of India are considered in this study. Three oil prices, such as West Texas Intermediate spot price, Europe Brent oil price and Indian basket oil price, are used in the regression. The analysis is done for the whole sample and its subgroups. Findings: In the whole sample, stock returns of renewable energy firms respond positively to oil price changes in extreme market conditions only. In the subgroups of the renewable energy firms, the relationship between stock returns and oil price is positive and more robust in higher quantiles across all subgroup firms. Originality/value: The contribution of the study is explained as follows. First, this study helps to explore the relationship between oil and stock returns of the renewable energy sector under different market conditions in the Indian context. Second, existing studies explore the effect of oil prices on stock returns of the renewable energy sector at the industry level, and most of the studies are in developed countries. To the best of the authors’ knowledge, this is the first study in the context of India. Third, this is a firm-level study. © 2022, Emerald Publishing Limited.
Revisiting the relationship between oil price and macro economy: Evidence from India
(Franco Angeli Edizioni ufficiostampa@francoangeli.it Viale Monza 106 Milan 2012720127, 2018) Rajesh Acharya, R.H.; Sadath, A.C.
In this paper we revisit the research question of how Indian economy reacted to the changes in the historical oil price. Data on aggregate variables such as real GDP, WPI, interest rate and money supply since 1996 to 2017 are used to estimate Auto-Regressive Distributed Lag (ARDL) model and Structural Vector Auto-Regressive model (SVAR). Empirical results clearly show that oil price is negatively related to real GDP and at the same time, its effect on general inflation is not clear probably due to the massive subsidization of energy resources during the period of study and consequent cushioning of the inflationary effect of oil price shock. Results also show that in the short run, macroeconomic aggregates are mostly influenced by real factors than monetary factors. Result implies that policy makers must create adequate safeguards to ensure that ordinary citizens are not hurt from oil shock as India's reliance on oil import is expected to increase in the future and also promote efficient use of energy resources. © 2018 Franco Angeli Edizioni. All rights reserved.
Speed of price adjustment toward market efficiency of Indian agricultural commodity market: a market microstructure analysis of market quality
(Emerald Publishing, 2025) Pullaykkodi, S.; Rajesh Acharya, R.H.
Purpose: This study examines the semi-strong market efficiency of the Indian agricultural commodity market in light of market reforms and policies. This study investigates whether the market reforms have boosted the speed of price adjustment and influenced the market quality. Design/methodology/approach: The study used the daily data of nine agricultural commodities. To precisely capture the effects of market microstructure changes, this study split the whole data into pre- and post-ban and pre- and post-reform eras. To ascertain the velocity of price adjustment, the authors used the ARMA (1,1) model, and the ADD VRatio was employed to identify the price movement on a specific day. Findings: This study found that full incorporation of information happens sometimes. The authors noticed no gradual progress in the quickness of price adjustment. Since both methods suggested the same result for the period, the authors confirm that market microstructure changes do not enhance market quality. Research limitations/implications: This research has implications for academicians, policymakers and market players. Originality/value: The paper has twofold novelty. First, this is a contemporary topic, and very few studies have been done in the Indian agriculture context. Second, the study has implications for policymakers and government because it highlights the effects of structural changes on market quality and market efficiency. © 2023, Emerald Publishing Limited.
The Asymmetric Interaction Between Oil Price Change and Stock Returns of the Renewable Energy Companies in India: A Panel NARDL Approach
(Springer, 2025) Mishra, L.; Rajesh Acharya, R.H.
This study aims to investigate the oil price asymmetric effect on stock return of renewable energy companies. We apply panel Non-linear Autoregressive Distributed Lag to examine the effect of positive and negative changes in the oil price. The monthly data of all renewable energy companies listed in the National Stock Exchange of India are considered for the analysis. We find the oil price asymmetric effect only on stock returns of the standalone renewable products and services companies in the long run. This asymmetric effect is not found in the whole sample and other sub-groups of renewable energy companies. The findings would be useful to investors, portfolio managers, corporate managers and policymakers. © The Author(s), under exclusive licence to Springer Japan KK, part of Springer Nature 2024.
The Effects of Overnight Events on Daytime Return: A Market Microstructure Analysis of Market Quality
(Springer, 2024) Pullaykkodi, S.; Rajesh Acharya, R.H.
This paper examines the trading and non-trading returns to diagnose the impact of market microstructure changes on market quality. The daily data of ten agricultural commodities traded on the National Commodity and Derivative Exchange (NCDEX) were used for the study. The data has been divided into three categories: year-wise, pre- and post-reform, pre-ban, and post-ban period. The study employs variance ratio analysis, and the results suggest high daytime and opening variances. A first-order autocorrelation detects the return predictability in the data series. A Value at Risk (VaR) and Expected Shortfall (ES) methods were employed to get more detail about the downside risk of the series. It suggested that daytime return has more risk compared to overnight return. Overall, this study suggests that market microstructure effects are visible in the Indian agricultural commodity market and hardly observe any improvement in the market quality. Since we reveal the impact of policy changes on market quality, the results will be useful for policymakers. © The Author(s), under exclusive licence to Springer Japan KK, part of Springer Nature 2023.