Papers by Velmurugan Shanmugam
Tax havens are jurisdictions that help to save money logically and legally through loopholes and ... more Tax havens are jurisdictions that help to save money logically and legally through loopholes and other tax considerations that are lawful compared to other jurisdictions. So, the foreign residents, companies, or entities having a higher rate of tax find a suitable place to invest their money by taking the advantage of tax regime of such territory, state or country to evade home country taxes. This study measures the investment made by listed Indian multinational companies in these jurisdictions and further assess the countries and sectors contributing to the highest investment and the companies that take maximum advantage of investing in a tax haven. Cross-sectional data of 50 listed Indian multinational companies having tax haven investment during 2020- 21 are considered for the study. The result confirms that “Singapore” which is classified as Tax Haven by FSF-IMF 2000 and TJN 2005 and the sector “metal and mining” has the highest tax haven investment. The sectors that take the ma...
SSRN Electronic Journal, 2017
The monetary rate announcement is one of the important event which bothers bond investors. demone... more The monetary rate announcement is one of the important event which bothers bond investors. demonetization announcement. The effect of demonetization announcement on Indian bond indices was severe while comparing with other monetary policy announcements. The study also indicated that the level of impact of monetary policy announcements on Indian bond indices got increased during the post demonetization period. NIFTY 15 year and above G-Sec is the Indian bond index which reacted more towards the monetary policy and demonetization announcements. Finally, Indian bond market indices shows a tendency to diverge one from another after the events happens.
Derivatives eJournal, 2011
Silver is a metal that is associated with metals like gold, lead, zinc, and copper, though its un... more Silver is a metal that is associated with metals like gold, lead, zinc, and copper, though its unusual properties make it very different from them. It is used in making various kinds of jewelry, as it is considered as a precious metal second to gold but its contribution in the various industrial sectors as a raw material makes it unmatchable. No other metal can replace silver as it has an endless number of uses. India hardly produces any silver and is basically a silver importing country. It holds the 20th place in the list of silver producing countries and the total production of silver in India in 2004 was around 2.1 million ounces. The three major silver producing states in India are Rajasthan, Gujarat, and Jharkhand. Rajasthan is the leading silver-producing state in India with a production of around 32 thousand tons. Gujarat follows on the second place with a production of around 20 thousand tons. The import of silver in India 3250 tons in the year of 2005, 1300 tons in the yea...
Capital Markets: Market Efficiency eJournal, 2013
This study examines the performance of the return of Gold ETFs, Gold mutual fund, and physical Go... more This study examines the performance of the return of Gold ETFs, Gold mutual fund, and physical Gold. Using the data collected from MCX, NSE and SMC Trade Online for the period from April 2007 to September 2012, adopting descriptive statistics, ANOVA and LSD test. Results proved that investing in Gold ETFs are more profitable than investing in Gold Mutual Fund and Physical form of Gold.
Risk, 2011
The last twenty-five years have seen dramatic changes in the global financial system and another ... more The last twenty-five years have seen dramatic changes in the global financial system and another wave of innovation in finance. The most dramatic developments in the global financial system are the enormous growth in instruments for risk transfer and risk management, the growing role played by non-bank financial institutions in capital markets around the world (especially the increased role of hedge funds in bearing risk in derivatives markets and the financial systems generally), and the much greater integration of national financial systems . These changes appear to have made the financial system able to absorb more easily a broader set of shocks, but they have not eliminated risk.
ERN: Asset Pricing Models (Topic), 2013
The short term association between spot return and future return of Great Britain Pound /Indian N... more The short term association between spot return and future return of Great Britain Pound /Indian National Rupee (JPY/INR) currency pair traded in India is the subject of present study. With the objective of examining the short term relationship, we examined the short term causal relationship between Spot return and Futures return of JPY/INR traded in India from the period of February 2010 to December 2012 through Granger causality test. Before the investigation of causality, the descriptive statistical test and Unit root test for stationarity is done through ADF and PP test. The Granger causality test results revealed Spot Return does not causes the Future Return, but Future return is causes the Spot return uni-directionally. The results show clearly that there is a unidirectional causal relationship between Spot return and Future return of JPY/INR currency pair traded in India.
Academy of Accounting and Financial Studies Journal, 2012
INTRODUCTION Agricultural futures markets primarily function as a mechanism for discovering price... more INTRODUCTION Agricultural futures markets primarily function as a mechanism for discovering prices, facilitating financing, and managing market risks associated with price variability and stock holding. Unfortunately, recent volatility and high commodity prices in the commodity futures markets provide uncertainty for agricultural producers, food processors and manufacturers in their price discovery processes. FAO and World Bank data show that food and commodity prices started to rise in 2006 and peaked in 2008 and 2011 (FAO, 2009; FAO, 2011). Other reports indicate that these high agricultural commodity prices have caused inflationary pressures and posed great concern for the global economy and the outlook is that world agricultural prices will continue to remain high and volatile (Abbott, 2009; FAO, 2011)). Many researchers and institutions have linked the recent rise in commodity prices to fundamental economic factors of demand and supply, while others have blamed the speculation ...
ERN: Financial Institutions in Emerging Markets (Topic), 2014
The present paper explores the information from NABARD reports on the Self Help Groups-Bank Linki... more The present paper explores the information from NABARD reports on the Self Help Groups-Bank Linking Programme (SBLP) model performance and its overall progress in Indian Micro Finance system. Two decades of Self Help Groups-Bank Linking Programme (SBLP) has witnessed vast changes in the way of information, knowledge, and guidance is accessed by the SHG members for poor perceive. It is a Dominant model in terms of a number of borrowers and loan outstanding, in terms of coverage this model is considered to be the largest Micro Finance model in the world.
IO: Productivity, 2014
In the light of globalization and internationalization of world markets, foreign exchange risk ha... more In the light of globalization and internationalization of world markets, foreign exchange risk has become one of the most difficult and persistent problems with which financial executives must cope. This risk cannot be avoided but can be managed by hedging instruments. The need and approach for managing it depend on the size of exposure and fluctuations in exchange rate. Indian IT sector is known for the development of software and it mainly depends on exports. They are required to measure and manage exchange rate risk. The survey study on currency hedging practice on Indian IT firms is virtually non-existent. Hence, an attempt is made in this paper to fill this gap, by documenting the Indian IT firms attitude towards currency hedging activity.
Journal of Public Affairs, 2021
This research investigates the impact of crude oil price and government effectiveness on control ... more This research investigates the impact of crude oil price and government effectiveness on control of corruption measures in the oil abundant countries. By using a panel dataset of 18 oil‐producing countries from 2002 to 2017, and panel data regressions, the paper finds that crude oil price and government effectiveness can significantly decrease corruption in the oil‐producing countries. Besides, the findings show that crude oil prices with weaker governments can significantly increase corruption in oil‐producing countries. The results imply that crude oil prices with the institutions that control private investments, public funds, and public employment can significantly determine corruption in the oil abundant countries. In addition, the findings also substantiate rent‐seeking and patronage behaviors in the governments of oil abundant countries. The findings suggest that oil abundant countries must move further from rent‐seeking and patronage motives by promoting private investments ...
SSRN Electronic Journal, 2020
The paper examines the crude oil price effects on the political environment of the top four crude... more The paper examines the crude oil price effects on the political environment of the top four crude oil-consuming countries. The study uses data from 2002 to 2017 to showcase the effect of crude oil price on political environment of crude oil-consuming countries. The study takes Voice and Accountability (VA), Political Stability and Absence of Violence/Terrorism (PS), Government Effectiveness (GE), Regulatory Quality (RQ), Rule of Law (RL) and Control of Corruption (CC) as potential determinants of the political environment. The results indicate that crude oil price has significantly affects USA (VA), China (VA), USA (PS), China (PS), Japan (PS), USA (GE), Japan (GE), USA (RQ), China (RQ), USA (RL), Japan (RL), USA (CC), and Japan (CC). An interesting observation from the result is that out of the top four crude oil-consuming countries, crude oil price mostly affects USA while least affecting India. The empirical finding in this study provides a new understanding of the relationship between crude oil prices and their effect on the political environment.
SSRN Electronic Journal, 2019
An attempt made in this paper to understand the credibility of Corporate Governance regulations r... more An attempt made in this paper to understand the credibility of Corporate Governance regulations relating to mandatory women representation in Indian companies. It considered recent regulatory norms introduced by SEBI on women representation. Reviews of articles and data from NSE 50 companies are taken for the completion of this paper. From the analysis of top 50 companies listed with NSE, using simple percentage analysis and review based analysis it is found that there is relatively poor representation of women in executive ranks in corporations. After the implementation of Sec 149 of Companies Act 2013 there is a drastic change in the women representation. It is found that in many companies' female appointments are made to satisfy the legal provisions in companies act, 2013. This study shows that single women on board and tokenism of female members in board prevent the effective functioning of the women directors in board. This study concluded with valuable recommendations to improve the norms, that leads to more effective implementation of gender diversity on corporate boards in India.
SSRN Electronic Journal, 2019
Corporate Social Responsibility is a contribution by companies to the society for utilising the n... more Corporate Social Responsibility is a contribution by companies to the society for utilising the naturally available resources for increasing their profitability. The Companies Act 2013 made it mandatory to spend at least 2 percent of the Average Net Profit, if the company has net worth of INR 500 Crore or more or turnover exceeds INR 1000 Crore or a Net Profit of INR 5 Crore or more during financial year. The study used the secondary data from the annual reports available from NSE website from which 3 years' profitability and CSR contribution of sample companies were collected. Statistical and financial tools such as percentage, trend analysis, correlation and regression were used for analysing the data. The NSE 200 companies were classified as Banking, Financial Services(excl: Banking), Construction, Power, Manufacturing, Mining and Non-Financial Services. The study reveals that the amount spent by NSE 200 companies on CSR activities are showing an increasing trend which is a good sign for the society whereas companies are not spending 2 percent on net average profit. The study suggests for setting up of separate department under the Ministry of Corporate Affairs for ethical utilization of mandatory CSR funds.
SSRN Electronic Journal, 2017
A study on integration among stock markets from different countries has an enormous importance in... more A study on integration among stock markets from different countries has an enormous importance in a globalized economic world. Being an awful economic force BRICS group of nations can change the economic climate of the world if they are highly financially integrated. The primary objective of this paper is to investigate the integration among BRICS nations during the past 10 years (2005 to 2015) by considering daily price histories of IBrX 50, RTSI, Nifty Index, Shanghai Composite Index, and FTSI - Africa Index for Brazil, Russia, India, China and South Africa respectively. It has been applied Johansen Co-integration Test (1988) and Pairwise Granger Causality test to remark interdependencies and dynamic linkages among selected markets. Surprisingly, Even though it is a Hulking economic force in the world, It has no long run relationship between them and some unidirectional cause and effect relationship only existed. Finally, this paper alleges better candidacy of the stock exchanges in multi-nationally diversified portfolios.
SSRN Electronic Journal, 2016
This paper tests the impact of the commodity transaction tax (CTT) introduced in Indian commodity... more This paper tests the impact of the commodity transaction tax (CTT) introduced in Indian commodity market since July 2013, particularly on market liquidity and volatility aspects. We rely on a distinctive design of the tax, which is imposed only on non agri-commodities. Here, we considered Gold as a proxy for non agri-commodities and MCX agri-index as a proxy for agri-commodities. This provides one control group and one treatment group which allows us to use Difference in Difference approach in order to isolate the impact of the tax from other economic changes that have happened simultaneously. We find that CTT significantly reduces trading and turnover in Gold futures market. The test for conditional variance using GARCH (1,1) model, reveal that CTT did not significantly contributed to volatility contradiction as expected by policy makers. As the results expressed increased volatility in treatment commodity introducing CTT, similar to that of control group, this paper suggests repealing of CTT on non-agri commodities.
SSRN Electronic Journal, 2017
Against the well-established fact that the usefulness and suitability of futures trading in devel... more Against the well-established fact that the usefulness and suitability of futures trading in developing the underlying agricultural commodity market, especially in agriculture based country like India are been questioned by various bodies. Through this work it has been analysing the role of futures trading on agricultural commodities. The effect of futures trading may be of two kinds, that is by way of hedging the price risk and the other way is through price discovery. The data collected for the analysis are the daily price history of spot and futures of five major agricultural commodities (Castor Seed, Chana, Chilli, Jeera, and Wheat) for a period of 7 years started from 2007 to 2014. Here it is revalidated the relationship between price movements of agricultural commodity futures and underlying spot prices by applying econometric analysis tools like Unit Root Test, and Engel-Granger test of Cointegration. The empirical findings proved that an existence of interrelationship between futures price movement and respective underlying spot prices in Indian agricultural commodity market.
SSRN Electronic Journal, 2017
As it is the responsibility of the government, exchanges and the regulator to ensure that suitabl... more As it is the responsibility of the government, exchanges and the regulator to ensure that suitable measures are taken to ensure delivery, some new revolutionary steps are designed by the FMC and the largest agri-commodity exchange NCDEX, in the larger interest of the farmers and to curb excessive speculation (Money Control, 2012). Staggered Delivery facility: In a move which gives the seller an option to tender delivery much before the expiry of the contract, the Regulator has introduced a system of staggered delivery in Compulsory Delivery contracts which could go a long way towards easing pressures towards the expiry of the contract and facilitate convergence in the futures and underlying physical markets. Under this system, the Seller can tender delivery any time from the 5th of the expiring month and the expiry date (for contracts expiring in June 2012 onwards). This would have twin benefits of facilitating smooth closure of the contracts as deliveries would be spread over a period of two weeks and permitting the Seller to tender delivery and exit his position, thereby reducing his holding and margining costs. It would also ensure that only buyers who intend to take delivery would remain in the expiry month contract during this period, thereby reducing speculative interest towards the expiry of the contract. Reduction in Delivery Default Penalty: Hitherto, the penalty on Seller in case of delivery default in a Compulsory Delivery contract was at 3% of the Final Settlement Price plus the difference in the Settlement Price and the average of three of the highest spot prices during five days after expiry of the contract. In scenarios of shortage of goods in the Exchange accredited warehouses, when sellers were not in a position to effect delivery, this led default penalty being priced into the futures prices. The penalty has been reduced to 1.5% plus the difference in the Settlement Price and the average of three of the highest spot prices during five days after expiry of the contract in select commodities "Chana, Mustard Seed & Pepper". Relaxing the penalty percentage would reduce the probability of non-convergence between spot and future prices and ensure more orderly expiries of the contracts. One problem remains with compulsory delivery more specifically in cases of narrow commodities (like pepper) whose production is less. At times, producer could not make deliver of the commodity as per the contract designs due to crop damages while cultivation (caused by erratic weather etc.,) resulting in quality issues. The only way to square off the deal is to deliver the produce at a discount on the contracted price. There can be much more problems which could create a mismatch between the interest of the buyers and the sellers at the time of delivery. It is the duty of the regulator to find suitable solutions (as that of the staggering delivery facility introduced recently) as long as the need for compulsory delivery mechanism holds well.
SSRN Electronic Journal, 2017
Indian agricultural commodity futures market is in the nascent stage. Since lifting of ban on fut... more Indian agricultural commodity futures market is in the nascent stage. Since lifting of ban on futures trading in the beginning of this millennium, it is still facing serious threat from learned and the lay. Like any other futures market, Indian agricultural commodity futures markets are also expected to perform the role of price discovery and risk management. After having outlined the present status of Indian agricultural commodities market, a comprehensive study on the interrelationship between the spot and futures prices of 15 agricultural commodities is carried out to understand the dynamics of the co-integration, price causality and volatility factors which determine the efficiency of those markets for the period which stand different by various economical and market conditions, for arriving at relative conclusions. The Johansen’s co-integration test on the spot and futures data of the 15 agricultural commodities has shown that the spot and futures market were co-integrated). This proved that the market was efficient and the agriculture commodity futures exchanges provided efficient hedge against price risk emerging in respective commodities. The co-integration between spot price and future spot prices is the indication of efficiency and developed nature of the market. The Granger Causality Test results on the direction of flow of information between the spot and futures market shows that in majority (9 out of 15) of the commodities there were bi-directional flow of information. This shows that due to information flow from both sides, spot to future markets and future market to spot market, both were equally responsible for the price discovery process. The unidirectional causal relationship exhibited in six (6) commodities showed that futures market is leading the spot market. Whereas in terms of volatility, the GARCH test results show that there is volatility clustering and persistence throughout the study period. Even the Granger causality test on volatility revealed that the causation of volatility was bi-directional in 10 commodities. To be specific, we show that Indian agricultural commodities markets are highly efficient during the study period, including the period of price spikes and price distortions. The results of this study, stated above, shows that Indian agricultural commodity futures trading is highly efficient and playing the role it is supposed to play pretty good. The conclusions would certainly serve the concerned policy makers in decision making. Let us expect that the scenario of suspension and ban on futures trading in agricultural commodities is not repeated again, in the interest of Indian farmers. In-spite-of the above positive indications of the efficiency of Indian agriculture commodity market, it has witnessed massive and prolonged price escalations since 2007. The price spikes may be attributed to other fundamental factors not related to the scope of a futures exchange and call for further research.
SSRN Electronic Journal, 2017
SSRN Electronic Journal, 2017
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Papers by Velmurugan Shanmugam