Department of Economics and Finance

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Start date: 2020Subject: search.filters.subject.Economics and Finance

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    Identification of Short-term and Long-term Time Scales in Stock Markets and Effect of
    (Elsevier, 2020-05) Bal, Debi Prasad
    The paper presents the comparative study of the nature of stock markets in short-term and long-term time scales ( ) with and without structural break in the stock data. Structural break point has been identified by applying Zivot and Andrews structural trend break model to break the original time series () into two time series: time series before structural break () and time series after structural break (). In order to identify the of short-term and long-term market, the Hurst exponent () technique has been applied on the intrinsic mode functions obtained from the , and by using empirical mode decomposition method. for all the IMFs of , and having in the range of few days to 3 months , and for all the IMFs of , and having . Based on the value of , the market has been divided into two time horizons: short-term market having and , and long-term market having and . As in short-term and in long-term, the market is random in short-term and has long-range correlation in long-term. Robustness of the results has also been verified by using detrended fluctuation exponent () analysis and normalised variance () techniques. We obtained for reconstructed short-term time series and for long-term reconstructed time series. Separation of short-term and long-term market are also identified using technique. The time scales for short-term and long-term markets are independent of structural break happened due to extreme event. The obtained using the proposed method for short-term and long-term market may be useful for investors to identify the investment time horizon, and hence to design the investment and trading strategies.
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    Nonlinear Granger causality between oil price and stock returns in India
    (Wiley, 2020-04) Bal, Debi Prasad
    The nonlinear causal dimension in oil price and stock returns aspect is less explored in literature. This study provides such evidence by applying Hiemstra and Jones (1994) nonlinear Granger causality test to the VAR residuals in case of India. Our result indicates that there exists bi-directional nonlinear causality between oil price and stock returns. It implies that the lagged information of oil price and stock returns can be able to predict each other efficiently.
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    Rising Drinking Water Insecurity in the Indian Himalayan Region of Sikkim: A multi-stakeholder perspective
    (INSEE Journal, 2020) Bal, Debi Prasad
    For the past 15 months, we are working on a project to assess drinking water security challenges in the Indian Himalayan Region (IHR) of Sikkim. One of our project‟s aim is to estimate the social and economic cost of drinking water scarcity in the rain shadow regions of the IHR. For this purpose, we have been assessing the water availability and water quality in the district of South Sikkim. In the IHR‟s mountainous terrains, freshwater is mostly available from natural springs and lakes. However, human-induced climate change impacts such as reduced snow-cover in the peaks, frequent landslides, and reducing vegetation cover are resulting in less water availability and drying up of many perennial springs and reservoirs
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    Does Crude Oil Price Affect the Inflation Rate and Economic Growth in India? A New Insight Based on Structural VAR Framework
    (Sage, 2021-04) Bal, Debi Prasad
    Based on a structural vector autoregressive framework on the monthly data from April 1997 to July 2016, this study is an attempt to show the impact of crude oil price on the rate of inflation and economic growth in India. The results showed that the crude oil price has a positive impact on the rate of inflation whereas an inverse relation exists between crude oil price and economic growth. Further, we segregated the crude oil price into two components, that is, positive and negative partial sum of oil price through the nonlinear and asymmetric autoregressive distribution lag framework. A similar kind of result is derived in the case of positive partial sum of oil price on the rate of inflation and economic growth, while a significant negative relationship is found in the negative partial sum of crude oil price on economic growth. From the policy perceptive, we suggest that policymakers may focus on reducing the consumption of crude oil and using renewable energy for accelerating the economic growth. This would not only prevent the domestic economy from international oil price fluctuations and inflation but also assist in achieving sustainable environmental goal of reduced crude oil use.
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    Sectoral Nonlinear Causality Between Stock Market Volatility and the COVID-19 Pandemic: Evidence From India
    (Asian Economics Letters, 2021) Bal, Debi Prasad
    This paper examines the linear and nonlinear relationship between daily confirmed COVID-19 cases and sectoral stock market volatility in India. The linear Granger causality test reveals bidirectional causality. Further, we observe that bidirectional nonlinear Granger causality exists between stock market volatility and COVID-19. This implies that the historical and lagged information can have a significant role in predicting COVID-19 cases and the stock market.
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    Characteristics of 2020 stock market crash: The COVID-19 induced extreme event
    (AIP, 2021-04) Bal, Debi Prasad
    A sudden fall of stock prices happens during a pandemic due to the panic sell-off by the investors. Such a sell-off may continue for more than a day, leading to a significant crash in the stock price or, more specifically, an extreme event (EE). In this paper, Hilbert–Huang transformation and a structural break analysis (SBA) have been applied to identify and characterize an EE in the stock market due to the COVID-19 pandemic. The Hilbert spectrum shows a maximum energy concentration at the time of an EE, and hence, it is useful to identify such an event. The EE’s significant energy concentration is more than four times the standard deviation above the mean energy of the normal fluctuation of stock prices. A statistical significance test for the intrinsic mode functions is applied, and the test found that the signal is not noisy. The degree of nonstationarity test shows that the indices and stock prices are nonstationary. We identify the time of influence of the EE on the stock price by using SBA. Furthermore, we have identified the time scale (τ) of the shock and recovery of the stock price during the EE using the intrinsic mode function obtained from the empirical mode decomposition technique. The quality stocks with V-shape recovery during the COVID-19 pandemic have definite τ of shock and recovery, whereas the stressed stocks with L-shape recovery have no definite τ. The identification of τ of shock and recovery during an EE will help investors to differentiate between quality and stressed stocks. These studies will help investors to make appropriate investment decisions
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    Estimation of price and income elasticity of water: a case study of Darjeeling town, West Bengal, India
    (Current Science, 2021) Bal, Debi Prasad
    This study examines the price and income elasticity of water of Darjeeling town in West Bengal, India. We collected the primary data between 2017 and 2018 through the survey method. Here simple random sampling has been used for interviewing 100 households. We divided the households into groups of 25 each according to the mode of consumption of water, such as domestic pipeline, commercial pipeline, domestic water tanker and commercial water tanker. This study concludes that the price for domestic pipeline connection, commercial pipeline, domestic water tanker and commercial water tanker is elastic by using the midpoint formulae of elasticity. More specifically, the consumption of water from commercial tankers and households that have commercial pipeline connection have relatively high elasticity as compared to households depending on domestic pipeline connection and domestic water tanker. Further, the result shows that the income elasticity of water demand is relatively high. Mainly, the income elasticity is less in households under domestic pipeline and domestic water tanker compared to those under commercial pipeline and commercial water tanker. The overall implication of the study is that rising water per litre price has compelled the residents to compromise on the quality of drinking water. Therefore, it is recommended that the government follows the objective of inter-generational equity for water in the long run.
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    An assessment of the water quality index (WQI) of drinking water in the Eastern Himalayas of South Sikkim, India
    (Elsevier, 2022-05) Bal, Debi Prasad
    The current research was performed to evaluate the Water Quality Index (WQI) from the South Sikkim district, India, in the Eastern Himalayan region. Due to the rapid development of the tourism industry in the region, water scarcity has become one of the significant issues in some parts of the South Sikkim district. The lack of sufficient spring water to meet their drinking water needs has forced the local people to depend on alternate sources such as surface or rainwater. The main aim of the current research is to determine the acceptability of drinking water sources using the Water Quality Index (WQI) values. The Bureau of Indian Standard (BIS 2012) was used to evaluate the WQI and evaluate the quality of water for the water sources. Physicochemical parameters such as potential of hydrogen (pH), hardness, alkalinity, iron (Fe), fluoride (F−), chloride (Cl−), nitrate (NO3−), and turbidity were analysed using standard devices and found that water is safe for drinking purpose. The presence of all these parameters did not affect the water quality as all are below the permissible limit. The water delivered after conventional treatment to individual households by local administration is free from contaminants and suitable for drinking. Based on WQI values, surface waterfalls under the projected area of South Sikkim district into two categories: excellent water and good water (ranging from 0 to 50). However, water scarcity continues to remain a major challenge. The current study concludes with some suggestions for proper planning and managing drinking water resources in the South Sikkim district and hilly areas.
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    Impact of sectoral decompositions of electricity consumption on economic growth in India: evidence from SVAR framework
    (Springer, 2022-03) Bal, Debi Prasad
    The study examines the effects of electricity consumption from different sectors such as agricultural, commercial, domestic, industrial (HV), industrial (LV-MV) and miscellaneous sectors on economic growth over the period of 1981–2019 in the case of India. We used SVAR framework and concluded that the consumption of electricity from agriculture sector has a negative impact on economic growth, whereas the industrial (HV and MV-LV) and commercial electricity consumption has positive impact on economic growth. Similarly, electricity consumption by the domestic sector has less positive effect on economic growth. Further, we computed the total factor productivity growth (TFP) by using the DEA method and showed the effects of sector-wise electricity consumption on TFP as the robustness of our analysis. We obtain similar kind of results. From the policy perceptive, the study suggests that the government must speed up the construction of a power grid to improve the availability of electricity for achieving higher rate of economic growth.
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    Gold price and exchange rate in pre and during Covid-19 period in India: Modelling dependence using copulas
    (Elsevier, 2022-12) Bal, Debi Prasad
    This study examines the dynamic relationship between the gold price and the exchange rate in pre- and during Covid-19 pandemic in India. We consider the periods of about equal length for both the pre- and during Covid-19 by considering the data from January 1, 2019 till February 28, 2021. The descriptive analysis shows a significant increase in the dynamics of gold price and exchange rate after mid-March 2020. The results derived from the ARDL approach show a positive and significant relationship between the gold price and exchange rate both in the long and short run. We have selected the best fitted bivariate copula to study the joint distribution of the gold price and the exchange rate. Using the copula model, we examine the relationship between the gold price and exchange rate in a bivariate framework. We have studied the dependence between them including the tail dependencies using the fitted copula. Our findings reveal that the gold price and exchange rate are significantly correlated for the entire study period, and it also reveals that there is no tail dependence. However, the mutual association between the variables is not confirmed in the considered Covid-19 period.