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As global investors diversify their portfolios across currencies and national stock markets, the exchange rate risk and its association with the local stock market is an important component of the overall portfolio risk. This paper empirically analyses the effect of exchange rate volatility on stock market return volatility from India’s perspective, applying ARCH and GARCH estimation on daily data of the BSE SENSEX stock market index and the exchange rate of US dollar/rupee, British pound/rupee, Euros/rupee for six years from January 2010 to December 2015. The estimates reveal that volatility of Euro/rupee exchange rate has a significant positive effect on BSE SENSEX return volatility while the effect of the volatility of US dollar/rupee and British pound/rupee exchange rates are insignificantly negative. The larger GARCH parameter over the ARCH term implies that the volatility of stock returns is more sensitive to its own lagged values than to its new surprises. There exists a highly persistent effect of shocks to the BSE SENSEX stock returns and the response to volatility decays at a slower rate.

Keywords: Exchange rate, stock market return, volatility, ARCH and GARCH estimation

We study the fluctuations in the bond market and exchange market during covid-19 among the BRICS (Brazil, Russia, India, China, and South Africa) countries. The bond market fluctuation has been examined by using the yield spread between the 10 years government bonds yield of BRICS countries and 10 years government bond yield of US. The exchange market pressure index is calculated to understand the pressure in the exchange market. The study finds that the reaction of these countries were high during the end of March and beginning of the April when US and majority of the countries went into lockdown. However the anxiety reduce after July end as a result of different economic packages announced by countries along with the positive news about the vaccine development.

Keywords: Covid-19, Bond Market Yield, EMPI, BRICS

Mutual fund managers are considered to be very efficient in terms of trading in the securities market. However, as per literature, it was found that they are not always proficient in dealing with securities during the fluctuations in the stock market. This paper has been attempted to inquire about the realization pattern of Indian Mutual Fund Managers which indicates about their biasness towards “Disposition Effect”. This bias signposts that the fund managers are more readily selling the profitable stocks (winners) from their portfolio in comparison to the losing stocks (losers). It was ascertained through empirical analysis that the fund managers aren’t selling more losers than winners for the entire sample. The data settings have allowed us to examine the bias among different AMCs and categories of mutual fund schemes. For this bifurcation of data again, no significant differences between the realization of winners and losers were observed. The study implies that fund managers are trading efficiently in the Indian Equity Market.

Keywords: Mutual Funds, Realized Gains, Unrealized Gains, Realized Loss, Unrealized Loss

Survival time data can be modeled with the help of parametric, semiparametric and non-parametric models. Due to incompleteness of survival data, the distribution of survival data is not known and is not symmetrically distributed. Here, in this study an attempt is made to best fit the survival time data. A sample of 305 companies listed under National Stock Exchange, India is considered out of 1328 companies comprise of various industrial sectors. The analysis of the study is carried out with parametric and semi-parametric survival models. The Akaike Information Criterion (AIC) is used as criteria to find the best fitted model and the Cox-Snell Residual plot is used to check the goodness of fit of the model. The result of the study shows that the Cox Proportional hazard model is the best fit among the survival analysis models for company’s stock exchange data.

Keywords: Share price; Cox Proportional hazard model; threshold value

This paper examines employment challenges in India with in ILO’s decent work framework. We find that Indian economy has experienced unprecedented decline in number of workers in absolute terms since 1972-73due to sharp decline in rural female workers. Remarkably, there has been job creation in the organised sector, regular salaried category, and in services sector in 2017-18. However, the rate of employment growth in these segments are very low and could not offset net loss in employment in the unorganised sector, casual jobs and in agriculture and manufacturing sector especially in rural areas. Moreover, close to 90 percent of total workers in India were engaged in informal jobs and more than half of the employment even in the organised sector were informal in nature with no job security and no social security in 2017-18. Our finding also shows that quality of jobs have also deteriorated even in the regular salaried employment in India as close to 71 percent of regular salaried workers had no written job contracts, 50 percent of them were not entitled to paid leave and social security benefits and only one third of such workers had access to union in 2017-18. These are clear sign of vulnerable condition of workers in India with scant social security coverage, inadequate legal backing and weaker bargaining power. The paper argues for urgent policy interventions to ensure access to productive and decent jobs to all in India.

Keywords: Decent work, quality of jobs, informalisation, wage inequality, social protection.

JEL Classification: J01, J21, J23, J30, J51, J83

FDI has been playing a major role in the process of economic growth for major countries across the world including India. It has been an important contributor to growth of Indian economy for long and India still considers FDI as sole factor for Indian economy and keeps reforming FDI policy over the time for leading to benefits of economic growth. Therefore, the study attempts to analyze the causal relation between FDI and economic growth and its long term association in India by applying Granger causality and cointegration approach for the period 1991-92–2019-20. The cointegration results indicates that there exists cointegration at the 0.05 percent level of significance between GDP and FDI. Causality test also showed that the both variables have causal relation in Indian Economy in the sense that FDI causes India’s GDP growth. The result asserted that the positive relationship between these two appear to be both reinforcing under the structural reform over the period. However, although India focused on reforms for attracting FDIs, but may also have to be very strategic in targeting the FDIs which can raise the FDIs and improve its quality by maintaining investor friendly environment with focusing on infrastructure, tax concession and effective trade policy etc to attract the higher FDI inflows.

Keywords: Economic growth, FDI, stationary test, Cointegration test, causality test.

JEL: F43, F21, O21