Price and Volatility Linkages Between Indian Stocks and Their European GDRs (Record no. 52892)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01941nam a2200217 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20191121150841.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 191121b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Madhavan,Vinodh |
| 9 (RLIN) | 35022 |
| 245 ## - TITLE STATEMENT | |
| Title | Price and Volatility Linkages Between Indian Stocks and Their European GDRs |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 213S-237S p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | This article tests for price and volatility linkages between Indian global depositary receipts (GDRs) traded in Luxembourg/London and their underlying shares traded in Mumbai. The relationship is studied between the GDR price and the domestic share price along with the appropriate exchange rates, the foreign stock index and the domestic stock index using the vector autoregression (VAR) and dynamic conditional correlation (DCC) specification of multivariate generalised autoregressive conditional heteroscedasticity (GARCH) models. VAR results indicate a similarity between the two prices of scrips: one trading in Mumbai and the other trading in Luxembourg (London). Further, DCC-GARCH model outcomes point to, by and large, a high-dynamic correlation between Indian GDRs traded in Luxembourg/London and their underlying stocks listed in Mumbai. Thus, the price and volatility linkages between the Indian stock and its European counterpart are invariant with respect to the choice of the foreign stock exchange. Such a similarity in findings, notwithstanding the difference in degree of information disclosure as well as listing requirements at London and Luxembourg, is perhaps indicative of the stock-exchange-invariant nature of law of one price. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Dual listing |
| Uncontrolled term | GDR, |
| Uncontrolled term | India |
| Uncontrolled term | vector autoregression |
| Uncontrolled term | DCC-GARCH |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Ray,, Partha |
| 9 (RLIN) | 35023 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 29445 |
| Host Itemnumber | 77278 |
| Main entry heading | GANGOPADHYAY, SHUBHASIS |
| Place, publisher, and date of publication | NEW DELHI SAGE PUBLICATION PVT. LTD. |
| Other item identifier | 55511089 |
| Title | JOURNAL OF EMERGING MARKET FINANCE |
| International Standard Serial Number | 0972-6527 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 21/11/2019 | Vol 18, No 2S/ 55511089JA3 | 55511089JA3 | 21/11/2019 | 21/11/2019 |