The Indian securities market regulator intervened in June 2010 with a regulatory amendment in the listing requirement that mandated all the listed firms other than PSUs (government‐owned companies) to have a minimum public shareholding of 25%. The affected firms were given a 3‐year window to comply with the regulation. This study examines the impact of the new regulation on the affected firms’ value. We explore the relationship between improvement in firms’ value and stock liquidity. This regulatory intervention offers a natural experiment to examine direct causality between stock liquidity and firms’ value. The findings of the empirical analysis confirm the existence of a direct causal relationship between stock liquidity and firm value, stemming from an improved operating performance.

Purpose -The purpose of this paper is to study the empirical relationship between order imbalance and returns in the backdrop of structural changes in the Indian market. Design/methodology/approach -The study makes use of hypothesis testing and dummy variable regression to investigate the relationship between order imbalance and returns during the period 1999-2005, which saw definitive change in the structure of the Indian markets. Findings -Order imbalance (buying or selling pressure) has significantly reduced post the structural reforms at the daily as well as intra-day intervals across trade, as well as value measures of order imbalance. After controlling for the number of transactions, order imbalance and return correlations have fallen in the post-2002 period as compared to the pre-2002 period, at daily as well as intra-day intervals. Further, after controlling for past high and low returns, order imbalance exhibits day of the week effect in the pre-2002 period while no such effect is seen in the post-2002 period. Originality/value -The work brings out order imbalance and returns relationship for the Indian market, which has different structure from that of many developed, as well as developing, markets in the backdrop of changes in its own structure. This would provide a richer literature in the area of market structure and design.

This study examines the dynamic linkages of Nifty stock index and Nifty index futures contract traded on the home market, National Stock Exchange (NSE) and on the off-shore market, Singapore Stock Exchange (SGX). The study uses daily closing prices of the Nifty index and the Nifty futures contract traded on both the exchanges for the period July 15, 2010 to July 15, 2016.  The study finds a causality running from the returns of the spot market to the returns from the Nifty futures market in both the exchanges, NSE and SGX, with the help of Vector Error Correction model and Granger causality test. Variance Decomposition and Impulse Response Analysis also confirm that the spot market is the leading market in price discovery, making it the most efficient amongst others.

This paper empirically examines the effect of weekly options introduction on the benchmark index of Indian stock market, NIFTY50. The paper evaluates the possible stabilizing or destabilizing nature of impact on underlying volatility focusing on the relation between information and volatility using GARCH framework. The results indicate that the onset of weekly index options has improved the information assimilation and reduced the persistence of old information on volatility. Further, similar changes are not evident on a control index, NIFTY NEXT50. Overall, the results indicate an increase in market efficiency with weekly index options trading.

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