Browsing by Author "Debata, Byomakesh"

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COVID-19 pandemic sentiment and stock market behavior: evidence from an emerging market
(Emerald, 2021-11) Debata, Byomakesh
This study uses nonlinear causality and wavelet coherence techniques to analyze the sentiment-returns nexus. The analysis is conducted on the full sample period from January to December 2020 and further extended to two subperiods from January to June and July to December to investigate whether the associations between sentiment and market returns persist even several months after the outbreak
COVID-19 pandemic! It's impact on people, economy, and environment
(Wiley, 2020-09) Debata, Byomakesh
The paper reviews the (a) existing knowledge on corona virus disease (b) policy responses to it, and (c) its impact on the people, economic activities, and environment of India. The pandemic has increased a sense of fear and insecurity among people due to probable job and pay loss. As well, the nationwide lockdown imposed by the government has increased cases of domestic violence and child abuse. The industrial sectors—tourism, aviation, agriculture, construction, retail, hotels, textile, gems/jewellery, fast moving consumer goods (FMCG), manufacturing, and start-ups are temporarily closed leading to a significant revenue loss. Consequently, existence of many sectors and employability of a sizable number of employees is at stake. Despite the economic slowdown, the lockdown has become a boon for the environment to revive due to less pollution and reduced discharge of effluents to water from factories. The policy formulators should consider this as wakeup call and thereby align the people, economy, and environment strategically.
Deliberate underpricing and after-market mispricing in Indian IPO market: Stochastic frontier approach
(Emerald, 2023-07) Pandey, Ranjan; Debata, Byomakesh
This paper aims to study the underpricing phenomenon of initial public offerings (IPOs) of 355 Indian companies issued from 2007 to 2019. The research question this paper empirically examines is whether Indian corporate executives deliberately underprice IPOs from its fair value to attract investors, thereby causing an abnormal spike in the prices on the listing day. The findings of this study challenge a commonly held notion of leaving money on the table by IPO issuing companies. Of the overall average listing day returns of 17%, the deliberate premarket underpricing component is found to be mere 5.3%, while the remaining price fluctuation is, inter alia, a result of market momentum along with the unmet demands of impatient investors.
Determinants of Participation in National Rural Livelihood Mission: An Investigation in Odisha, India
(ABDC-C, 2019) Debata, Byomakesh
National Rural Livelihood Mission (NRLM) is a flagship programme introduced by the Government of India with an objective of providing secured livelihood to the rural poor. Participation in NRLM is voluntary. Therefore, it can be assumed that various socio-economic factors affect the participation decision. Thus, this paper is carried out with the objective of determining different socio- economic factors that affect participation decision in Sonepur district of Odisha, India. Data are collected from 220 respondents (120 beneficiaries and 100 non- beneficiaries) using a structured questionnaire. A binary probit model is used to examine the probability of participation. The study finds that educational qualification and land holding have significant positive effects on participation decision. Findings conclude that the programme should try to include those who are having cultivated land; so that, their lands can be utilised in on-farm activities
Digitalisation and economic growth in G-20 countries: a panel ardl analysis
(Faculty of Business and Economics at Alberto Hurtado University, 2024) Debata, Byomakesh; Bal, Debi Prasad
The 4th industrial revolution, or Industry 4.0 for short, has been ushered in by technological improvements over the past 30 years. As a result, the growing trend of digitalization has had a distinctly beneficial effect on economic growth, particularly in the banking and financial sector where it has increased productivity and efficiency due to reduced information asymmetry and by making financial services more widely available and reasonably priced for a wider range of people. Keeping in mind the notable benefits brought about by rising digital advancements and its impact on financial sector, this study aims to show the dynamic relationship between digitalization, financial inclusion and economic growth for G20 nations. We used the annual data for the time span of 2010 to 2020 for G20 countries and has used panel ARDL approach for the analysis. The panel ARDL technique reveals a positive correlation between digitalization and long-term economic growth. Conversely, the research findings indicate a negative relationship between them in the short run. Similarly, we spot an detrimental long-term association between financial inclusion, measured as the number of commercial bank branches, and economic growth. The study also comes to the conclusion that, in the short and long terms, respectively, population and gross-fixed capital formation have an impact on economic growth. Further, we have checked the robustness of our results by using internet usage as proxy for digitalization. The finding in this case proves the robustness of our study. Based on our study, we suggest that widespread digitalization and financial inclusion along with the introduction of FinTech might contribute to sustainable economic growth from a policy perspective.
Does corporate policy risk affect stock liquidity? Panel data evidence from listed companies in a major emerging market
(2025) Debata, Byomakesh
This study examines the impact of firms’ overall corporate policy risk on stock liquidity. This study constructs a novel overall corporate policies risk index (PRI) for firms by capturing risk embedded in managers’ different policy decisions, such as investment, financing, diversification, and cash management, by weighting each policy risk through the regression decomposition method. Using a large sample of 466 India-listed firms from the financial year 2003–2004 to 2022–2023, this study finds that there is a negative association between PRI and stock liquidity. The study further explores the information environment heterogeneity and finds that the adverse impact of a PRI is a more prominent firm that is hard to value or in a less transparent environment as compared to the transparent firms. Moreover, the adverse impact of PRI on stock liquidity is significantly more pronounced during financial crises, while its effect is less substantial during non-crisis periods. The robustness of these results is confirmed even after addressing endogeneity issues using various techniques, such as propensity score matching (PSM), two-stage least squares instrumental variable approach (2 SLS IV), and the system-generalized method of moments (System GMM).
Does Economic Policy Uncertainty Matter for Stock Market Volatility?
(Springer, 2020) Debata, Byomakesh
This study examines the dynamic relationship between economic policy uncertainty (EPU) and stock market volatility in a pure order-driven emerging stock market. Considering the non-linear EPU-volatility relationship, this study uses GARCH family of models to capture the impact of policy uncertainty on stock market volatility. Empirical estimates reveal that economic policy uncertainty is an essential determinant of stock market volatility, and higher EPU leads to significant increase in volatility. We believe, a thorough understanding the EPU-Volatility relationship can be beneficial for investors to better predict the behaviour of stock market volatility.
Does ICT diffusion reduce poverty? Evidence from SAARC countries
(Wiley, 2023-03) Giri, Arun Kumar; Debata, Byomakesh
The present study aims to explore the relationship between ICT diffusion and poverty reduction in SAARC countries using panel data from 2005 to 2020. This study uses econometric techniques robust to cross-sectional dependence (CSD) including Pesaran's CSD tests; second-generation unit root test; Pedroni, Kao, Westerlund cointegration tests; CS-ARDL, Driscoll-Kraay (DK) standard error approach; and D&H causality test. The investigation is based on the ICT diffusion index constructed using principal component analysis (PCA). The study's major finding shows that ICT diffusion reduces poverty both in the long and short run, indicating the favorable impact of ICT on the development process in SAARC countries. Further, economic growth, financial development, and remittances all serve to minimize the poverty level. The causality test reveals bidirectional causation between ICT diffusion and poverty reduction. The study highlights the crucial role of ICT diffusion and selected economic variables in reducing poverty. The findings of the present research shall benefit policymakers to formulate appropriate policies and programs to improve the well-being of people and enhance macroeconomic performance, which impacts both the societal and environmental development of a country.
Economic policy uncertainty and stock market liquidity: Does financial crisis make any difference?
(Emerald, 2018-04) Debata, Byomakesh
This study aims to examine the relationship between economic policy uncertainty and stock market liquidity in an order-driven emerging stock market
Economic policy uncertainty and stock market liquidity: Evidence from G7 countries
(Wiley, 2019-07) Debata, Byomakesh
In the aftermath of the 2007–2008 global financial crisis, there were heightened concerns among the market participants and policymakers on the potential adverse effects of economic policies on stock market liquidity. This paper examines the causality and co-movement between economic policy uncertainties and stock market liquidity using monthly data from G7 countries. Our empirical analysis considers wavelet coherence and wavelet phase angle tests. Linear and nonlinear causality test results suggest that a causal relationship exists between economic policy uncertainty and stock market liquidity. Moreover, stock market illiquidity varies with the uncertainty but in the same direction while liquidity co-moves in the opposite direction. In times of economic turmoil or crises, the relationship between policy uncertainty and illiquidity becomes stronger, and illiquidity leads economic policy uncertainty. Overall, our findings indicate that the leading indicator property of (il)liquidity is useful for providing economic information and thereby to manage market conditions and investor expectations.
Effects of COVID-19 Pandemic on Investor Attention in Global Stock Markets: An Empirical Assessment
(Sage, 2022-12) Debata, Byomakesh
Using the data from 50 global stock markets, this article examines the impact of the COVID-19 pandemic on investor attention. Using Google search volume as a proxy for country-specific and worldwide investor attention, this article provides initial evidence on the relationship between the spread of the pandemic and investor attention. Our results suggest that the increasing number of daily deaths and confirmed cases significantly negatively impact investor attention. Results are robust to the country characteristics like the nature of the financial system, financial stability and investor attention risk pricing nature. Our results indicate a positive and significant impact of government responses for restoring investor attention in the market.
Firm-level climate risk exposure, ESG disclosure and stock liquidity: evidence from textual analysis
(Emerald, 2025-04) Debata, Byomakesh
This study examines the impact of firm-level climate risk exposure (FCRE) on firm stock liquidity by using a sample of Indian-listed firms from the financial years 2003–2004 to 2022–2023. Further, it endeavors to investigate the moderating role of environmental, social and governance (ESG) disclosure in this relationship.
Hazardous Health Impact of Virtual Education during COVID-19
(Journal of Scientific Research and Reports, 2021) Debata, Byomakesh
The rapid spread of COVID-19 compelled the infected nations to close down their educational institutions to check the rigor of spread. In such context, to provide uninterrupted education to the students, virtual education through internet was widely adopted. This paper throws a light on how the students engaged in virtual education are exposed to various unexpected health perils due to the use of internet and smartphones. Moreover, this paper suggests taking a holistic approach through the introduction of “Yoga” in the course curriculum to avoid the unexpected health hazards.
ICT Diffusion, Financial Instability, and Shadow Economy: Panel Evidence from SAARC Economies
(Springer, 2024-11) Debata, Byomakesh; Giri, Arun Kumar
The relevance of digital finance to developing economies has been bolstered by the rapid invention of ICTs in emerging markets. While widespread use of digital finance may increase credit availability, it may also increase the likelihood of systemic risk in the financial system. Furthermore, emerging economies face the challenges of shadow economic growth, which affects taxable income revenue and hinders the chances for financial inclusion. This research investigates how ICT diffusion has affected the shadow economy and financial stability in the SAARC economies, in line with SDG 9 for 2030 by the United Nations. We employed the DCCE and DK standard error estimate methods, which are resistant to CSD, to measure the relationship for 2005–2019 on two model frameworks. The stationarity and cointegration among the variables are verified using the second-generation unit root test and the Westerlund cointegration analysis. The Westerlund test has confirmed cointegration between the dependent and the independent variables. Long-term estimation also suggests that a rise in the spread of ICTs can help slow the expansion of the shadow economy in SAARC nations. Nevertheless, it also heightens the possibility of systemic risks and exacerbates financial instability. Regarding control variables, the study revealed that economic growth and FDI slowed the expansion of the shadow economy, whereas unemployment and inflation sped it up. The research results will shed light on how digital money affects the shadow economy and advances financial inclusion and stability in developing countries.
Impact of CEO’s characteristics on investment decisions of Indian listed firms: Does crisis make any difference?
(Taylor & Francis, 2018) Debata, Byomakesh
Using a sample of listed Indian manufacturing companies, this study examines the role of chief executive officer’s (CEO’s) personal characteristics like age, tenure, education, and career experience in the determination of investment decisions of the firm. The dynamic panel data model estimation, more specifically the system generalized method of moments estimation results reveal a negative relation between CEO’s age and corporate investment. CEO’s financial education is positively associated with investment decisions. The investment cash flow sensitivity analysis posits that CEO’s age and financial education reduce the sensitivity of investment with respect to cash flow. The results are robust across different periods, defined on the basis of crises. In times of financial crisis, we document that firm’s liquidity and age, CEO’s career experience and tenure turn out to be significant determinants of corporate investment. This paper provides an out-of-sample evidence of the role of CEO’s personal characteristics on the determination of corporate investment, which is an unexplored issue from an emerging market perspective.
Interdependence between Monetary Policy and Stock Liquidity: A Panel VAR Approach
(Sage, 2018) Debata, Byomakesh
This article examines the relationship between monetary policy and individual stock liquidity in an order-driven emerging stock market like India. This study considers stocks listed in National Stock Exchange of India (NSE) and continuously traded from April 2002 to March 2015. Considering the multiple dimensions of liquidity, this study uses five different liquidity proxies to capture the various facets of liquidity such as trading activity, price impact and transaction cost. An array of macroeconomic and firm-specific control variables are used while analysing the liquidity and monetary policy relationship. Econometric methods like panel vector autoregressive (VAR)–Granger causality test, impulse response functions and variance decomposition analysis have been employed to carry out this analysis. The empirical findings suggest that monetary policy significantly Granger-causes stock liquidity, and the expansionary monetary policy characterised by low interest rate and higher money supply is positively associated with individual stock liquidity in India. The impact of monetary policy on liquidity of individual stocks is more prominent during financial crisis. The findings of the present study have certain theoretical as well as practical implications. The market participants in equity market can improve the forecasting of liquidity of their investment portfolio by employing monetary policy along with individual asset’s characteristics. Regulators and policymakers may consider the cross-sectional relationship between stock liquidity and monetary policy as an important source of information for policy formulation and implementation.
Investor attention and IPO returns: evidence from Indian markets
(Emerald, 2023-05) Pandey, Ranjan; Debata, Byomakesh
The regulatory design of Indian stock market provides us with the opportunity to disaggregate initial returns into two categories, i.e. voluntary premarket underpricing and post market mispricing. This study explores the impact of investor attention on the disaggregated short-run returns and long-run performance of initial public offerings (IPOs).
Investor sentiment and emerging stock market liquidity
(Elsevier, 2018) Debata, Byomakesh
This study examines the impact of local and foreign investor sentiment on emerging stock market liquidity. We find a positive (negative) effect of investor sentiment on liquidity (illiquidity). Results also reveal that foreign investor sentiment significantly influences emerging stock market liquidity.
Leapfrogging into knowledge economy: Information and communication technology for human development
(Australasian Journal of Information Systems, 2022) Giri, Arun Kumar; Debata, Byomakesh
Modern-day economic growth is focused on productivity and innovation, which puts information and technology integral to economic policy issues. In this context, ICT has a significant position as it increases efficiency, promotes information dissemination, and enhances innovation, resulting in a global shift in social and human development processes. The purpose of this research is to examine the significance of ICT diffusion in fostering human development in the South Asian Association for Regional Cooperation (SAARC) countries from 2005 to 2019. ICT diffusion is measured using a principal component analysis (PCA)- based composite index that combines telephone, mobile, broadband, and internet usage. The United Nations Development Programme (UNDP) created Human Development Index (HDI) serves as a proxy for human development. To adjust for any confounding bias, macroeconomic indicators, such as gross domestic product (GDP), inflation, and trade are also included. Utilizing econometric methods robust to cross-sectional dependence (CSD) such as the dynamic common correlated effect (DCCE) estimator, Driscoll-Kraay (DK) regression, and the Dumitrescu-Hurlin (DH) causality test, the study highlights the strong positive relationship between ICT and HDI. In addition, GDP boosts HDI owing to productivity gains. Similarly, trade expansion, in addition to its direct effects, also influences HDI by boosting economic growth. Inflation, on the other hand, has a negative impact on the HDI. Consequently, the study recommends a cohesive setting that unifies ICT with human development in this modern framework.
Livelihood security among rural poor: Evaluating the impact of Rural Livelihood Mission in Odisha, India
(Taylor & Francis, 2021-09) Debata, Byomakesh
Livelihood insecurity remains a prime concern for low household income countries. To provide secured livelihood to rural poor, the government of India has introduced a self-employment type poverty alleviation programme namely National Rural Livelihood Mission (NRLM). This paper empirically examines the effect of participation in NRLM on the livelihood security of rural poor. Data were collected from 220 respondents (including both beneficiaries and non-beneficiaries) through a structured questionnaire from Sonepur district of Odisha (India). A livelihood security index (LSI) was constructed to capture the livelihood security of the respondents taking habitat security, health security, food security, and economic security into account. Further, the impact of the programme has been estimated using propensity score matching (PSM) method. The study finds a positive and significant effect of participation in the programme on livelihood security. Therefore, poor should be encouraged to participate in the programme to strengthen their livelihood security.