Faculty Publications

Now showing 1 - 4 of 4

Pre-open call auction and price discovery: Evidence from India
(Cogent OA info@CogentOA.com, 2014) Rajesh Acharya, A.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).
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.
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.
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.

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