Browsing by Author "Sam, Shiney"

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    Cryptocurrency Market Anomaly: The Day-of-the-Week-Effect
    (Indian Institute of Finance, 2023-03-31T00:00:00) Verma, Ruchita; Sharma, Dhanraj; Sam, Shiney
    Cryptocurrency has emerged as a fad amongst investors, academicians and policy-makers as a financial asset, making it important to empirically test the price behaviour of this emerging market. This paper is designed to investigate the presence of a well-known day-of-the-week effect in the young and emerging cryptocurrency market returns from August 2015 to March 2019. Using varied statistical techniques, this anomaly is examined for six cryptocurrencies (Bitcoin, Ethereum, Ripple, Litecoin, Stellar and Tether). The study applies both parametric and non-parametric statistical tests, i.e.,Bar Graph, Heat map, Student�s t-test, Analysis of Variance (ANOVA),regression analysis with dummy variables and the Kruskal Wallis Test. The study�s findings show that no sample cryptocurrency returns exhibit the day-of-the-week effect phenomenon.The statistically insignificant result of the day-of-the-week effect in thecryptocurrency returns showcases the evidence of market efficiency in the cryptocurrency market. � Indian Institute of Finance.
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    Does Google Trend Affect Cryptocurrency? An Application of Panel Data Approach
    (SCMS Group of Educational Institutions, 2023-04-03T00:00:00) Verma, Ruchita; Sam, Shiney; Sharma, Dhanraj
    Cryptocurrency has emerged globally as the most profitable investment asset of the decade. The media exposure and reportage on cryptocurrency are frequent, and it seems that prices of cryptocurrencies could only rise higher. In today's digital world, any individual's first go-to information-seeking platform is the Google search engine. Thus, it is imperative to understand how Google's search trend affects an investable asset and its market as a whole. Researchers have explored varied sentiment measurement proxies such as news coverage, Facebook and Twitter posts, and, most importantly, Google searches. Numerous research studies show increasing interest in Google search volume and its predictive ability to understand investment returns and economic outcomes. In a behavioural finance context, the present research uses Pearson's correlation and panel regression to examine the association of cryptocurrency returns (Bitcoin, Ethereum, and Ripple) and their varied characteristics with the Google search intensity. The study's findings reveal that investors searching for information on Cryptocurrency online drive the price increase in cryptocurrency and push the trading volume up and increase the volatility of the cryptocurrency returns. Furthermore, investor sentiment has a statistically significant impact on cryptocurrencies' trading volume and weekly volatility in periods of high or greedy investor sentiment. The findings imply that the 'price pressure hypothesis' given by Barber and Odean (2008) as a stock market research finding is also present in the cryptocurrency market. � 2023 SCMS Group of Educational Institutions. All rights reserved.
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    Reaction of Indian Stock Market to Outbreak of COVID-19: An Empirical Analysis of Extreme Inter-day Movements
    (Sage Publications India Pvt. Ltd, 2023-10-07T00:00:00) Sharma, Dhanraj; Verma, Ruchita; Sam, Shiney; Sharma, Shubham
    The contagious COVID-19 pandemic has been considered a massive global crisis since World War II and has disturbed business and economic activities across the globe. The current study examined the reaction of the stock market�s to the outbreak of COVID-19, considering the extreme inter-day movements in the Indian stock market. The extreme inter-day movements in S&P CNX Nifty-50 have been identified during the study period from January 2020 to December 2021 and further classified into decline and gain events based on positive and negative announcements related to COVID-19. The study utilized an event study approach and panel regression for empirical investigation. The results of the event study analysis illustrate that the significant abnormal loss ranges from 12.86% to 2.47% for the major decline events and significant abnormal return from 8.43% to 3.23% for the gain events. The regression analysis results showed that real return and Central Bank Policy rate have a considerable impact on the abnormal returns during COVID-19. The study�s findings are helpful to policy implications that identified the need to focus on financial education and strengthen the health and finance-related policies to deal with such pandemics in the future. � 2023 MDI.
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    Relationship between Bank-Specific Factors and Non-Performing Assets of Indian Banks during post Global Financial Crisis Era
    (Indian Institute of Finance, 2022-06-01T00:00:00) Verma, Ruchita; Sharma, Dhanraj; Sharma, Shubham; Sam, Shiney
    The study aims to analyze the relationship between Bank-specific factors and Non-Performing Assets (NPAs) of the Indian banks. The sample of the study consists of 21 public sector and 19 private sector banks which accounted for 96.42% of banking operation in India and were continuously in existence for the study period of 10 years i.e. from 2009-10 to 2018-19.The study considered NPAs as dependent variable and used bank-specific indicators as independent variables. The study found concentration of NPAs and advances in public sector banks and higher concentration in private sector bank. Further, based on stability based classification, the study found Induslnd bank; Nainital bank and Yes Bank are the highly unstable banks in Indian banking sector. Using panel data regression approach, the result shows that NPAs can be managed efficiently by improving Return on Assets and Credit Deposit Ratio. � Indian Institute of Finance.
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    STOCK MARKET REACTION TO COVID-19 PANDEMIC: An Empirical Analysis of Major Global Indices
    (Nigerian Economic Society, 2022-11-30T00:00:00) Verma, Ruchita; Sharma, Dhanraj; Sam, Shiney
    The present study examined the behaviour of the ten major stock indices with the highest market capitalization in the global financial market during the COVID-19 pandemic, using an event study approach. Further, the abnormal returns (AR) from the event study are regressed on the death cases due to COVID-19, on returns of selected stock indices, and on market returns to obtain more robust results. The results revealed that all the major indices were affected by the lockdown announcement in their respective countries and continued to yield negative abnormal returns during the lockdown phase, except the Hang Sheng Index of Hong Kong. The opposite reaction of the investors in Hong Kong led to an unperturbed Hang Sheng stock market amid a global crisis. Findings will help investors understand the behaviour of major stock indices during a crisis period and enable them prepare their portfolios accordingly to withstand risky periods. Also, investors' attitudes towards investment risk can make a notable difference in the economy. � 2022, Nigerian Economic Society. All rights reserved.
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    Testing of Random Walk Hypothesis in the Cryptocurrency Market
    (Sage Publications India Pvt. Ltd, 2022-05-30T00:00:00) Verma, Ruchita; Sharma, Dhanraj; Sam, Shiney
    Cryptocurrency as a financial asset has emerged as a fad among investors, academicians and policymakers alike. In a financial purview, this study intends to empirically test the behaviour of the cryptocurrency return, inferring its market efficiency. For this purpose, daily data of five cryptocurrencies (Bitcoin, Ethereum, Litecoin, Tether and Ripple) have been collected from 1 January 2016 to 31 March 2021 to investigate the well-known financial theory of random walk hypothesis for this young market. To provide statistical evidence and ensure the robustness of results, analysis is performed using the variance ratio test, augmented Dickey�Fuller test, Philip�Perron test, Breusch�Godfrey serial correlation LM test and ARIMA model. The statistical results illustrated strong evidence refuting the presence of the random walk hypothesis in this emerging market, thus implying inefficiency in the cryptocurrency market. Furthermore, the absence of random walk in the cryptocurrency makes this financial asset predictable, giving investors an arbitrage edge to earn abnormal gains using trading strategies, which is euphoria. � 2022 Fortune Institute of International Business.