The Influence of Japan’s Unsecured Overnight Call Rate on Bull and Bear Markets and Market Turns

Shibata, Mai

doi:10.1007/s10690-014-9188-5

Cited by 2 publications

(1 citation statement)

References 14 publications

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“…Similar methodology is used in the present study to identify the peaks and troughs in Nifty 50. Most of the literature has used monthly or quarterly data for identification purpose, but the present study uses weekly prices in line with Shibata (2014). The daily data has not been used since it tends to be much noisier.…”

Section: Classification Of Bear and Bull Marketsmentioning

confidence: 99%

Investigating the Dynamics of Exchange Traded Funds Across the Bear and Bull Markets: Evidence from Indian Equity ETFs

Kaur

Singh

Seth

2021

Vision: The Journal of Business Perspective

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The present study attempts to examine the tracking ability of Indian equity exchange traded funds (ETFs) across the bearish and bullish market regimes. Also, ETFs’ sensitivity to their respective underlying indices across the two market conditions is examined so as to gain an insight into the differences in risk exposure under the two regimes using DBM. The results found that the tracking error (TE) of ETFs varies across the two market regimes with it higher during the bullish regime. At the same time, ETFs’ responsiveness to their underlying indices is found to be higher during the bearish market regime, which justifies the existence of lower TE during the bearish regime. NIFTYBEES, KOTAKNIFTY and BANKBEES emerged to be the top three performers in terms of tracking efficiency. Further, NIFTYBEES, BANKBEES and JUNIORBEES are reported to provide significantly positive excess returns during the bullish regime. As such, investors considering investment in equity ETFs can opt for the top performing funds where they also stand a chance to earn excess return (in few cases). Also, it is observed the beta coefficients of ETFs varied significantly from unity. It suggests that the ETFs and their respective underlying indices are not subject to similar systematic risk.

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Section: Classification Of Bear and Bull Marketsmentioning

confidence: 99%