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

Associateship. Dated: 7th January. New Delhi has been done by me and that. 2013 Place: New Delhi ABC . Fellowship or other similar title or recognition. 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 . Jamia Millia Islamia University. This is the original work and is the result of my own efforts. 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. to the best of my knowledge and belief.DECLARATION I.

Jamia Millia Islamia University. New Delhi .CERTIFICATE On the basis of the declaration submitted by ABC. 2013 Place: New Delhi Dr. New Delhi in partial fulfilment of the requirements for the award of the degree of Master of Business Administration. Certified further. X Y Z Associate Professor Centre for Management Studies Jamia Millia Islamia. Dated: 7th January. I hereby certify that that the thesis entitled “PEAD Effects and Value –Glamour Anomalies” which is submitted to the Centre for Management Studies. a student of MBA(FullTime) 2nd Year. 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. is an original contribution with existing knowledge and faithful record of research carried out by her under my guidance and supervision. .

ACKNOWLEDGEMENTS Wwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwww wwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwww wwwwwwwwww Wwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwww wwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwww wwwwwwwwww Wwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwww wwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwww wwwwwwwwww Wwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwww wwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwww wwwwwwwwww Wwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwww wwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwwww wwwwwwwwww Dated: 7th January. 2013 Place: New Delhi SUNITHA RAVI .

3 dddddddddddddddd PAGE NO i ii iii iv-v vi–x xi-xv 1-20 1.2 ddddddddddddddddd Remarks and References 49-66 21-48 .5 Derivative Market Participants Remarks and References CHAPTER 2: cccccccccccccccccccccccccccccc 2.2.2 ddddddddddddddd 1.2.CONTENTS DESCRIPTION Cover page Declaration Certificate Acknowledgments Contents List of Exhibits CHAPTER 1: INTRODUCTION TO DERIVATIVES 1.1 dddddddddddddd 1.2.3 xxxxxxxxxxxxxxxxxxxxxxxxxx 1.2 vvvvvvvvvvvvvvvvv 1.1 vvvvvvvvvvvvvv 1.4 Economic functions of Derivative markets 1.1 ddddddddddddddddd 2.

6 Sampling Framework 5.11.2 5.5.11.7 5.11.8 5.11.11.5 Data Sources and Data Collection 5.8 5.10 Hypothesis 5.2 Long run equilibrium relationship between Spot and Future market 5.1 Primary Data 5.6 5.7.11.11 Data Analysis Tools and Techniques 5.4 5.4 Research Objectives 5.5 5.1 Rationale for the study 5.1 5.7 Selection of Samples (Commodities) 5.9 5.3 Research Design 5.2 Secondary Data 67-134 135-170 5.2 Research Problem 5.CHAPTER 3: xxxxxxxxxxxxxxx CHAPTER 4: REVIEW OF LITERATURE CHAPTER 5: RESEARCH METHODOLOGY 5.1 Test of Stationary behaviour of Spot and Future daily close prices of commodities 5.9 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 .3 Error Correction Mechanism in Spot and Future Market in commodity Exchanges 5.11.11.5.11.7.

4 Results of VECM 6.7 Results of Impulse Response Function 6.1 Key Findings 9.2 Price series Cointegration across exchanges 6.2 Suggestions Concluding Remarks BIBLIOGRAPHY APPENDICES 247-252 253-284 235-246 .1 Unit Root analysis 171-215 6.5.2.12 Software Used 5.6 Results of Variance Decomposition Test 6.3 Results of Johansen Cointegration Test 6.5 Results of Block Exogenity Test 6.1 Behaviour of spot and future prices of selected commodities 6.13 Limitations of the study Remarks and References CHAPTER 6: 6.8 Volatility Spillover effects CHAPTER 9: SUMMARY AND CONCLUDING REMARKS 9.

originally Exhibit 1.Chapter 1: Introduction to Derivatives AAsell those components to best meet specific risk management objectives. . Derivatives. and the current form of derivative trading started with the establishment of Chicago Board of Exchange in 1848 compared to older establishments. Derivatives have changed the world of finance and have improved the overall growth of the economy. 2011 Commodity Exchanges 1 Appendix 28. 1.1 Origin of Derivatives The derivatives trading started 2000 years ago.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.

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