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All Journal JABM JOURNAL of ACCOUNTING - BUSINESS & MANAGEMENT
Sanjay Sehgal
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Other

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Drivers of Option Liquidity: Evidence from India Sanjay Sehgal; Vijaykumar N
Journal of Accounting, Business and Management (JABM) Vol 15 No 2 (2008): October
Publisher : STIE Malangkucecwara

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Abstract

The financial derivatives market in India has a more recent origin compared to the stock market. In this paper we investigate the relationship between the stock market characteristics and option market liquidity using daily data for equity options and underlying stocks in the Indian context. We find that while option liquidity proxies (options contract volume in terms of numbers and rupee value) are positively related with stock price, stock liquidity and stock return volatility; it is inversely related to uncertainty in the information environment measured by company size. We also find evidence for day of the month effect for at least one year of the study. We get consistent results with both the measures of option liquidity (options contract volume in terms of numbers and rupee value) as well as for different option types (call and put options). The findings are in the conformity with those for developed markets and shall be useful for institutional investors who actively trade in the options market owing to lower transaction cost, leverage advantage and short sale restrictions on the underlying stocks.
Short-Term Persistence in Mutual Funds Performance: Evidence from India Sanjay Sehgal; Manoj Jhanwar
Journal of Accounting, Business and Management (JABM) Vol 15 No 1 (2008): April
Publisher : STIE Malangkucecwara

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In this paper, we examine if there is any short-term persistence in mutual funds performance in the Indian context. We find no evidence that confirms persistence using monthly data. Using daily data, we observe that for fund schemes sorted on prior period four-factor abnormal returns, the winners portfolio does provide gross abnormal returns of 10% per annum on post-formation basis. The economic feasibility of zero-investment trading strategies that involve buying past winners and selling past losers is however in doubt. This is owing to the fact that these strategies generate low gross returns and that the winners portfolios involve higher investment costs than losers portfolios, thus eliminating a major portion of extra-normal returns. Our empirical findings are consistent with the efficient market hypothesis and have implications for hedge funds and other managed portfolios who rely on innovative investment styles, including the "fund of funds" trading strategies that implicity assume short-term persistence
Co-Authors Manoj Jhanwar Vijaykumar N