Department of Economics and Finance
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Item Economic policy uncertainty and stock market liquidity: Does financial crisis make any difference?(Emerald, 2018-04) Debata, ByomakeshThis study aims to examine the relationship between economic policy uncertainty and stock market liquidity in an order-driven emerging stock marketItem Interdependence between Monetary Policy and Stock Liquidity: A Panel VAR Approach(Sage, 2018) Debata, ByomakeshThis 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.Item Impact of CEO’s characteristics on investment decisions of Indian listed firms: Does crisis make any difference?(Taylor & Francis, 2018) Debata, ByomakeshUsing 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.Item Investor sentiment and emerging stock market liquidity(Elsevier, 2018) Debata, ByomakeshThis 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.Item Determinants of Participation in National Rural Livelihood Mission: An Investigation in Odisha, India(ABDC-C, 2019) Debata, ByomakeshNational 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 activitiesItem Does Economic Policy Uncertainty Matter for Stock Market Volatility?(Springer, 2020) Debata, ByomakeshThis 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.Item COVID-19 pandemic! It's impact on people, economy, and environment(Wiley, 2020-09) Debata, ByomakeshThe 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.Item Economic policy uncertainty and stock market liquidity: Evidence from G7 countries(Wiley, 2019-07) Debata, ByomakeshIn 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.Item Stock market liquidity: Implication of local and global investor sentiment(Wiley, 2020-07) Debata, ByomakeshThis article examines the impact of local and global investor sentiment on stock market liquidity using data from an order-driven emerging market. Along with four different liquidity proxies, the empirical analysis uses one domestic investor sentiment index and four global sentiment proxies that represent investor sentiment of United States, Europe, and aggregate emerging market sentiment. Granger-causality test results suggest that investor sentiment significantly Granger-causes stock market liquidity. We also find that investor sentiment is an essential determinant of stock market liquidity and the impact of global investor sentiment persists even after controlling local sentiment. The empirical findings are robust across different sample periods and liquidity measures.Item Livelihood security among rural poor: Evaluating the impact of Rural Livelihood Mission in Odisha, India(Taylor & Francis, 2021-09) Debata, ByomakeshLivelihood 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.