Stock market volatility is a measure of risk in investment and it plays a key role in securities pricing

No abstract

Modeling and forecasting volatility of capital markets has been important area of inquiry and research in financial economics with the recognition of time-varying volatility, volatility clusturing, and asymmetric response of volatility to market movements. Given the anticipated growth of the Nepalese stock market and increasing interest of investors towards investment in Nepalese stock market, it is important to understand the pattern of stock market volatility. In the paper, the volatility of the Nepalese stock market is modeled using daily return series consisting of 1297 observations from July 2003 to Feb 2009 and different classes of estimators and volatility models. The results indicate that the most appropriate model for volatility modeling in Nepalese market, where no significant asymmetry in the conditional volatility of returns was captured, is GARCH(1,1). The study revealed strong evidence of time-varying volatility, a tendency of the periods of high and low volatility to cluster and a high persistence and predictability of volatility in the Nepalese stock market.Key words: Conditional heteroskedasticity, ARCH, GARCH, volatility clustering, leverage effect, Nepalese Stock MarketThe Journal of Nepalese Business Studies Vol. V, No. 1, 2008, December Page: 76-84

The paper attempts to analyze inter-linkages between corporate governance, ownership structure, capital structure, and firm performance in India. The study employs a panel data of all CNX Nifty companies from 2008 to 2012. Using LSDV panel data models and 2SLS model the study reveals that that good corporate governance practices adopted by companies are positively related with financial performance. Board independence, number of board committees, and director remuneration are found to have positive relationship while larger board size, ownership by promoters, and financial leverage have negative relationship with performance. There is existence of bi-directional relationship between corporate governance and financial performance. Companies with sound financial performance are more likely to conform to corporate governance norms and standards and implement sound corporate governance system. In addition, the findings reveal that corporate governance practices adopted by the listed firms depend on their ownership structure. Ownership concentration is found to effect corporate governance negatively.

Key words: stock market, financial system, Granger-causality test THE ROLE OF FINANCIAL SYSTEM is considered to be the key to economic growth. A welldeveloped financial system promotes investment by identifying and financing lucrative business opportunities, mobilizing savings, allocating resources efficiently, helping diversify risks and facilitating the exchange of goods and services (Mishkin 2001). A growing body of literature has affirmed the importance of financial system to economic growth.Stock market development has assumed a developmental role in global economics and finance following the impact they have exerted in corporate finance and economic activity. Paudel (2005) states that stock markets, due to their liquidity, enable firms to acquire much needed capital quickly, hence facilitating capital allocation, investment and growth. Stock market activity is thus rapidly playing an important role in helping to determine the level of economic activities in most economies. However, controversy does exist on the role of stock market as an indicator of future economic activity. In the light of the controversy, it seems relevant to conduct a research in this topic. The traditional valuation model of stock prices and the "wealth effect" provide theoretical justification for stock prices to act as indicator of economic growth (Comincioli 1996). According to fundamental valuation models, stock prices depend on expectations about the future economy. Therefore, expected changes in real economy cause the values of stock prices. According to wealth effect, however, changes in stock prices cause the variation in the real economy.In Nepalese context, the government has initiated liberal economic policies since the mid 1980s. The Nepalese financial system has undergone rapid structural changes in the last two and half decades. It has been revealed that the Nepalese financial system is basically bank-dominated. Capital markets and stock markets have not been developed in full scale of operations and the banking institutions, particularly the commercial banks, appear to be the major financial intermediaries in satisfying financing need of productive units of the economy.The Nepalese stock market is relatively small, illiquid and thinly traded. Despite the size and illiquid nature of the stock markets, their continued existence and development could have important implications for economic activity. For instance, Pardy (1992) has noted that even in less developed countries capital markets are able to mobilize domestic savings and allocate funds more efficiently.