Bhaumik, S. orcid.org/0000-0002-4459-3659, Chakrabarty, M., Kutan, A. et al. (1 more author) (2021) How effective are stock market reforms in emerging market economies? Evidence from a panel VAR model of the Indian stock market. Journal of Quantitative Economics, 19 (4). pp. 795-818. ISSN 0971-1554
Abstract
The paper uses a panel VAR framework to estimate the impact of a series of reforms aimed at reducing transactions cost and information cost in India’s secondary market for equity, on trading cost and trading volume. In particular, we focus on the reforms that were introduced after the creation of the National Stock Exchange (NSE) and screen-based trading that have been much discussed in the literature. Our results suggest that only the creation of the clearing corporation that reduced or eliminated counterparty risk had an economically meaningful/significant impact on trading cost and volume. We also find that the impact was much greater for mid-cap firms and, to a lesser extent, for small-cap firms than for large-cap firms. Further, while trading costs and trading volumes Granger cause each other for mid-cap firms, there is only one-way causality for large-cap firms—trading cost Granger causes volume but the reverse is not true, and for small-cap firms there is no causal relationship between the two. The policy implications of these findings are discussed in the paper.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | © The Author(s), under exclusive licence to The Indian Econometric Society 2021. This is an author-produced version of a paper subsequently published in Journal of Quantitative Economics. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Stock market reforms; Trading cost; Trading volume; Panel VAR; Emerging market |
Dates: |
|
Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Funding Information: | Funder Grant number UK-INDIA EDUCATION AND RESEARCH INITIATIVE nan |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 14 Oct 2021 14:55 |
Last Modified: | 05 Nov 2022 01:13 |
Status: | Published |
Publisher: | Springer Nature |
Refereed: | Yes |
Identification Number: | 10.1007/s40953-021-00253-z |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:178959 |