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Madhumita Chakraborty
Indian Institute of Management Lucknow
FinanceFinancial economicsEconomicsStock marketStock (geology)
11Publications
2H-index
30Citations
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Publications 12
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#1Vaibhav Lalwani (Indian Institute of Management Lucknow)
#2Udayan Sharma (Indian Institute of Management Lucknow)
Last. Madhumita Chakraborty (Indian Institute of Management Lucknow)H-Index: 2
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Abstract This study attempts to investigate the presence of post event over- or under-reaction in stock markets of the top 10 countries by market capitalisation. An event is defined as an extreme price movement beyond a pre-defined threshold. Intra-day stock returns at 10-minute frequency starting from June 2009 till May 2016 have been analysed using average cumulative returns (ACR) and average cumulative abnormal returns (ACAR) for a 6-day duration after the event. It appears that there is pres...
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#1Vaibhav Lalwani (Indian Institute of Management Lucknow)
#2Madhumita Chakraborty (Indian Institute of Management Lucknow)H-Index: 2
ABSTRACTRecent studies in macro accounting suggest that changes in aggregate accounting earnings can predict quarterly GDP growth in the USA. Our objective in this study is to test the robustness o...
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#1Sowmya Subramaniam (Indian Institute of Management Lucknow)
#2Madhumita Chakraborty (Indian Institute of Management Lucknow)H-Index: 2
AbstractThe erratic price behavior and inefficiency in the crypto markets offer possibility to examine the behavioral aspects in cryptocurrency prices. Further, the cryptocurrency market is dominat...
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#1Vaibhav Lalwani (Indian Institute of Management Lucknow)
#2Madhumita Chakraborty (Indian Institute of Management Lucknow)H-Index: 2
We test if seven commonly used asset-pricing factors predict future growth in GDP and industrial production. There is minimal evidence that asset-pricing factors other than the market factor predict future economic growth. Predictive power of these factors reported in earlier literature seems to have attenuated.
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#1Vaibhav Lalwani (Indian Institute of Management Lucknow)
#2Madhumita Chakraborty (Indian Institute of Management Lucknow)H-Index: 2
Purpose The purpose of this paper is to explore whether stock selection strategies based on four fundamental quality indicators can generate superior returns compared to overall market. Design/methodology/approach The sample of stocks comprises the constituents of BSE-500 index, which is a broad based index consisting of highly liquid stocks from all 20 major industries of the Indian economy. Portfolios are constructed on the basis of quality indicator rankings of companies and the returns of th...
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#1Aditi Singh (Indian Institute of Management Lucknow)H-Index: 1
#2Madhumita Chakraborty (Indian Institute of Management Lucknow)H-Index: 2
This paper empirically investigates the relation between corporate social responsibility disclosure (CSRD) and financial performance (FP) of firms in India. There are a few studies that have explored the linkage of CSRD and FP in context of India. The empirical analysis is conducted on a longitudinal dataset comprising of CNX Nifty 100 firms for three years (2012–2014). Multiple regression analysis has been employed to analyse the relation between CSRD and FP variables. The overall empirical res...
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In this article, the efficient market hypothesis (EMH) is tested for US and Indian stock markets and Indian American depositary receipts (ADRs) and their underlying stocks. The approach used to observe changing market efficiency is time-varying Hurst exponent. The Hurst values have been calculated after filtering the financial asset return series for short-term dependence and volatility. Rolling window approach has been used to calculate Hurst exponent and observe time-varying long-range depende...
1 CitationsSource
#1Madhumita Chakraborty (Indian Institute of Management Lucknow)H-Index: 2
There is a vast literature on asset return predictability in a linear regression framework. However, there is increasing evidence that asset returns may be better characterized by a model which allows for nonlinear behavior. In this paper, an attempt is made to examine the nonlinear behavior of returns of four exchange rates of Indian rupee with respect to Euro, British Pound, US Dollar and Japanese Yen, by utilizing tests based on nonlinear modeling. The application of BDS test strongly rejects...
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