An examination of the Indian small-cap cycle in relation to the U.S. market

被引：0
|
作者：
Hazra, Avirup [1 ]
Kayal, Parthajit [1 ]
Maiti, Moinak [2 ]
机构：
[1] Madras Sch Econ, Chennai, Tamil Nadu, India
[2] Univ Witwatersrand, Sch Econ & Finance, Dept Finance, Johannesburg, South Africa
来源：
IIMB MANAGEMENT REVIEW | 2024年 / 36卷 / 02期
关键词：
India; Investment; Portfolio management; Risk; Return; Small; -caps; EMPIRICAL-EVIDENCE; STOCKS; RISK; PERFORMANCE; INVESTMENT; LIQUIDITY; RETURNS; STYLE;
D O I：
10.1016/j.iimb.2024.03.008
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
The present study examines the Indian small -cap cycle between April 2011 and March 2022. The ordinary least squares (OLS) estimate shows that investors can bene fit from investing in the Nifty Small -Cap 100 index by following a proper exponential moving average strategy. The study findings also highlighted that among macroeconomic factors, 'term spread ' might in flu- ence the Nifty Small -Cap 100 index returns (NIFSC100R). The daily returns of the Russell 2000 index, the relative change in international crude oil prices (RCO), and the relative change in the exchange rate between USD and INR (RUSDINR) show no statistically signi ficant impact on NIFSC100R. (c) 2024 Published by Elsevier Ltd on behalf of Indian Institute of Management Bangalore.
引用
收藏
页码：126 / 136
页数：11
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