Social Media is getting incredibly popular amongst brands and consumers both. This study aims to identify the constructs of perceived Social Media Marketing (SMM) activities of an e-commerce brand, Amazon and to evaluate the influence of those activities on customer equity drivers; value equity, relationship equity and brand equity and purchase intention using a PLS-SEM approach. The five constructs of perceived SMM activities are Interactivity, Informativeness, Personalization, Trendiness and Word of Mouth. The effects of SMM activities on value equity, relationship equity and brand equity were significantly positive. Out of the three customer equity drivers, only brand equity had a significant impact on the purchase intention, whereas value equity and relationship equity had no significant influence on purchase intention. The findings of this study will help the e-commerce brands to forecast the future purchasing behavior of their customers as well as manage their SMM activities.
{"title":"Influence of Social Media Marketing on Customer Equity Drivers and Purchase Intention: Understanding World’s Most Valuable Brand - Amazon","authors":"Bhawna Agarwal, Anju Gulla","doi":"10.53908/nmmr.300216","DOIUrl":"https://doi.org/10.53908/nmmr.300216","url":null,"abstract":"Social Media is getting incredibly popular amongst brands and consumers both. This study aims to identify the constructs of perceived Social Media Marketing (SMM) activities of an e-commerce brand, Amazon and to evaluate the influence of those activities on customer equity drivers; value equity, relationship equity and brand equity and purchase intention using a PLS-SEM approach. The five constructs of perceived SMM activities are Interactivity, Informativeness, Personalization, Trendiness and Word of Mouth. The effects of SMM activities on value equity, relationship equity and brand equity were significantly positive. Out of the three customer equity drivers, only brand equity had a significant impact on the purchase intention, whereas value equity and relationship equity had no significant influence on purchase intention. The findings of this study will help the e-commerce brands to forecast the future purchasing behavior of their customers as well as manage their SMM activities.","PeriodicalId":43057,"journal":{"name":"NMIMS Management Review","volume":" ","pages":""},"PeriodicalIF":0.2,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49025393","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Purpose: This paper considers personality, one not so extensively researched factor affecting investment decisions. It understands how personality traits affect an individual’s investment risk profile, and also how demographics affect this risk and personality. Methodology: For this purpose, a survey is conducted in Kolkata and Ranchi, with a total of 119 respondents. Investors’ personality is analyzed through Big Five Personality Trait Model. Risk Profile of investors is measured using Likert scale questions. Correlation, ANOVA or Chi Square tests are used to find relations between personality traits, risk taken and demographics. Findings: This study found positive correlations between Openness to Experience and Neuroticism with Investor Risk. It found significant relations between Gender and Risk Taken. Neuroticism & Gender, Extroversion & Employment, and Extroversion & Income were also found to be significantly related. Practical Implications: Understanding the financial personality helps in finding the reason behind an individual’s investment decision making, and how that individual is going to react to factors involved in investing. Originality/Value: Even though personality characteristics are important aspect, only recently have economists began analyzing their effect on financial decisions. This study will concentrates on this area, and explains how personality of the investor affects his/her risk perception.
{"title":"Does Your Personality Affect the Investment Risk You Take?","authors":"Shiwangi Poddar, Risav Adhikari","doi":"10.53908/nmmr.300215","DOIUrl":"https://doi.org/10.53908/nmmr.300215","url":null,"abstract":"Purpose: This paper considers personality, one not so extensively researched factor affecting investment decisions. It understands how personality traits affect an individual’s investment risk profile, and also how demographics affect this risk and personality. Methodology: For this purpose, a survey is conducted in Kolkata and Ranchi, with a total of 119 respondents. Investors’ personality is analyzed through Big Five Personality Trait Model. Risk Profile of investors is measured using Likert scale questions. Correlation, ANOVA or Chi Square tests are used to find relations between personality traits, risk taken and demographics. Findings: This study found positive correlations between Openness to Experience and Neuroticism with Investor Risk. It found significant relations between Gender and Risk Taken. Neuroticism & Gender, Extroversion & Employment, and Extroversion & Income were also found to be significantly related. Practical Implications: Understanding the financial personality helps in finding the reason behind an individual’s investment decision making, and how that individual is going to react to factors involved in investing. Originality/Value: Even though personality characteristics are important aspect, only recently have economists began analyzing their effect on financial decisions. This study will concentrates on this area, and explains how personality of the investor affects his/her risk perception.","PeriodicalId":43057,"journal":{"name":"NMIMS Management Review","volume":" ","pages":""},"PeriodicalIF":0.2,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46670555","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Purpose: Recently, the concept of hybrid organizations has re-emerged. These companies specialize in tackling social or economic issues while pursuing business goals through incorporating both targets in their mission. China currently faces many social and environmental challenges such as an aging population, regional economic imbalances, and a social change development. Hence, after discussing the concept of hybrid organizations, our research article will analyze these issues. Methodology: Two case studies have been conducted to provide practical insights in the operating models of hybrid organizations in China. Findings: Hybrid organizations have found their place in China’s economy and have been able to benefit China economically. Through the examination of hybrid organizations in China, this research highlights the reasons behind the win-win partnership of hybrid organizations in the formal and informal sector in China. Practical Implications: This article hopes to inform the viewers of the reasons behind the emergence of hybrid organizations and the incentives for these organizations to persist. Originality: The study examines the sustainability emergence, development, and economic performance of hybrid organizations in China with the help of case studies. A deeper dive into the topic of hybrid organizations was examined by defining the definition, business model, types of hybrid organizations and their strengths and weaknesses.
{"title":"Sustainability Emergence, Development, and Performance: Cases of Hybrid Chinese Organizations","authors":"M. Singleton, Franziska Grose, Karolina Pregowska, Jinglin Guo, Mitchell Jares, Sajal Kabiraj","doi":"10.53908/nmmr.300102","DOIUrl":"https://doi.org/10.53908/nmmr.300102","url":null,"abstract":"Purpose: Recently, the concept of hybrid organizations has re-emerged. These companies specialize in tackling social or economic issues while pursuing business goals through incorporating both targets in their mission. China currently faces many social and environmental challenges such as an aging population, regional economic imbalances, and a social change development. Hence, after discussing the concept of hybrid organizations, our research article will analyze these issues. Methodology: Two case studies have been conducted to provide practical insights in the operating models of hybrid organizations in China. Findings: Hybrid organizations have found their place in China’s economy and have been able to benefit China economically. Through the examination of hybrid organizations in China, this research highlights the reasons behind the win-win partnership of hybrid organizations in the formal and informal sector in China. Practical Implications: This article hopes to inform the viewers of the reasons behind the emergence of hybrid organizations and the incentives for these organizations to persist. Originality: The study examines the sustainability emergence, development, and economic performance of hybrid organizations in China with the help of case studies. A deeper dive into the topic of hybrid organizations was examined by defining the definition, business model, types of hybrid organizations and their strengths and weaknesses.","PeriodicalId":43057,"journal":{"name":"NMIMS Management Review","volume":" ","pages":""},"PeriodicalIF":0.2,"publicationDate":"2022-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48394072","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Industrialization arrived with its promise that any amount of mechanization leading to the adoption of new technology and mass production scale can solve any level of human malaise. However, over the decades, the world has become the dump yard of human greed. The Take- Make- Waste Model, promoted mainly by the developed, western world, has built global waste to such a level that the natural earth can no more absorb it by itself. Almost two centuries of mindless production have put pressure on the natural absorption process of wilful waste. This has led to higher carbon footprints, grievous environmental injury, and dangerous imperative due to climate change. The planet faces three crises of climate change, natural and biodiversity loss, and pollution and waste. What is driving these crises- is unsustainable consumption and production practices. The civilization is at a critical crossroad where the only solution seems to be a path of circularity and sustainability.
{"title":"Can Circularity Solve the Problem?","authors":"T. Panda","doi":"10.53908/nmmr.30010e","DOIUrl":"https://doi.org/10.53908/nmmr.30010e","url":null,"abstract":"Industrialization arrived with its promise that any amount of mechanization leading to the adoption of new technology and mass production scale can solve any level of human malaise. However, over the decades, the world has become the dump yard of human greed. The Take- Make- Waste Model, promoted mainly by the developed, western world, has built global waste to such a level that the natural earth can no more absorb it by itself. Almost two centuries of mindless production have put pressure on the natural absorption process of wilful waste. This has led to higher carbon footprints, grievous environmental injury, and dangerous imperative due to climate change. The planet faces three crises of climate change, natural and biodiversity loss, and pollution and waste. What is driving these crises- is unsustainable consumption and production practices. The civilization is at a critical crossroad where the only solution seems to be a path of circularity and sustainability.","PeriodicalId":43057,"journal":{"name":"NMIMS Management Review","volume":" ","pages":""},"PeriodicalIF":0.2,"publicationDate":"2022-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44139731","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Purpose: Store positioning via technology and retail image are the factors that influence store loyalty and the success of the retail. The objective of this study is to assess the relation between positioning via in-store technology, store image and store loyalty in Indian retail fashion outlets. Furthermore the mediation affect of store image on the in-store technology and store loyalty relationship is analyzed. Design/Methodology/Approach: On a sample of 284 customers, structural equation modelling via Amos has been employed to test the proposed hypotheses. Convenience sampling has been used for data collection. Findings: The results reveal that the in-store technology positively influences store image which further positively impacts customer loyalty towards the store. Finally store image partially mediates the relationship between in-store technology and store image. Originality: The study has empirically tested the relation and provided evidence that in store technology is an important dimension, which shoppers consider to position stores in their minds.
{"title":"In-Store Technology for Store Positioning and Store Loyalty","authors":"Vibhu Johar, Alaka Sharma","doi":"10.53908/nmmr.300106","DOIUrl":"https://doi.org/10.53908/nmmr.300106","url":null,"abstract":"Purpose: Store positioning via technology and retail image are the factors that influence store loyalty and the success of the retail. The objective of this study is to assess the relation between positioning via in-store technology, store image and store loyalty in Indian retail fashion outlets. Furthermore the mediation affect of store image on the in-store technology and store loyalty relationship is analyzed. Design/Methodology/Approach: On a sample of 284 customers, structural equation modelling via Amos has been employed to test the proposed hypotheses. Convenience sampling has been used for data collection. Findings: The results reveal that the in-store technology positively influences store image which further positively impacts customer loyalty towards the store. Finally store image partially mediates the relationship between in-store technology and store image. Originality: The study has empirically tested the relation and provided evidence that in store technology is an important dimension, which shoppers consider to position stores in their minds.","PeriodicalId":43057,"journal":{"name":"NMIMS Management Review","volume":" ","pages":""},"PeriodicalIF":0.2,"publicationDate":"2022-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45926256","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Purpose: The paper aims at systematic and critical evaluation of the research papers for the past 21 years and to analyze the year-wise contribution of different journals and countries’ contributions in the domain of behavioral finance. Methodology: The research was based on searching keywords like behavioral finance, psychological biases, investors’ behavior, behavioral biases, and investors’ decision making in the electronic databases of Emerald, Scopus, and Taylor & Francis Online. The survey covers a period of 21 years from 2000 to 2020 and with a total of 86 articles. Findings: The survey shows that there is an increase in research in this newly emerging field of study. Moreover, there is an upward trend so far as the contribution is concerned by different researchers in this new domain and the maximum contribution is by Indian researchers. Initially, in the early years, researchers focused on the conceptual research paper and systematic review of behavioral finance and later on researchers focused on more empirical research paper evidence to underpin behavioral finance as a separate field of study. Originality: The domain of behavioral finance is in a very nascent stage. The scholars in this domain need a clear view of the direction of research in behavioral finance. This review paper provides a background and evolution of behavioral finance over a period of time and also suggests the prospective future research scope.
目的:本文旨在对过去21年的研究论文进行系统和批判性的评价，并分析不同期刊和国家在行为金融学领域的年度贡献。研究方法:在Emerald、Scopus、Taylor & Francis Online等电子数据库中检索行为金融学、心理偏差、投资者行为、行为偏差、投资者决策等关键词。调查时间从2000年到2020年共21年，共86篇文章。调查显示，在这一新兴研究领域的研究正在增加。此外，就不同研究人员在这一新领域的贡献而言，有上升趋势，其中印度研究人员的贡献最大。最初，在早期，研究人员专注于行为金融学的概念研究论文和系统综述，后来研究人员专注于更多的实证研究论文证据，以支持行为金融学作为一个独立的研究领域。原创性:行为金融学领域还处于非常初级的阶段。这一领域的学者需要对行为金融学的研究方向有一个清晰的认识。本文回顾了行为金融学的发展背景和发展历程，并对未来的研究方向进行了展望。
{"title":"Trends in Behavioral Finance: A Literature Survey","authors":"A. Das","doi":"10.53908/nmmr.300105","DOIUrl":"https://doi.org/10.53908/nmmr.300105","url":null,"abstract":"Purpose: The paper aims at systematic and critical evaluation of the research papers for the past 21 years and to analyze the year-wise contribution of different journals and countries’ contributions in the domain of behavioral finance. Methodology: The research was based on searching keywords like behavioral finance, psychological biases, investors’ behavior, behavioral biases, and investors’ decision making in the electronic databases of Emerald, Scopus, and Taylor & Francis Online. The survey covers a period of 21 years from 2000 to 2020 and with a total of 86 articles. Findings: The survey shows that there is an increase in research in this newly emerging field of study. Moreover, there is an upward trend so far as the contribution is concerned by different researchers in this new domain and the maximum contribution is by Indian researchers. Initially, in the early years, researchers focused on the conceptual research paper and systematic review of behavioral finance and later on researchers focused on more empirical research paper evidence to underpin behavioral finance as a separate field of study. Originality: The domain of behavioral finance is in a very nascent stage. The scholars in this domain need a clear view of the direction of research in behavioral finance. This review paper provides a background and evolution of behavioral finance over a period of time and also suggests the prospective future research scope.","PeriodicalId":43057,"journal":{"name":"NMIMS Management Review","volume":" ","pages":""},"PeriodicalIF":0.2,"publicationDate":"2022-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42340425","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Purpose- Consumers have increased their concerns in natural ingredients, sustainable packaging, and other green elements of products. The study was intended to evaluate customers’ attitude, concern, behavior and knowledge on green products. Methodology- The study is based on considering qualitative research based on questionnaire research. On the basis of that, the data is collected using the SPSS software in order to analyze the data collected. In addition to that, regression and correlation are used to gain a better understanding of the topic of discussion. Evaluation was based on survey. 129 individuals’ responses were collected and their participation was completely voluntary. Findings & Results- The results computed using multiple regression analysis showed that brand authenticity and green product price significantly influences consumers’ decision of purchase of those products. The response of the research stated positive outcome and most of the respondents were aware about green products. H4 is supported, clearly inferring that awareness of brand is a strong factor in making purchase decision of green products. It can be clearly inferred from the results that consumers’ awareness, brand value and price of the product significantly influences purchasing decision of the consumer. An individual having little concern for environment have a stronger inclination towards green products. Practical Implications- The findings may yield useful information for environmental sustainability. Consumers will become more conscious of their purchases. It will bring behavioural change towards environmental sustainability. The more aware the consumer is, the safer our environment will be.
{"title":"An Analytical Study of Consumer Attitude towards Green Products","authors":"Farah Tazeen, Azmee Zaheer, Prof. N. H. Mullick","doi":"10.53908/nmmr.300103","DOIUrl":"https://doi.org/10.53908/nmmr.300103","url":null,"abstract":"Purpose- Consumers have increased their concerns in natural ingredients, sustainable packaging, and other green elements of products. The study was intended to evaluate customers’ attitude, concern, behavior and knowledge on green products. Methodology- The study is based on considering qualitative research based on questionnaire research. On the basis of that, the data is collected using the SPSS software in order to analyze the data collected. In addition to that, regression and correlation are used to gain a better understanding of the topic of discussion. Evaluation was based on survey. 129 individuals’ responses were collected and their participation was completely voluntary. Findings & Results- The results computed using multiple regression analysis showed that brand authenticity and green product price significantly influences consumers’ decision of purchase of those products. The response of the research stated positive outcome and most of the respondents were aware about green products. H4 is supported, clearly inferring that awareness of brand is a strong factor in making purchase decision of green products. It can be clearly inferred from the results that consumers’ awareness, brand value and price of the product significantly influences purchasing decision of the consumer. An individual having little concern for environment have a stronger inclination towards green products. Practical Implications- The findings may yield useful information for environmental sustainability. Consumers will become more conscious of their purchases. It will bring behavioural change towards environmental sustainability. The more aware the consumer is, the safer our environment will be.","PeriodicalId":43057,"journal":{"name":"NMIMS Management Review","volume":" ","pages":""},"PeriodicalIF":0.2,"publicationDate":"2022-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47178043","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Purpose: The present paper is an attempt to examine the impact of innovativeness on organizational performance. The investigation was carried out in Information Technology (IT) industry of Northern region of India. Methodology: A sample of 420 employees working in the Northern region was analyzed by applying Partial Least Square Structural Equation Modeling 3.0 (PLSSEM) and Statistical Package for Social Sciences (SPSS). Findings: The key objective of the present research is to identify the dimensions of organizational innovativeness that has an effect on organizational performance. The findings revealed that product, process and marketing innovativeness have a significant and positive impact on organizational performance, whereas, the impact of behavioral innovativeness on performance is not significant. Practical Implications: The outcomes of the study provide important insights to the policy makers and strategists to redesign the innovation practices and strategies that will further help in improving organizational performance. Originality: Limited studies have been conducted in IT sector of Northern region in order to determine the role of innovativness in predicting organizational performance. Therefore, the results of this study contributes to the existing literature and also presents the perception of employees regarding the role of innovation to improve organizational performance.
{"title":"Exploring the link between Innovativeness and Organizational Performance","authors":"Pratibha Thakur, Charu Saxena, R. Arora","doi":"10.53908/nmmr.300104","DOIUrl":"https://doi.org/10.53908/nmmr.300104","url":null,"abstract":"Purpose: The present paper is an attempt to examine the impact of innovativeness on organizational performance. The investigation was carried out in Information Technology (IT) industry of Northern region of India. Methodology: A sample of 420 employees working in the Northern region was analyzed by applying Partial Least Square Structural Equation Modeling 3.0 (PLSSEM) and Statistical Package for Social Sciences (SPSS). Findings: The key objective of the present research is to identify the dimensions of organizational innovativeness that has an effect on organizational performance. The findings revealed that product, process and marketing innovativeness have a significant and positive impact on organizational performance, whereas, the impact of behavioral innovativeness on performance is not significant. Practical Implications: The outcomes of the study provide important insights to the policy makers and strategists to redesign the innovation practices and strategies that will further help in improving organizational performance. Originality: Limited studies have been conducted in IT sector of Northern region in order to determine the role of innovativness in predicting organizational performance. Therefore, the results of this study contributes to the existing literature and also presents the perception of employees regarding the role of innovation to improve organizational performance.","PeriodicalId":43057,"journal":{"name":"NMIMS Management Review","volume":" ","pages":""},"PeriodicalIF":0.2,"publicationDate":"2022-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47266113","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Purpose: The present study measures the impact of merger on Indian acquiring entities’ long term stock price performance. The study covers 109 acquiring entities of merger deals undertaken during the period of 2000 to 2012, comprising of a study period of 1997 to 2015. Methodology: The same is measured through monthly CAR (Cumulative Abnormal Return) and BHAR (Buy and Hold Abnormal Return) of selected acquiring entities during the period of 12, 24 and 36 months post the merger and comparing it with 12, 24 and 36 months pre merger respectively. The Abnormal Return (AR) is computed as the excess of acquiring entity stock’s monthly log return over the market’s (SENSEX) monthly log return. A paired t-test has being applied to compare the pre and post CAR and BHAR after eliminating outliers using box-plot technique and assuring normality of variables. Findings: The results show a significant reduction in post merger monthly CARs and BHARs as compared to pre merger. Practical Implications: CAR being based on arithmetic mean is useful to investors who hold stocks for relatively short period of time around the merger month. BHAR being based on geometric mean is useful to investors who hold stocks for the entire holding period before and after the merger month. Originality: Abnormal returns pre and post merger scenario in the long run are less explored in the Indian context which this study aims at. The study also compares the results of abnormal returns around long term time frame in India with that of the global context as well.
{"title":"Long-Term Abnormal Returns during Pre and Post Merger: Evidence from India","authors":"D. Variava, J. Kapadia","doi":"10.53908/nmmr.300107","DOIUrl":"https://doi.org/10.53908/nmmr.300107","url":null,"abstract":"Purpose: The present study measures the impact of merger on Indian acquiring entities’ long term stock price performance. The study covers 109 acquiring entities of merger deals undertaken during the period of 2000 to 2012, comprising of a study period of 1997 to 2015. Methodology: The same is measured through monthly CAR (Cumulative Abnormal Return) and BHAR (Buy and Hold Abnormal Return) of selected acquiring entities during the period of 12, 24 and 36 months post the merger and comparing it with 12, 24 and 36 months pre merger respectively. The Abnormal Return (AR) is computed as the excess of acquiring entity stock’s monthly log return over the market’s (SENSEX) monthly log return. A paired t-test has being applied to compare the pre and post CAR and BHAR after eliminating outliers using box-plot technique and assuring normality of variables. Findings: The results show a significant reduction in post merger monthly CARs and BHARs as compared to pre merger. Practical Implications: CAR being based on arithmetic mean is useful to investors who hold stocks for relatively short period of time around the merger month. BHAR being based on geometric mean is useful to investors who hold stocks for the entire holding period before and after the merger month. Originality: Abnormal returns pre and post merger scenario in the long run are less explored in the Indian context which this study aims at. The study also compares the results of abnormal returns around long term time frame in India with that of the global context as well.","PeriodicalId":43057,"journal":{"name":"NMIMS Management Review","volume":" ","pages":""},"PeriodicalIF":0.2,"publicationDate":"2022-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49077351","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Purpose: This paper aims to investigate the price discovery process, persistence of volatility and spillover of volatility in commodity futures and spot market in India. Methodology: In this paper, commodities namely, mentha oil, cotton, gold and aluminium have been selected to explore the process of price discovery, volatility persistence and spillover of volatility using cointegration test, vector error correction (VECM), granger causality and GARCH model. Findings: The results of VECM suggest that price discovery takes place in futures market in case of all commodities except for mentha oil where price discovery occurs in spot market. The Block Exogeneity Wald test (granger causality) results also show that futures market has stronger ability to predict the spot prices. The results of GARCH model indicate that volatility is persistent for all commodities except mentha oil futures return. In the support of VECM and granger causality test results, GARCH model results also indicate that volatility spillovers from futures return to spot return for all selected commodities except cotton where volatility spillovers from spot return to futures return. Practical Implications: The findings of this study significantly contribute to the Indian commodity derivatives market literature and useful for future researchers, investors, hedgers, economists and policy makers. Originality: There are very few studies that have examined the price discovery process and spillover of volatility using combination of both agricultural and nonagricultural commodities in India.
{"title":"Price Discovery and Volatility Spillover in Commodity Futures and Spot Market in India: An Empirical Analysis","authors":"S. Garg, K. Narwal","doi":"10.53908/nmmr.300101","DOIUrl":"https://doi.org/10.53908/nmmr.300101","url":null,"abstract":"Purpose: This paper aims to investigate the price discovery process, persistence of volatility and spillover of volatility in commodity futures and spot market in India. Methodology: In this paper, commodities namely, mentha oil, cotton, gold and aluminium have been selected to explore the process of price discovery, volatility persistence and spillover of volatility using cointegration test, vector error correction (VECM), granger causality and GARCH model. Findings: The results of VECM suggest that price discovery takes place in futures market in case of all commodities except for mentha oil where price discovery occurs in spot market. The Block Exogeneity Wald test (granger causality) results also show that futures market has stronger ability to predict the spot prices. The results of GARCH model indicate that volatility is persistent for all commodities except mentha oil futures return. In the support of VECM and granger causality test results, GARCH model results also indicate that volatility spillovers from futures return to spot return for all selected commodities except cotton where volatility spillovers from spot return to futures return. Practical Implications: The findings of this study significantly contribute to the Indian commodity derivatives market literature and useful for future researchers, investors, hedgers, economists and policy makers. Originality: There are very few studies that have examined the price discovery process and spillover of volatility using combination of both agricultural and nonagricultural commodities in India.","PeriodicalId":43057,"journal":{"name":"NMIMS Management Review","volume":" ","pages":""},"PeriodicalIF":0.2,"publicationDate":"2022-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44556159","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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