
Kiran Kumar Kotha- Professor (Associate) at Indian Institute of Management Indore
Kiran Kumar Kotha
- Professor (Associate) at Indian Institute of Management Indore
About
17
Publications
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155
Citations
Current institution
Additional affiliations
April 2008 - June 2014
April 2005 - March 2008
February 2004 - March 2005
Publications
Publications (17)
The study investigates whether behavioural theory is a superior explanation for short-term return–volatility relationship than traditional leverage and volatility feedback hypotheses. Using VAR and quantile regression frameworks, the study shows that behavioural theory explains the relationship better than the leverage and feedback hypotheses. The...
This paper investigates a propriety dataset of insider trades for Indian listed firms, where controlling ownership and business group dominate. We show that information content of insider trading is an inverted U-shaped function of controlling ownership. Further, we find that the information content of insider trading is lower when firms are affili...
This paper examines the compensation of CEOs in India's listed firms for the period 2005-06 to 2012-13. First, we discuss about the relevance of CEO compensation and then get on to the factors that may help explain variations across firms over time in CEO compensation. Indian corporate sector, traditionally different from developed countries, is do...
We check for the speed of efficiency for the Indian market pre and post the introduction of compulsory rolling settlement using the variables of lagged returns and order imbalance at the daily as well as intra-day intervals in the post rolling settlement period. As measured by lagged returns we find that the market has turned weak form efficient in...
Purpose
The purpose of this paper is to study the empirical relationship between order imbalance and returns in the backdrop of structural changes in the Indian market.
Design/methodology/approach
The study makes use of hypothesis testing and dummy variable regression to investigate the relationship between order imbalance and returns during the p...
We examine the effect of global competition for order flows, which arise due to listing of American Depository Receipts (ADRs) by six Indian firms on the NYSE, on the local market. Using order imbalance data for six months pre- and post-listing periods, which captures order flow dynamics, we show that price formation is more efficient in the post-l...
This paper examines the risks and returns of Indian stock's following cross listing on the U.S. stock exchanges. We find no significant change in returns and also no systematic change in the underlying stock volatility. The findings show that market risk is unaffected across the companies and any change in risk profile is due to the change in firm...
This paper addresses whether, to what extent, and how the introduction of Index Futures trading has changed the nature of return volatility of the underlying NSE Nifty Index. Preliminary F-test indicates a change, which is further confirmed using CUSUM plot and Bayesian change point analysis. Serial dependence of the return series, time-varying nat...
This paper empirically investigates the short-run dynamic linkages between NSE Nifty in India and NASDAQ Composite in US during the period 1999-2001, using intra-daily data which determine the daytime and overnight returns. Specifically, the study employs the most popular MGARCH model, to capture the inter-linkages between NASDAQ and NSE equity mar...
This paper empirically investigates the short run dynamic linkages between NSE Nifty in India and NASDAQ Composite in US during the recent 1999-2001 period using intra-daily data, which determine the daytime and overnight returns. The study carries out a comprehensive analysis from correlation to Granger causality and then to application of GARCH m...
In this paper we examine the effect of global competition for order flows, which arise due to the listing of American Depository Receipts (ADRs) by Indian firms on NYSE, on the local market, especially when there are competing local markets. We find that: (1) Order imbalance can predict stock returns in both order driven (BSE and NSE) and quote dri...
Studies on the impact of futures introduction on the volatility of the underlying index report no increase in the spot volatility after the futures introduction. However, the prior studies do not comment on how exactly the information transmits from the futures market to the spot market. This paper focuses on investigating whether the change in the...
This paper empirically investigates the short run dynamic linkages between NSE Nifty in India and NASDAQ Composite in US during the recent 1999-2001 period using intra-daily data, which determine the daytime and overnight returns. The study carries out a comprehensive analysis from correlation to Granger causality and then to application of GARCH m...