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PEAD Effects and Value Glamour Anomalies in Selected BSE Stocks

Report submitted to

Centre for Management Studies Jamia Millia Islamia

in partial fulfilment of the requirements for the award of the degree of Master of Business Administration
by

ABC Student
Roll No. 12-MBA-79 Enrol No. 12/09/3333

Under the supervision of

Associate Professor

Dr. X. Y. Z

Centre for Management Studies Jamia Millia Islamia, New Delhi-110025

DECLARATION
I, ABC, hereby declare that the report entitled PEAD Effects and Value Glamour Anomalies in Selected BSE Stocks in fulfilment of the requirements for the award of the degree of Master of Business Administration which is submitted by me to the Centre for Management Studies, Jamia Millia Islamia University, New Delhi has been done by me and that, to the best of my knowledge and belief, it contains no material previously published or written by another person nor material which has been accepted for the award of any other degree or diploma , Associateship, Fellowship or other similar title or recognition. This is the original work and is the result of my own efforts.

Dated: 7th January, 2013 Place: New Delhi ABC

CERTIFICATE
On the basis of the declaration submitted by ABC, a student of MBA(FullTime) 2nd Year, , I hereby certify that that the thesis entitled PEAD Effects and Value Glamour Anomalies which is submitted to the Centre for Management Studies, Jamia Millia Islamia University, New Delhi in partial fulfilment of the requirements for the award of the degree of Master of Business Administration, is an original contribution with existing knowledge and faithful record of research carried out by her under my guidance and supervision. Certified further, that to the best of my knowledge the work reported herein does not form part of any other project report or dissertation on the basis of which a degree or award was conferred on an earlier occasion on this or any other candidate.

Dated: 7th January, 2013 Place: New Delhi

Dr. X Y Z Associate Professor Centre for Management Studies Jamia Millia Islamia, New Delhi

ACKNOWLEDGEMENTS

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Dated: 7th January, 2013 Place: New Delhi SUNITHA RAVI

CONTENTS
DESCRIPTION Cover page Declaration Certificate Acknowledgments Contents List of Exhibits
CHAPTER 1: INTRODUCTION TO DERIVATIVES 1.1 vvvvvvvvvvvvvv 1.2 vvvvvvvvvvvvvvvvv
1.2.1 dddddddddddddd 1.2.2 ddddddddddddddd 1.2.3 dddddddddddddddd

PAGE NO i ii iii iv-v vix xi-xv


1-20

1.3 xxxxxxxxxxxxxxxxxxxxxxxxxx 1.4 Economic functions of Derivative markets 1.5 Derivative Market Participants

Remarks and References CHAPTER 2: cccccccccccccccccccccccccccccc 2.1 ddddddddddddddddd 2.2 ddddddddddddddddd Remarks and References 49-66 21-48

CHAPTER 3: xxxxxxxxxxxxxxx CHAPTER 4: REVIEW OF LITERATURE CHAPTER 5: RESEARCH METHODOLOGY 5.1 Rationale for the study 5.2 Research Problem 5.3 Research Design 5.4 Research Objectives 5.5 Data Sources and Data Collection
5.5.1 Primary Data 5.5.2 Secondary Data

67-134 135-170

5.6 Sampling Framework 5.7 Selection of Samples (Commodities)


5.7.1 5.7.2

5.8 5.9 5.10 Hypothesis 5.11 Data Analysis Tools and Techniques
5.11.1 Test of Stationary behaviour of Spot and Future daily close prices of commodities 5.11.2 Long run equilibrium relationship between Spot and Future market 5.11.3 Error Correction Mechanism in Spot and Future Market in commodity Exchanges 5.11.4 5.11.5 5.11.6 5.11.7 5.11.8 5.11.9 Short term Causal relationship between Spot and Future closing prices of Commodities in Commodity Exchanges Variance decomposition Impulse Response Function Volatility Spillover in Commodity Market Analysis of Variance (ANOVA) Granger Causality Test

5.12 Software Used 5.13 Limitations of the study Remarks and References CHAPTER 6: 6.1 Behaviour of spot and future prices of selected commodities 6.2 Price series Cointegration across exchanges
6.2.1 Unit Root analysis

171-215

6.3 Results of Johansen Cointegration Test 6.4 Results of VECM 6.5 Results of Block Exogenity Test 6.6 Results of Variance Decomposition Test 6.7 Results of Impulse Response Function 6.8 Volatility Spillover effects CHAPTER 9: SUMMARY AND CONCLUDING REMARKS 9.1 Key Findings 9.2 Suggestions Concluding Remarks BIBLIOGRAPHY APPENDICES 247-252 253-284 235-246

Chapter 1: Introduction to Derivatives


AAsell those components to best meet specific risk management objectives. Derivatives have changed the world of finance and have improved the overall growth of the economy.

1.1 Origin of Derivatives


The derivatives trading started 2000 years ago, and the current form of derivative trading started with the establishment of Chicago Board of Exchange in 1848 compared to older establishments.1 . Derivatives, originally Exhibit 1.1 Structure of Derivatives Markets in India
Derivative Markets in India

Financial Derivatives Ministry of Finance

Commodity Derivatives

Ministry of Consumer affairs Forward Markets Commission

SEBI

Stock Exchanges
Source: Futures Industry Annual Volume Survey, 2011

Commodity Exchanges

Appendix 28.