Does US Financial Stress Explain Risk–Return Dynamics in Indian Equity Market? A Logistic Regression Approach

Singh, Amanjot and Kaur, P 2017, Does US Financial Stress Explain Risk–Return Dynamics in Indian Equity Market? A Logistic Regression Approach, Vision, vol. 21, no. 1, pp. 13-22, doi: 10.1177/0972262917695116.

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Title Does US Financial Stress Explain Risk–Return Dynamics in Indian Equity Market? A Logistic Regression Approach
Author(s) Singh, AmanjotORCID iD for Singh, Amanjot orcid.org/0000-0003-3575-4382
Kaur, P
Journal name Vision
Volume number 21
Issue number 1
Start page 13
End page 22
Total pages 10
Publisher Sage Publications
Place of publication London, Eng.
Publication date 2017
ISSN 0972-2629
2249-5304
Keyword(s) Equity market
financial stress
India
Markov regime switch
risk–return
US
Summary The present study attempts to capture the impact of the US financial stress on the risk–return dynamics in the Indian equity market by employing Markov regime switching and binary logistic regression model. The span of data ranges from 2004 to 2013. The study uses weekly closing local values of benchmark equity indices ‘CNX Nifty 50 and S&P 500’ and St. Louis Fed Financial Stress Index (SFSI). The said index captures stress in the US financial system on a weekly basis. The Markov results support the existence of ‘Bull’ regime as well as ‘Bear’ regime in the Indian equity market. Corresponding to this, the logistic regression model indicates a positive impact of the US financial stress on the probability for the existence of bear regime. Particularly, the probability for the existence of bull regime approaches zero, when the stress in the US financial system crosses the level of two. The results support strong implications for the investors in the Indian equity market against the stress in the US financial system.
Language eng
DOI 10.1177/0972262917695116
Indigenous content off
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Persistent URL http://hdl.handle.net/10536/DRO/DU:30150403

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
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