Indian equity options: Smile, risk premiums, and efficiency
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21971
Abstract: We study the pricing of equity options in India which is one of the world's largest options markets. Our findings are supportive of market efficiency: A parsimonious smile‐adjusted Black model fits option prices well, and… read more here.
Keywords: equity; risk; indian equity; equity options ... See more keywords
Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market
Sign Up to like & getrecommendations! Published in 2017 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-016-0580-2
Abstract: We study the economic and non-economic sources of stock return comovements of the emerging Indian equity market and the developed equity markets of the US, UK, Germany, France, Canada and Japan. Our findings show that… read more here.
Keywords: return comovements; indian equity; emerging indian; market ... See more keywords
Examining significance of “downside beta” as a measure of risk – evidence from Indian equity market
Sign Up to like & getrecommendations! Published in 2023 at "International Journal of Emerging Markets"
DOI: 10.1108/ijoem-01-2021-0026
Abstract: PurposeMany studies have shown that from a theoretical and empirical point of view, downside risk-based measures of risk are better than the traditional ones. Despite academic appeal and practical implications, downside risk has not been… read more here.
Keywords: downside beta; indian equity; beta; downside ... See more keywords