Co-movement and spillovers: empirical evidence from BRIC equity markets

A higher degree of co-movement and spillover effects among different asset classes undermine portfolio diversification benefits. In this regard, the present study attempts to capture dynamic co-movement and return-volatility spillover effects among the most promising emerging equity markets, i.e. Brazil, Russia, India and China in a multivariate framework by employing VAR-ABEKK and VAR-DCC-AGARCH (1,1) models. To further comprehend the behaviour of the correlation coefficients during the global financial crisis period (2007–2009), heat map and Markov regime switching model (two regimes with a switch at ‘mean’ level only) have been used. The results report that the BRIC equity markets do not share a common stochastic trend in the long run. There is strong evidence of market shocks to volatility, volatility to volatility and negative shocks to volatility spillover effects among the BRIC markets. Overall, the BRIC markets are partially integrated with each other, thereby making them stronger investment candidates.     

A Short Note on Information Transmissions Across US-BRIC Equity Markets: Evidence from Volatility Spillover Index

Journal of Quantitative Economics - The present study is the first of its kind capturing information transmissions among the US and BRIC equity markets through the creation of a total spillover...     

Insider stock pledging and stock price informativeness: Evidence from India

Insiders’ shares can act as collateral while raising funds from lenders. This study examines the impact of insiders’ stock pledging activities on stock price informativeness using a sample of 1835 Indian firms. Our findings report that insider stock pledging increases the informational efficiency of stock prices. This informational efficiency increases for larger firms with: (1) financial constraints (high leverage and low cash holdings); (2) greater reliance on trade credit; and (3) higher indulgence in related party transactions. We also provide evidence on abnormal share turnover as a trading mechanism through which insider stock pledging is related to stock price informativeness. Our findings are robust across different specifications and after accounting for endogeneity issues.     

Economic growth and labor investment efficiency

We examine the relationship between economic growth and labor investment efficiency. Using a sample of US firms from 1991 to 2019, our findings suggest that labor investment inefficiency increases with the expansion of economic activities. Although economic growth increases labor overinvestment, it also decreases labor underinvestment. The magnitude effect of economic growth is more pronounced for labor overinvestment. Labor investment inefficiency is noticeable during low economic policy uncertainty. Economic growth-induced labor investment inefficiency is pronounced for (1) large firms, (2) high labor intensity firms, and (3) firms with overinvestment in non-labor investments. Further, economic growth negatively (positively) influences the firm's future performance for labor overinvested (underinvested) firms. Our findings remain robust to alternative specifications.