INTRODUCTIONInformation Technology (IT) has grown and spread wide so much in the last few decades... more INTRODUCTIONInformation Technology (IT) has grown and spread wide so much in the last few decades that there is no area which has not been touched by it. E-commerce, M-commerce, etc. became buzzwords in the business scenario. Mobile Commerce (M-commerce) is defined as the buying and selling of mobile devices using a wireless connection to establish communication between all the necessary parties to complete the transaction (Samudra& Phadtare, 2012). In M-commerce commercial transactions are made using hand held devices that are connected through wireless networks (Kim et al, 2007). It includes entertainment value-added services, information value-added services, mobile banking, mobile payment, mobile purchases, etc.It has some unique features that give it certain advantages over conventional forms of commercial transactions, including e-commerce. These features are ubiquity, convenience, accessibility, personalization and localization. Mobile banking is a part of m-commerce. It is d...
Volatility Spillover refers to the interaction between volatilities of different financial market... more Volatility Spillover refers to the interaction between volatilities of different financial markets and volatilities can transfer between markets. It is generally understood that the volatility process will show the extent to which new information is assimilated by the market. The paper studies financial innovation management of the Volatility Spillover between the Indian Gold Futures and Spot Gold Commodity Market. This study has used the daily price of futures and spot market of Multi Commodity Exchange, Mumbai for a period of seven years from 1st October 2009 to 30th September 2016. The study employs Bivariate Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model to investigate innovative management of the volatility spillover dynamics. The Bivariate EGARCH Model result reveals that the GARCH effects are statistically significant, signifying that the degree of volatility persistence exists in the case of both Gold futures and spot market returns. This result indicates that there is a tendency for volatility to continue for long periods in both the markets, once a shock has occurred. The leverage effect parameters are positive and statistically significant for both futures and spot market return, indicating the existence of leverage effect. This indicates that positive shocks have a greater impact on this market than the negative shocks. The spillover coefficients are statistically significant for both futures and spot market return, indicating significant bi-directional spillovers exist across the futures and spot markets of Gold. The result indicates that the investor can use the information of one market to predict the behaviour of the other market. All the available information is reflected in the current price as the market assimilates immediately new information and as a consequence, there are no arbitrage opportunities. In contrast to the widely accepted hypothesis of the futures market, that due to its cost and hedging advantages, the futures market leads the spot market, the Indian Gold Futures market, during the period of study, fails to provide early information to spot market.
INTRODUCTIONInformation Technology (IT) has grown and spread wide so much in the last few decades... more INTRODUCTIONInformation Technology (IT) has grown and spread wide so much in the last few decades that there is no area which has not been touched by it. E-commerce, M-commerce, etc. became buzzwords in the business scenario. Mobile Commerce (M-commerce) is defined as the buying and selling of mobile devices using a wireless connection to establish communication between all the necessary parties to complete the transaction (Samudra& Phadtare, 2012). In M-commerce commercial transactions are made using hand held devices that are connected through wireless networks (Kim et al, 2007). It includes entertainment value-added services, information value-added services, mobile banking, mobile payment, mobile purchases, etc.It has some unique features that give it certain advantages over conventional forms of commercial transactions, including e-commerce. These features are ubiquity, convenience, accessibility, personalization and localization. Mobile banking is a part of m-commerce. It is d...
Volatility Spillover refers to the interaction between volatilities of different financial market... more Volatility Spillover refers to the interaction between volatilities of different financial markets and volatilities can transfer between markets. It is generally understood that the volatility process will show the extent to which new information is assimilated by the market. The paper studies financial innovation management of the Volatility Spillover between the Indian Gold Futures and Spot Gold Commodity Market. This study has used the daily price of futures and spot market of Multi Commodity Exchange, Mumbai for a period of seven years from 1st October 2009 to 30th September 2016. The study employs Bivariate Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model to investigate innovative management of the volatility spillover dynamics. The Bivariate EGARCH Model result reveals that the GARCH effects are statistically significant, signifying that the degree of volatility persistence exists in the case of both Gold futures and spot market returns. This result indicates that there is a tendency for volatility to continue for long periods in both the markets, once a shock has occurred. The leverage effect parameters are positive and statistically significant for both futures and spot market return, indicating the existence of leverage effect. This indicates that positive shocks have a greater impact on this market than the negative shocks. The spillover coefficients are statistically significant for both futures and spot market return, indicating significant bi-directional spillovers exist across the futures and spot markets of Gold. The result indicates that the investor can use the information of one market to predict the behaviour of the other market. All the available information is reflected in the current price as the market assimilates immediately new information and as a consequence, there are no arbitrage opportunities. In contrast to the widely accepted hypothesis of the futures market, that due to its cost and hedging advantages, the futures market leads the spot market, the Indian Gold Futures market, during the period of study, fails to provide early information to spot market.
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Papers by Mallika Mathew