INDIAN INSTITUTE OF CAPITAL MARKETS
and
GOKHALE INSTITUTE OF POLITICS & ECONOMICS
XIII CAPITAL MARKETS CONFERENCE
(December 18 - 19, 2014)
Day 1, December 18, 2014 (Thursday)
Conference Schedule
09.30 - 10.00 Registration
10.00 - 10.30 Inaugural Session
Welcome address and Opening Remarks
Introduction to the Conference
Lighting the lamp
Inaugural address
10.30 - 01.50
Technical Session I: Equity Markets
10.30 - 11.00 Large Trades, Small Trades and Price Impact: A study based on
Pareto Principle - Mr. K. S.Sriram & Prof. Arun Kumar
Gopalaswamy (IIT Madras, Chennai)
11.00 - 11.30 Impact Of Weather On Return And Volatility: Evidence From
Indian Stock Market - Dr. N. Vijayakumar (PSG Institute of
Management, Coimbatore) & Dr. M. Dharani (Loyola College, Chennai)
Prof. M. Thiripalraju, Director, IICM
Prof. M. Thiripalraju
Prof. M. Thiripalraju
Panel Members
Dr. S. Narayan Rao, Professor, Shailesh J.
Mehta School of Management, IIT Mumbai
Prof. Neeraj Hatekar, Professor of
Econometrics, University of Mumbai
11.30 - 12.00 A deterministic description of Irrational and Semi-Rational Bubbles Dr. Prabhakar Reddy Patil, Joint
Director, SEBI
in asset markets - Mr. Tanmoy Ganguli (Genpact, Kolkata)
12.00 - 12.20 Tea/Coffee Break
12.20 - 12.50 Relationship between hedging effectiveness and time-to-maturity
of equity futures contract: Evidence from National
Stock Exchange of India - Ms. Mandeep Kaur & Dr. Kapil Gupta
(Punjab Institute of Management, Punjab)
12.50 - 01.20 Impact of stock market liberalization on returns volatility and
economic growth: an evidence from Asian economies - Mr. Rahul
Roy, Ms. Kavya T.B. & Dr. Shijin Santhakumar (Pondicherry
University, Pondicherry)
Dr. M. Venkateshwarlu,
Professor - Accounts and Finance, NITIE
Prof. G.P. Samanta, Director and
Member of Faculty, Reserve Bank Staff
College, Chennai
01.20 - 01.50 The Impact Of Overconfidence And Illusion Of Control Biases On
Investor’s Decisions- Dr. Sangeeta Wats (Narsee Monjee Institute Of
Business Management, Mumbai)
01.50 - 02.35 Lunch Break
02.35 - 04.05
Technical Session II: Equity Markets (cont'd)
02.35 - 03.05 Spillover Transmission Between Oil And Stock Market Returns: A
Frequency Domain Approach - Mr. Anand B. (Pondicherry
University, Puducherry)
03.05 - 03.35
Panel Members
Dr. S. Narayan Rao, Professor, Shailesh J.
Mehta School of Management, IIT Mumbai
Impact Of Buyback Of Shares On Performance Of Select Companies Dr. Prabhakar Reddy Patil, Joint
Director, SEBI
- Dr. N. Maruti Rao (Rani Channamma University, Belagavi)
Dr. M. Venkateshwarlu ,
Professor - Accounts and Finance, NITIE
03.35 - 04.05 Characterizing Indian Equity Returns Through Wavelet
Multiresolution Analysis- Mr. Aasif Shah, Prof. Malabika Deo
(Pondicherry Central University, Pondicherry) & Mr. Wayne King
(MathWorks Inc., USA)
04.05 - 04.25 Tea/Coffee Break
Prof. G.P. Samanta, Director and
Member of Faculty, Reserve Bank Staff
College, Chennai
Dr. Jinesh Panchali
Former Dean, IICM
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XIII CAPITAL MARKETS CONFERENCE
(December 18 - 19, 2014)
Conference Schedule
Day 1, December 18, 2014 (Thursday) (cont'd.)
04.25 - 05.55
Technical Session III: Derivatives Markets & Regulation of
Securities Market
Panel Members
04.25 - 04.55
Examining contemporaneous relationship between return of Nifty
index and India VIX - Mr. Prasenjit Chakrabarti (Indian Institute of
Management, Indore)
Dr. S. Narayan Rao, Professor, Shailesh J.
Mehta School of Management, IIT Mumbai
04.55 - 05.25
Causal Relationship between Currency Derivatives and the Spot
Market: A Study on Foreign Currency Futures in India - Ms.
Vaishali Jain (Galgotias University, U.P.), Dr. Dhiraj Jain (SCMS ,
Pune) & Mr. K Sanal Nair (Pacific University, Udaipur)
Dr. Prabhakar Reddy Patil, Joint
Director, SEBI
Dr. Jinesh Panchali
Former Dean, IICM
05.25 - 05.55 Price discovery and market efficiency of commodities futures
market in India – a co- integration and causality analysis- Mr. Shaik
Masood (Alluri Institute of Management Sciences, Warangal) &
Prof.T.Satyanarayana Chary (Telangana University, Telangana)
Dr. M. Venkateshwarlu,
Professor - Accounts and Finance, NITIE
Prof. G.P. Samanta, Director and
Member of Faculty, Reserve Bank Staff
College, Chennai
05.55 - 06.10 Tea/Coffee Break
06.10 - 06.30 Paper Presentation under invited paper
On Transformation-Based Value-at-Risk Measurement and Model
Evaluation Criteria - Dr. G.P.Samanta (Reserve Bank Staff College,
Chennai)
06.30 - 07.30 Special Talk and Panel Discussion
Guidelines to improve research in Financial Economics such as methodology, data integrity, identification of topic, literature
review and analysis
Panel Members
Prof. Neeraj Hatekar, Professor of
Econometrics, University of Mumbai
Dr. M. Venkateshwarlu,
Professor - Accounts and Finance, NITIE
Prof. G.P. Samanta, Director and
Member of Faculty, Reserve Bank Staff
College, Chennai
Dr. S. Narayan Rao , Professor, Shailesh J.
Mehta School of Management, IIT Mumbai
07.30
onwards
Dinner at the Institute
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XIII CAPITAL MARKETS CONFERENCE
(December 18 - 19, 2014)
Day 2, December 19, 2014 (Friday)
Conference Schedule
09.30 - 10.00 Breakfast at the Institute
10.00 - 10.20 Paper Presentation under invited paper
A Comparision of CAPM and Multifactor Models used in
measuring Mutual Fund performance - An Empericial Analysis Dr. M. Venkateshwaralu (NITIE)
10.20 - 01.10 Technical Session IV: Mutual Funds & Assest Allocation
10.20 - 10.50 Robust Benchmarking Of Indian Mutual Funds-A Partial Frontier
Approach- Dr. Ram Pratap Sinha (Government College of Engineering
and Leather Technology, Kolkata)
Panel Members
Dr. S. Narayan Rao, Professor, Shailesh J.
Mehta School of Management, IIT Mumbai
10.50 - 11.20 Tracking Error Performance – an Empirical Study on Efficiency Mr. Maheen M. & Ms. Sharathi S. (Pondhicherry University,
Pondicherry)
Prof. Neeraj Hatekar, Professor of
Econometrics, University of Mumbai
11.20 - 11.40 Tea/Coffee
Dr. Prabhakar Reddy Patil, Joint
Director, SEBI
11.40 - 12.10 Portfolio Return, Risk and Market Timing: A Non-Parametric
Approach - Mr. Joyjit Dhar (Krishnagar Government College, Nadia,
West Bengal) & Dr. Ram Pratap Sinha (Government College of
Engineering and Leather Technology, Kolkata)
Prof. G.P. Samanta, Director and
Member of Faculty, Reserve Bank Staff
College, Chennai
12.10 - 12.40 Market Quality, Market Reforms and Investor Familiarity - Dr.
Kiran Kumar Kotha (Indian Institute of Management, Indore)
Dr. Jinesh Panchali
Former Dean, IICM
12.40 - 01.10 Asset allocation using gold & market portfolio: Does it have the
golden potential?- Dr. Mayank Joshipura (NMIMS, Mumbai) & Prof.
Nehal Joshipura ( Durgadevi Saraf Institute of Management Studies,
Mumbai)
Dr. M. Venkateshwarlu,
Professor - Accounts and Finance, NITIE
01.10 - 01.55 Lunch Break
01.55 - 02.30 Valedictory Session
Welcome address
Review of Conference
Valedictory address
Distribution of Awards and Certificates
Vote of thanks
***********************
Prof. M. Thiripalraju, Director, IICM