Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data

Bhattacharya, Mousumi; Bhattacharya, Sharad Nath; Jha, Sumit Kumar

doi:10.1177/03128962211010243

Cited by 2 publications

(1 citation statement)

References 91 publications

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“…Later on, similar evidences were quoted by Bhattacharya et al (2020) who documented a liquidity-based asset pricing model in the Indian stock market using high-frequency data after controlling for up and down market, volatility, and effect of derivatives trading. Bhattacharya et al (2021) further found the importance of illiquidity during periods of extreme high and low returns in the Indian stock market. Further, the existence of a large body of literature that emphasized the importance of profitability and investment risk factors in explaining the security's expected returns has led to the development of a fivefactor asset pricing model.…”

Section: Literature Reviewmentioning

confidence: 94%

Untitled

2022

IMS

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IIMS Journal of Management Science is the scholarly journal of the Indian Institute of Management Shillong that publishes research contributions in all areas of management and its allied discipline since 2010. It follows a double blind peerreview process and publishes two issues a year. While submissions from all management domains and their allied disciplines are welcome, the journal encourages articles on cross-functional management domains with crossfunctional managerial or societal problems and implications.The journal looks for original and insightful research articles that create differential research traditions to shed new evidence on contemporary challenges faced by management practitioners, policymakers, academicians, and others. The journal envisages publishing rigorous research output backed by qualitative or quantitative methods. The articles that establish the intuition, argument, and implications using clear and concise English and improve our understanding of the management theory and practice knowledge are preferred. All contributions should be well written in English and supported by either original/empirical data or a well-justified theoretical or mathematical model. Aims and ScopeIIMS Journal of Management Science publishes original research and review articles that demonstrate theoretical and empirical research in management discipline through qualitative or quantitative methods. It follows a double-blind peer review policy.The articles in all domains in management and its allied discipline, including but not limited to,

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Section: Literature Reviewmentioning

confidence: 94%

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2022

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Are Fama–French Factors Relevant? A Sub-Sectorial Analysis

Tripathi¹,

Sapra²,

Gupta³

2022

IMS

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The purpose of the study is to empirically examine the sectoral-specific performance of the five-factor asset pricing model comprising of 17-years’ data in the Indian stock market using the Fama–French methodology. The results highlighted the better performance of a five-factor model in the “Basic Material” and “Oil” industries. However, for the “consumer” industry, there is an existence of other risk factors which can better explain the portfolio’s excess returns. The result further demonstrates the better explanatory power of the five-factor model in explaining the portfolio excess return for the “Industrial” sector. However, the findings support the better applicability of market mode for the “financial” sector in the Indian stock market. For the “Health Care” and “Technology” industries, the addition of two more risk factors does not lead to much improvement in the model’s explanatory power. The current study evaluating the applicability of the asset pricing model will have a practical implication for portfolio managers, policymakers, researchers, and academicians in evaluating the performance of the portfolios on a sectoral basis and in determining the cost of equity in the overall cost of capital. The study will also aid the investors in their investment decision-making by helping them to identify the average stock return in different sectors.

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Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data

Cited by 2 publications

References 91 publications

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Untitled

Are Fama–French Factors Relevant? A Sub-Sectorial Analysis

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