Current Academic Positions

  • Professor

    Indian Institute of Technology, Madras, India

    Visiting Professor

    Asian Institute of Technology, Thailand

  • Prior Academic & Industry Positions

  • Associate Professor

    Indian Institute of Technology, Madras, India

  • Visiting Associate Professor

    Asian Institute of Technology, Thailand

  • Assistant Professor

    Indian Institute of Technology, Madras, India

  • Visiting Assistant Professor

    Asian Institute of Technology, Thailand

  • Visiting Scientist

    Indian Institute of Science, Bangalore, India

  • Senior Analyst

    ICRA, Bangalore, India

  • Assistant Professor

    Management Development Institute, Gurgaon, India

  • Business Correspondent & Copy Editor

    Bennett Coleman & Co (The Economic Times)

Education

  • Ph.D.

    Indian Institute of Science, Bangalore

  • MBA (Delhi)

  • M.Com (Bangalore)

  • B.Com (Bangalore)

Research Group

Aravind S

Market microstructure

Aravind's work focuses on exploring intraday data of Indian securities market to identify behavioral patterns which are crucial to explain price efficiency in the market. 2016

Ravi Teja K

Valuations

Ravi Teja's work focuses on the valuation of Indian start up companies. 2016

Sriram K S

High frequency Finance.

Sriram's work focuses on analysing the strategic trading behaviour of Informed traders in Indian equity markets. Especially the focus is on investigating the stealth trading strategy.

Lalita Mohan Mahopatra

FDI

Lalita explores the effect of 2008 global crisis on the dynamic relationship between FDI and Domestic Investment for the Emerging Market Economies. He further examines the role of Financial Development on the above association. 2016

Meeta Gulati

Corporate Governance

Meeta Gulati explores the board composition of a company to identify it's impact on firm performances 2016

Rimpa Saha

Credit Rating

Rimpa investigates the impact of macro economic variables on credit rating of the listed firms across several global markets. 2015

James

Corporate Valuations

Research focuses on Valuation of startup companies on Indian context.

Satya Narayan Panda

Corporate Valuations

Research focuses on Valuation of startup companies on Indian context.

Elayaraja. M S

Development Finance, Financial Inclusion, Microfinance, Public Policy

Accessing formal finance and poverty reduction: Evidence from financial inclusiveness among the Indian states.

Vipul Jain

Dynamic Linkages between Foreign Direct Investment and Domestic Investment: Evidence from Emerging Market Economies.

2010

Sowmya D.

Economic Determinants of Stock Market Interdependence – US and Asian Markets.

2010

Farhat Mahmood

Assessment of FDI impact on the Economy: Evidence from South Asian Economy.

2010

Ongpipattanakul

Corporate Restructuring and Value Creation: An empirical study of Thai Listed Firms.

2012

Shashank Ojha

Project Financing Strategies for E-Government Projects: Case Studies of Projects in India.

2013

Nidhi Saxena.

A study on the Motives, Partner selection criteria and Performance of Joint Ventures in Indian auto component sector.

2007

Murali Mohan Reddy

Interrelationship among Asian Emerging and Developed (Japanand US) Stock Markets.

2009

Shijin.S

Dynamic Interdependence of Human Capital and Common factors affecting Stock Returns.

2007

Honors, Awards and Grants

  • 133 paid downloads of a Resarch paper
    image
    The Research Paper titled ‚'Dynamic interdependence between US and Asian markets: An empirical Study'‛ had 133 paid downloads within one year of publication.
  • Resarch Paper was listed on SSRN's Top Ten Download list for Corporate Governance Educator
    image
    The Research Paper titled ‚Evidence on Changes in Time Varying volatility around Bonus and Rights Issue Announcement‛ was listed on SSRN's Top Ten download list for Corporate Governance Educator: Courses, Cases & Teaching eJournal and ERN: Prices Forecasting (Co-authored)
  • Resarch Paper was listed on SSRN's Top Ten Download list for "Emerging markets:Finance"
    image
    The Research Paper titled ‚Stock Market Reaction and Liquidity Changes Around Bonus Issue Announcement: Evidence from India" was recently listed on SSRN's Top Ten download list for "Emerging Markets: Finance" and FEN Conferences. (Co-authored)

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“Trade size preference of informed traders in Indian equity markets”

Sriram K S, and A. K. Gopalaswamy
Journal Paper Emerging Markets Finance and Trade (forthcoming),2018

This study utilized high frequency transactions data to analyse the trade size preference of informed traders in Indian equity markets. It is observed that informed traders at an aggregate level adopt stealth trading strategy, wherein they prefer medium sized trades over large sized trades in order to camouflage their private information. However, the stealth trading behaviour varies across stocks, wherein informed traders prefer more large sized trades on firms that are part of an index compared to non-index firms. Trading behaviour also varies across other market conditions. It has been noted that informed traders prefer large sized trades during periods of high market thickness, negative returns and low volatility. This study also provides a rationale for such varied behaviour of informed traders.

“The role of a firm’s innovation competence on customer adoption of service innovation”

Bhatnagar N, and A. K. Gopalaswamy
Journal Paper Management Research Review, vol 40, (4), 2018.

Purpose – This paper aims to identify the dimensions of a firm’s service innovation competence. This paper also aims to establish the relationship between a firm’s service innovation competence dimensions and customer-oriented service innovation configurations and customer adoption. This study probes the supply side of service innovation to assess the key drivers or capabilities that influence the service innovation process at the firm level. Design/methodology/approach – This study uses the triangulation method using existing theoretical concept supplemented by 18 in-depth interviews of senior level managers from service firms from three sectors – hospitality, mobile telecommunication services and financial services. The interview findings were supplemented by 12 service innovation case studies (four from each sector). Content analysis of in-depth interviews was performed using three raters, and inter-rater reliability was tested. Case studies were categorized in terms of the strength of the innovation competence dimension observed. Findings – Based on the content analysis of the interviews and categorization of case study observations, six distinct dimensions of the firm’s service innovation competence were identified. Four attributes of each dimension were also identified. Based on the interview insights and case observations, seven propositions are suggested, and a conceptual framework is presented to establish the relationship between the firm’s service innovation competence dimensions and service innovation configurations and customer adoption. Research limitations/implications – This study was conducted in the Indian context and remains to be tested using quantitative research. Therefore, researchers are encouraged to test the proposed framework in a different geographical context to ascertain its validity. Practical implications – The conceptual framework presented in the paper may help managers of service firms in building innovation capabilities that are relevant to development of customer-oriented innovations. This would lead to better customer adoption of their new services. Originality/value – This paper fills an important knowledge gap regarding the dimensions of a critical supply-side component of service innovation, that is, innovation competence. Clear identification of competence dimensions and their relationship with customer adoption extends the current knowledge on service innovation.

“Returns to search when consumers use and do not use recommendation agents”

Satish S.M., Bharadwaj S., and A.K. Gopalaswamy
Journal Paper Asia Pacific Journal of Marketing and Logistics, vol 29, (4),2017

Purpose – The purpose of this paper is to investigate returns to search (getting a better product and/or a lower price as a result of search) when consumers use/do not use recommendation agents (RAs). Specifically, it studies the effect of RAs/no RAs on decision quality, decision confidence and decision satisfaction taking into account subjective knowledge (SK) and involvement. Design/methodology/approach – This paper employed two between-subjects factorial experimental designs with subjects searching for digital cameras in a simulated online digital camera store. The experiment was conducted with graduate students in Chennai, Bengaluru and Mysore in India. Findings – Results of two online experiments showed that when consumers used RAs, low search led to better decision quality, whereas when consumers did not use RAs, medium search led to optimum decision quality. When consumers use RAs, SK had a U-shaped influence on the decision quality indicating that decision quality was the lowest for those with medium SK. When consumers did not use RAs, the effect of SK on decision quality was an inverted U-shape, indicating optimum decision quality for medium SK consumers. When consumers did not use RAs, subjects with high involvement made better choices, whereas when consumers used RAs, low involvement subjects made better choices. However, subjects who searched more had higher decision confidence and decision satisfaction even if their choices were not better. Originality/value – The effect of RA vs no RA in conjunction with relevant consumer characteristics influencing decision quality of the consumer is demonstrated in this study. The findings have important managerial, consumer and theoretical contributions to make.

“Foreign Direct Investment, Domestic Investment and 2008 Financial Crisis: the Rise of Emerging Nations”

Mohapatra L., and A.K. Gopalaswamy
Journal Paper The Journal of Developing Areas, vol 50, (6),2016

This research extends Dunning‟s investment development path theory to assess the long-run relationship among foreign direct investment (FDI) inflow, outflow and domestic investment (DI) for 32 emerging market economies (EMEs) based on 17 years data from 1996 to 2012. Breitung, IPS and Fisher-ADF tests have been used to identify the presence of unit root in the panel data. Further, Pedroni‟s panel cointegration test was used to find long-run relationships among DI, FDI inflow, and FDI outflow. The long-run association was further confirmed by Westerlund‟s panel cointegration test. Based on panel VECM a joint long-run causality from both FDI inflow and outflow towards domestic investment was identified. However, in the short-run domestic investment was caused by FDI inflow. Further applying fully modified OLS (FMOLS) and dynamic OLS (DOLS) it was observed that FDI inflow and FDI outflow have crowding-in effects on domestic investment. It can be concluded that for EMEs FDI outflow is also equally important in addition to FDI inflow to augment domestic investment. The impact of 2008 crisis was also examined in the light of FDI outflows and inflows from EMEs. Results based on FMOLS and DOLS indicate that 2008 crisis negatively affected the FDI inflow but the effect on outflows was not statistically significant. These results advocate for a protection mechanism from the financial crises for the EMEs as the FDI inflow declined during the period.

“Accessing Technology from Global Production Networks: The case of Joint ventures in Indian Auto Industry”

Gopalaswamy A.K., M. Sureshbabu, and Saji K Mathew
Journal Paper Asian Journal of Innovation and Policy ,2015

This study provides a background on the growth of Indian automobile industry under different regulatory regimes. It is observed that the international joint ventures have played a key role in the growth of the sector. The study further examines the motives for forming IJVs in the auto component sector and also identifies the criteria for choosing the joint venture partner to mitigate conflicts. These two specific attributes form the core towards transfer of technology, promoting innovation and also act as a catalyst for adopting and choosing appropriate technology. The study brings out the relationship between motives, partner selection criteria and performance of the IJVs. Results indicate that firms gave maximum importance to technological skills, quality control measures and proprietary knowledge in selecting IJV partners. It is also observed that the motives affect the partner selection criteria in terms of skill and resources needed from the partner.

“Intraday Seasonality: Evidence from Indian Market”

A Sampath and A.K. Gopalaswamy
Journal Paper The Empirical Economics Letters,2015

“The interface between electronic banking and accounting modules, and the enhancement of business performance of companies in Vietnam”

Danh N, and A. K. Gopalaswamy
Journal Paper Journal of Advances in Management Research (forthcoming) , 2017

“Adaptive Markets Hypothesis: Evidence from Indian ETF market”

Kumar SSS., and A.K. Gopalaswamy
Journal Paper The Empirical Economics Letters ,2013

“Dynamic linkages between foreign direct investment and domestic investment: evidence from emerging market economies”

Jain Vipul, A.K. Gopalaswamy and D. Acharya
Journal Paper Journal of Economics and Business Research,2013

This paper examines the long-run relationship between FDI inflows, FDI outflows and gross fixed capital formation, in a dynamic panel of 22 Asian, Latin American and other emerging market economies. Employing panel cointegration and causality tests, we find a mixed picture of these relationships across the three sub-samples. It is observed that a positive and significant long-run relationship exists between FDI inflows and fixed capital formation for Asian EMEs, suggesting a crowd-in effect. This finding is consistent with the complementary hypothesis of neoclassical macroeconomic growth model in which it is often thought that FDI inflows complement the domestic investment. The results for the relationship between FDI outflows and fixed capital formation indicate a significant negative long-run relationship for Asian and other EMEs. In addition, the long-run causality is observed to be bidirectional for both the samples. These results confirm the general, accepted view that FDI outflows reduce domestic investment.

“Evidence of changes in time varying volatility around bonus and rights issue announcements”

Malhotra, M., M. Thenmozhi, and G. Arun Kumar
Journal Paper International Journal of Emerging Markets,2013

Purpose – The purpose of this paper is to examine the short-term and long-term stock price volatility changes around bonus and rights issue announcements, using historical volatility estimation and time varying volatility approach. Design/methodology/approach – Changes in volatility around bonus and rights issues have been examined using the following methodologies. First, to capture historical volatility, change in standard deviation for 20 days and 100 days before and after announcement have been examined. Second, change in time varying volatility and unconditional volatility is examined using GARCH (1, 1) model. Findings – The results indicate that the historical volatility has increased after bonus and rights issue announcement. The volatility persistence and unconditional variance have increased after the bonus and rights issue announcements. This evidence, extendable to any other type of issue announcement, is consistent with theories stating that volatility increases after the seasoned capital issue announcements. Originality/value – This study analyses historical volatility, volatility persistence and unconditional volatility around bonus and rights issue announcements, which has not been observed in the previous literature. This study fills the gap in literature by empirically examining the change in short- and long-term volatility before and after bonus and rights issue announcements. Moreover, measuring volatility using GARCH model overcomes the potential problem of heteroscedasticity associated with cross-sectional data. The change in volatility persistence and unconditional volatility before and after the announcement are also examined. This study is useful for researchers and practitioners specialized in finance, international business and management, and professionals in the area of commercial policy development in emerging markets.

“Dynamic Interdependence between US and Asian Markets: An Empirical study”

Sowmya D., G. Arun Kumar and M. Sureshbabu
Journal Paper Journal of Financial and Economic Policy ,2013

Purpose – The purpose of this paper is to examine the short-term stock market interactions between US and six major Asian markets – China, India, Hong Kong, Singapore, South Korea and Taiwan. These six economies along with Japan and Australia have the largest stock exchanges in the Asia-Pacific region. The importance of the US market to the Asian economies is the prime motivation for a quantitative assessment of its role in this region. The objective of this study is to measure the dynamic stock market interdependence of US and Asian newly industrialized economies (NIEs) (Hong Kong, Singapore, South Korea and Taiwan) and emerging market economies (EMEs) (China and India) post Asian crisis of 1997 and also to capture the market interactions during the sub-prime crisis. Design/methodology/approach – The study has employed Granger causality tests and generalized forecast error variance decomposition (FEVD) analysis to analyze the fluctuations in and the extent of short-term interdependence between the US and Asian economies. VAR model was estimated to run the simulations for FEVD analysis. Findings – The empirical results from FEVD analysis revealed the dominance of US stock market on Asian markets; the USA being a large economy of the world, an important trading partner and major supplier of capital to Asian region. Stock markets of Asia are not immune to the shocks originating in the USA although the effects of shocks vary considerably across markets. Further, an important implication is that major crisis events can influence the relationship among stock markets. Originality/value – This is one of the first papers in the Asian context examining the interdependence with the US markets. Hence, even though most of the Asian economies went through liberalization, the macroeconomic and financial circumstances were very different before, after and during the process. This motivated the examination of the interactions between US and other Asian markets.

“Factors influencing stock returns around bonus and rights issue announcements”

Malhotra, M., M. Thenmozhi and G. Arun Kumar
Journal Paper IUP Journal of Applied Finance ,2013

This paper examines the factors influencing abnormal returns around bonus and rights issue announcements. The results of the study indicate that market condition and type of industry have significant influence on abnormal returns and the bonus ratio does not have any significant effect on abnormal returns. For rights announcement, issue size and market conditions have a significant impact on returns. Firm size, operating leverage, debt-equity ratio and volatility of stock returns are the other firm-related factors that have a significant impact on stock returns around bonus announcement. But for rights issue, only firm size is the significant firm-related factor which has a positive impact on the returns.

“The Stability of long-run relationships: A study on Asian emerging and developed stock markets (Japan and US)”

Murali B Reddy, G. Arun Kumar and Chia-Hsing Huang
Journal Paper International Journal of Emerging Markets ,2012

Purpose – The purpose of this paper is to investigate the stability of the long-run relationships between emerging (India, China, South Korea, and Taiwan) and developed stock markets (USA and Japan). The study aims at adding to the literature on market integration by investigating the hypothesis that the Asian emerging stock markets are increasingly converging with the US stock market over time. Design/methodology/approach – The authors use time varying cointegration tests (rolling and recursive cointegration) which allow for time variation in the underlying data generating process (possible structural breaks in the long-run relationships). Ten year index data from mid 1998 to 2008 of the respective stock markets have been used for this study. Findings – Empirical findings support the presence of one long-run relationship (cointegration vector) between emerging and developed stock markets. Both domestic and external forces affect stock market behavior, leading to long-run equilibrium but the individual Asian emerging stock markets tend to display stronger linkages with the USA (developed counterpart) rather than with their neighbors. The degree of convergence among Asian emerging markets has increased over the last few years. Originality/value – This is the first paper to study cointegration among Asian emerging stock markets namely India, China, South Korea, and Taiwan, as well as their cointegration with the developed stock markets of the USA and Japan.

“Dynamic risk –return relation with Human Capital A study on Indian Markets”

Shijjn S, G. Arun Kumar and D. Acharya
Journal Paper International Journal of Emerging Markets, 2012

Purpose – The purpose of this paper is to test a discrete time asset pricing model where a non-marketable asset (human capital), along with other factors predicting stock returns, explain risk return relationship. The paper will add to the literature on risk return relationship with human capital by investigating the hypothesis that human capital is a significant factor affecting stock prices. Design/methodology/approach – The dynamic inter-linkages of factors representing financial and human components of wealth in predicting stock returns is tested in the Indian market for the period of 1996:04 to 2005:06. The procedures employed include Granger causality tests, impulse response functions and seemingly unrelated regression estimates. Findings – Empirical findings validate the model that including human capital as a proxy for aggregate wealth in the economy can better predict stock prices than the standard empirical capital asset pricing model. There is a Granger cause relationship between security prices and labor income and it is further concluded that labor and dividend are significant factors affecting security prices. Originality/value – This is one of the first papers to study the human capital aspect in predicting stock returns in the Indian market. In addition, the paper provides important insights into the causal relationship of human capital and market return in explaining the risk return relationship.

“Impact of Buy back: Empirical study on Indian Markets”

Arun Kumar G
Journal Paper International Journal of Business and Emerging Markets, 2012

This study empirically investigates the behaviour of share prices around share buy-back announcements by Indian firms using a standard event methodology. It was observed that there was a significant market reaction to the buy-back announcements during the announcement period viz. the announcement date and the day prior to it. The market reaction t persists on the first day after the announcement of buy-backs regardless of the buy-back mechanisms adopted by the firms. The analysis suggests that the share prices which recorded a rapid decline prior to the buy-back announcement remained almost constant for a few days immediately following the announcement and then declined again, but at a much slower pace. A pattern similar to that of the post announcement period was also observed after the occurrence of actual buy-back. This study also examines the firms’ choice of repurchase mechanism, and the link between those choices and the share price reaction.

“Financing Technology Startups: An Entrepreneur’s Dilemma”

Arun Kumar G.and Saji Mathew
Journal Paper Emerald Emerging Market Case Study, 2012

Subject area Entrepreneurship, finance, technology and innovation, general management. Study level/applicability This case is suitable for students in finance, entrepreneurship and general management. The case seeks to understand the challenges of funding in technology startups and how they vary from product to service areas. Case overview Availability of capital, short term and long term, is a major constraint faced by entrepreneurs. In India, in the technology sector, services companies have been able to innovate and grow whereas product-based companies that survived the challenges of funding have been scarce. Aluru Karthik Prasanth is presented in the case as a young entrepreneur with passion and drive to pursue the commercialization of an idea he developed during his undergraduate studies in engineering. Leaving behind the beaten paths ofMTech and employment, he decides to pursue MS entrepreneurship at IIT Madras. As he starts with his program, he analyses the challenges faced by previous technology start ups, Karthik has a dilemma – deciding whether to follow a product idea or change his plans to a technology service. Expected learning outcomes A detailed analysis of the case would help students address the following questions in entrepreneurial decision making: should an entrepreneur in technology in India pursue a product idea or service idea?. What are the pros and cons of each choice in financing? How can an entrepreneur pursue a product idea and minimize his/her risks? How does an entrepreneur's personal attributes influence his/her course? (e.g. family background, need for control) What are the challenges and opportunities in each kind of funding: debt, venture, angel, etc. in the Indian context?

“Liquidity changes around bonus and rights issue announcements: Evidence from manufacturing and services sector in India”

Malhotra, M., M. Thenmozhi and G. Arun Kumar
Journal Paper Wealth-International Journal of Money Banking and Finance”, 2012

This paper examines the stock price liquidity changes before and after the bonus and rights issue announcements. Liquidity measured using raw trading volume ratio, relative trading volume ratio and liquidity ratio suggest that raw trading volume and relative trading volume have decreased around bonus and rights announcements. Market depth, as measured by the liquidity ratio, has significantly decreased after the bonus and rights issue announcement in the Indian stock market. There is evidence of negative and significant decrease in stock price liquidity for bonus and rights issue announcements similar to other issue announcements in US, UK and other emerging economies. The results support cash substitution hypothesis and signaling theory but rejects liquidity hypothesis with respect to bonus and rights issue announcements.

“Dominance of Chinese Market: An Empirical Study”

Arun Kumar G., SSS Kumar and Chia-Hsing Huang
Journal Paper Driving the Economy through Innovation and Entrepreneurship: Emerging Agenda for Technology Management, Springer, 2012

In the 1950s, Japan held a prominent position as a low-cost manufacturer and gained abnormal profits through international sales. In a span of three decades, Japan became one of the world’s pioneers of “quality” in products and services. However, in the last decade or two, China has gained a prominent position and has replaced Japan – in terms of low manufacturing cost – and has improvised its position from a low-cost provider to the pioneer.

Evidence on changes in stock prices and liquidity around rights issue announcement: Industry specific analysis”

Malhotra, M., M. Thenmozhi and G. Arun Kumar
Journal PaperInternational Journal of Business Insights and Transformation, 2012

This study examines the effect of rights issue announcement on firms’ abnormal returns with respect to Indian firms in chemical, textile, IT and finance sectors respectively. Event study methodology has been used for the purpose of studying the rights issue announcement reaction. Liquidity changes around the rights issue announcement have been captured using the trading volume, raw trading volume and liquidity ratios. Rights issue announcement yields a positive return around the announcements date in the case of textile, IT and finance sectors, whereas, in the case of chemical sector, the rights issue announcement yields a negative reaction. The results of the study show that in the case of chemical and finance sectors, the stock market is semi strong form efficient as against textile and IT sectors. In the post announcement period, the announcement reaction is positive for textile and finance sectors and negative for chemical and IT sectors. The rights issue announcement reflects investor’s sentiments about the market as a whole. Liquidity has decreased across all sectors as the liquidity ratio which captured market depth is significantly negative for all sectors under study. The study supports signaling hypothesis and information content hypothesis, but rejects liquidity hypothesis.

“Stock price reaction to Merger Announcements in India: An Empirical study”

Arun Kumar G., D. Acharya and J. Mallik
Journal Paper International Journal of Investment Management and Financial Innovations 2008

This research work empirically investigates the differences in stock price reaction of target and acquiring companies due to merger announcements. The role of insider information before merger announcements is also empirically tested and explained to be the cause for observed pre-announcement price run-ups. The investigation has been carried out using traditional event study methodology. Various event windows have been considered and compared to find out the period where the price run-up initiates. The post-merger price variations have also been studied. This analysis is suggestive of an upward trend in cumulative abnormal returns for companies in the pre-announcement period which in turn is indicative of insider information or anticipation. In addition, the evidence also suggests that around the announcement period the returns for the acquiring companies are higher than those for the target companies. In the post amalgamation period there is a downward trend in the cumulative returns implying a negative result of the merger.

Risk and return in the presence of Human capital: Some evidence

Shijin S, G. Arun Kumar, and Sanghamitra B
Journal Paper Journal of International Business and Economics; October 2007

This study examines the role of human capital along with other factors in predicting stock and bond returns. In addition we also check the influence of factors proposed by Fama and French (1992) along with human capital. We propose vector autoregressive model, Granger-causality tests and variance decomposition analysis to find the nature of relationship. Results of our analysis suggest that human capital is a significant factor in the prediction of stock returns. With the inclusion of human capital the explanatory power of the variables improves remarkably. Human capital has a significant causal relationship with stock returns; in the presence of Fama- French factors it shows a causal relationship with market risk. The results of the study will provide better insights to investors in understanding the risk return characteristics that exist among the factors which affect stock prices Keywords: Capital Asset Pricing Model, Human Capital, Size, Value, Market risk

“Relationship between Size, Value and Market Risk: Some Evidence”

Shijin S, G. Arun Kumar and Sanghamitra B
Journal Paper International Journal of Investment Management and Financial Innovations, 2007

This study examines the risk-return characteristics of common stock in Indian stock market. We propose vector autoregressive model, Granger-causality tests and variance decomposition analysis to find the nature of relationship that exists among the three factors (market risk, size, and value) proposed by Fama-French (1992). The empirical findings of our study indicate that market risk proxy has persistent effects on stock returns in Indian market. Moreover, a causal relationship is found to exist between market risk factor and non-market based measures. The results of the study are expected to provide better insights to investors in understanding the risk return characteristics that exist among the factors that affect stock prices.

“Effect of Bonus Issue Announcement on Stock Returns using Market Model”

Malhotra, M., M., Thenmozhi, and G. Arun Kumar
Journal Paper Journal of International Finance and Economics, 2007.

“Evidence from a new currency equivalent monetary aggregate for India”

Acharya D and G. Arun Kumar
Journal Paper International Journal of Banks and Bank Systems, 2007

This paper empirically examines the properties of a new weighted monetary aggregate, Currency equivalent monetary aggregate (CEMA) for India using the components of a broad monetary aggregate NM3 recommended by the working group on Money Supply, Analytics and Methodology of Compilation, Reserve Bank of India (RBI, 1998). The empirical properties of this aggregate via a money demand function are compared with its simple sum counterpart NM3. The results suggest the superiority of the CEMA over NM3.

“Announcement effect of rights issue on stock returns: A study of selected Indian manufacturing companies”

Malhotra M., M. Thenmozhi, and G. Arun Kumar
Journal Paper Journal of Services Research, 2007

This paper examines ordinary share price abnormal returns reaction to announcements of rights issues in the Indian Stock Market. This paper also examines Information hypothesis, Price pressure hypothesis, Market condition hypothesis and Semi strong form efficient market hypothesis. The event study technique has been used along with Multivariate Regression Analysis. The results of the study show that Indian stock market reacts positively to the announcement of rights issue and there is no information leakage prior to the rights issue in India. There is little evidence on the Indian stock market being semi strong form efficient. There is no evidence to support the Market condition hypothesis and Information hypothesis but there is evidence of Price pressure hypothesis.

“Liquidity changes and stock market reactions around bonus issue announcement: Evidence from India”

Malhotra M., M. Thenmozhi, and G. Arun Kumar
Journal Paper Journal of Services Research, 2007

This study examines share price reaction to the announcement of Bonus Issue for a sample of Indian Companies. Standard event study methodology has been used for the purpose of studying the Bonus issue announcement reaction. Bonus issue announcement yields negative abnormal returns around the announcement date. There is a negative reaction after the bonus issue announcement conveying that the market underreacts after the announcement. It is also observed that there is no information leakage prior to the announcement. Reduction in the liquidity ratio after the announcement is evidenced, though insignificant. All the three liquidity measures seem to be inconsistent with the enhanced trading liquidity expectation. Cross sectional regression shows that the number of shares issued, convey a positive signal to the investors. Further it has been evidenced that the size of the firm issuing bonus shares does not affect the abnormal returns of the company. The study supports Signaling Hypothesis and Cash Substitution Hypothesis.

“Stock price and money velocity in India : A note”

Acharya D and G. Arun Kumar
Journal Paper PURJA, 2007

“Long run post issue performance of fixed price and book built IPOs – An empirical study on Indian markets”

Arun Kumar G, C. Kartikeya and M. Sriram
Journal Paper Journal of Advances in Management Research, 2007

Purpose: The purpose of this paper is to investigate empirically the difference in long run post issue performance of initial public offerings (IPOs) that tapped the Indian primary market through a fixed price offer and book building offer; also to assess the persistence of underperformance between these two routes of offering. Design/methodology/approach: The after market performance of the IPOs is empirically assessed based on their market prices and also taking into consideration the other factors associated with the after market performance such as the period of issue (boom/slump), sector in which the industry is operating, etc. Findings: The results suggest that there is no difference in the direction of performance of the issues post listing in the short run, however in the long run the issues that tapped the market through the book building route seemed to perform far better than the ones that raised money through a fixed price offer. The results also suggested that the average return irrespective of the route of issue remains the same and this is because of the high initial return of issues that tapped the market with fixed price offers. Originality/value: The paper provides useful information about the IPO markets of India and abroad, related literature and theories or hypotheses concerning methods of issue.

“Impact of 9/11 attack on US listed stocks in Indian markets – an event study”

Haripriya R., M. Thenmozhi, and G. Arun Kumar
Journal Paper Journal of Management Research, 2006

“Inside equity as signal in IPOs”

Ajay Pandey and G. Arun Kumar
Journal Paper European Journal of Management and Public Policy’; 2004.

IPO by a firm calls for assessment of potential agency problems and associated costs by the outside investors. The potential conflict of interest problems between insiders and outsiders could be very high in countries with weak corporate governance mechanisms like India. Theoretically it could be argued that there are quite a few signals related to the firms in the IPO context and available to the investors, which could be used by them to assess the quality of firms. Based on cross-sectional data of 1243 IPOs in Indian markets during 1993-95 period, we find that the under-pricing (or realized excess returns), inside equity and pre-public offer firm reservations made for institutions and mutual funds explain the extent of oversubscription across IPOs. The type of agency appraising the project and presence or absence of foreign financial and/or technical collaborators fail to explain the extent of oversubscription across IPOs. In addition, we find that subscription rate rather than realized initial returns as dependent variable sheds more light on the effect of signals in a fixed-price open offer IPO process characterized by listing with considerable lag.

“Relative effectiveness of signals in IPOs in Indian capital markets”

Ajay Pandey and G. Arun Kumar
Journal Paper ‘Econ Papers, and IIMA working Paper series, 2004

IPO by a firm calls for assessment of potential agency problems and associated costs by the outside investors. The potential conflict of interest problems between insiders and outsiders could be very high in countries with weak corporate governance mechanisms like India. Theoretically it could be argued that there are quite a few signals related to the firms in the IPO context and available to the investors, which could be used by them to assess the quality of firms. Based on cross-sectional data of 1243 IPOs in Indian markets during 1993-95 period, we find that the under-pricing (or realized excess returns), inside equity and pre-public offer firm reservations made for institutions and mutual funds explain the extent of oversubscription across IPOs. The type of agency appraising the project and presence or absence of foreign financial and/or technical collaborators fail to explain the extent of oversubscription across IPOs. In addition, we find that subscription rate rather than realized initial returns as dependent variable sheds more light on the effect of signals in a fixed-price open offer IPO process characterized by listing with considerable lag.

“Impact of ADR listing on asset prices in Indian market and market volatility”

Acharya D and G. Arun Kumar
Journal Paper ICFAI University Press, 2004

“The impact of risk and return of listing Indian stocks on U.S. stock exchanges”

Kiran Kumar K and G. Arun Kumar
Journal Paper Journal of Services Research, 2003

“Components of Spread in Security Markets with Implicit Dealers: An Empirical Study of the Paris Bourse”

Ravi Kumar P., C. Krishnamurti, and G. Arun Kumar
Journal Paper”, Working Paper (IISc), 1997

“Stealth trading in Indian equity markets”

Sriram K.S. and A. K. Gopalaswamy
Conference Papers International Conference on Financial Markets and Corporate Finance (ICFMCF), Kharagpur, 2017 (Won - BEST PAPER AWARD)

“Strategic Behavior of Informed Traders in Indian Equity Markets”

Sriram K.S. and A. K. Gopalaswamy
Conference Papers The World Finance Conference, New York, July 2016

“Money Chasing Deals? The Stake Story”

Teja, R. and A. K. Gopalaswamy
Conference Papers The World Finance Conference, New York, July 2016

“Foreign Direct Investment, Domestic Investment and 2008 Financial Crisis: the Rise of Emerging Nations”

Mohapatra L., and A.K. Gopalaswamy
Conference Papers Australia-Middle East Conference on Business and Social Sciences, Dubai, April 2016

“A Dynamic Panel Analysis of Ownership Structure and Firm Performance: Evidence from India”

Gulati, M., and A.K. Gopalaswamy
Conference Papers Australia-Middle East Conference on Business and Social Sciences, Dubai, April 2016

“Do macro-economic factors impact firms’ credit risk?”

Saha Rimpa and A.K. Gopalaswamy
Conference Papers The New Financial Regulatory System: Challenges and Consequences for the Financial Sector, Venice on 25-26 September 2014.

“Does macro-economy impact industry wise credit risk: A study in emerging market?”

Saha Rimpa and A.K. Gopalaswamy
Conference Papers Third International Conference on Credit Analysis and Risk Management, Oakland, USA August 2014

“Some Evidence on Intraday Volatility Patterns of Indian Markets”

Aravind S., and A.K. Gopalaswamy
Conference Papers 4th World Finance Conference, Cyprus July 2013

“Sector Index and Stocks: A Test of Efficiency”

Vignesh J., and A.K. Gopalaswamy
Conference Papers Global Finance Conference, Monterey, California, USA, May 2013

“Do Intraday Volatility Patterns Follow a Curve? Evidence from the Indian Market”

Aravind S., and A.K. Gopalaswamy
Conference Papers XI Capital Markets Conference, Indian Institute of Capital Markets, Mumbai, December 2012.

“Sector Index: Do they tell the Right Story?”

Vignesh J., and A.K. Gopalaswamy
Conference Papers XI Capital Markets Conference, Indian Institute of Capital Markets, Mumbai, December 2012.

“Dominance of Chinese Market, An empirical study”

Arun Kumar G., SSS Kumar and Chia-Hsing Huang
Conference Papers International Conference on Technology and Management, 2012.

“Sustainable Global Business in Emerging Economies- Multinationals from Asia-Pacific”

Sumit Mitra and G. Arun Kumar
Conference Papers 12th International Conference of the Society for Global Business and Economic Development, Singapore, July 2011.

“Factors influencing abnormal returns around bonus and rights issue announcements”

Malhotra, M., M. Thenmozhi and G. Arun Kumar
Conference Papers International Conference on Interdisciplinary Business and Economics Research, Thailand, June 2011

“Case study on the benefits of User Co-Pay model in Rural Health Care Systems”

Arun Kumar G., D. Acharya and A. Thillairajan
Conference Papers Workshop on Health Risks, Poverty & Vulnerability in South Asia, Hyderabad, March 2011.

“Evidence of changes in time varying volatility around bonus and rights issue announcements”

Malhotra, M., M. Thenmozhi, and G. Arun Kumar
Conference Papers International Conference on Practice and Research in Management, Agra, 2011.

“Complementary Strategic Motives for the Two Partners in International Joint Ventures in Auto Component Sector in India”

Nidhi Saxena and G. Arun Kumar
Conference Papers 10th International SMF Annual Convention 2007 (Won - BEST PAPER AWARD)

“Human capital and predictable stock returns: A dynamic asset pricing approach”

Shijin S, and G. Arun Kumar
Conference Papers 20th Australian Banking and Finance Conference, December 2007, Sydney, Australia

“Risk and return in the presence of Human capital: Some evidence”

Shijin S and G. Arun Kumar
Conference Papers International Academy of Business and Economics (IABE)-2007, Annual Conference, Las Vegas, October 2007

“Effect of Bonus Issue Announcement on Stock Returns using Market Model”

Malhotra, M., M. Thenmozhi, and G. Arun Kumar
Conference Papers International Academy of Business and Economics (IABE)-2007, Annual Conference, Las Vegas, October 2007.

“Stock Market Reaction and Liquidity changes around Bonus issue announcement: Evidence from India”

Malhotra, M., Thenmozhi, M. and G. Arun Kumar
Conference Papers The Tenth Capital Market Conference December 2006. Indian Institute of Capital Market. Mumbai. India.

“Asset Pricing and Optimal Portfolio Choice in the Presence of Human Capital”

Shijin S and G. Arun Kumar
Conference Papers The Tenth Capital Market Conference December 2006. Indian Institute of Capital Market. Mumbai. India

“Liquidity changes and stock market reactions around bonus issue announcement: Evidence from India”

Malhotra, M., M. Thenmozhi, and G. Arun Kumar
Conference Papers Missouri Valley Economic Association 43rd Annual Meeting. October 2006, Minneapolis.

“Announcement Effect of Rights Issue: A Study of Selected Indian Manufacturing Companies”

Malhotra, M., M., Thenmozhi, and G. Arun Kumar
Conference Papers Sixth Consortium of students in Management Research, September 2006. Indian Institute of Science, Bangalore.

“Role of academic institutions and research centers in India in value innovation and creative entrepreneurship in local enterprises – IITM incubator initiative”

A. K. Gopalaswamy
Conference Papers Study meeting on Creative Entrepreneurship: Value Creation, Taipei, Taiwan, July 2005

“Impact of 9/11 attack on US listed stocks in Indian markets – an event study”

Haripriya R., M. Thenmozhi, and G. Arun Kumar
Conference Papers Sixth International Conference on Operations and Quantitative Management, 2005.

“Impact of ADR listing on asset prices in Indian market and market volatility”

Acharya D and G. Arun Kumar
Conference Papers International Conference 2003 on Business and Finance, 2004.

“India and China: The mutant dragon and elephant”

Sumit Mitra and G. Arun Kumar
Conference Papers 5th Strategic Management Convention; Theme: Competitiveness 2010, 2002.

“Knowledge management issues in joint ventures between developed and developing country partners: Exploring the Indian Context”

Sumit Mitra and G. Arun Kumar
Conference Papers Alliances and Confrontations: Globalization and the Logic of Trading Blocks’, ESCAP, Paris, 2001.

“Role of knowledge management in technology transfer: A study of international joint ventures in Indian automobile ancillary industry”

Arun Kumar G. and Sumit Mitra
Conference Papers 11th International Forum on Technology Management, Indian Institute of Science, Bangalore; 2001

“Components of spread in security markets with implicit dealers: An empirical study of the Paris Bourse”

Ravi Kumar P., C. Krishnamurthy and G. Arun Kumar,
Conference Papers University of Connecticut, U.S.A, 1996
  • image

    Management Accounting


    With:
    Robert S Kaplan (Harvard),
    Anthony A. Atkinson (Waterloo) ,
    S. Mark Young (Southern California),
    Ella Mae Matsumura (Wisconsin-Madison)

    Pearson Education Asia | January 2014 | Sixth Edition | BUY NOW

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    Management Accounting


    With:
    Robert S Kaplan (Harvard),
    Anthony A. Atkinson (Waterloo) ,
    S. Mark Young (Southern California),
    Ella Mae Matsumura (Wisconsin-Madison)

    Pearson Education Asia | 2009 | Fifth Edition (Sold more than 4000 copies)


  • Reports



  • Self help groups - Turning point - IIT Madras and Hand in Hand. 2017.


    With:
    Dr. Thillai Rajan (IITM),
    Dr. Saji Mathew (IITM)

    English subtitled video

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    Systematic review of various interventions and approaches used for enhancing poverty reduction and development benefits of ‘within country migration. DFID systematic review protocol. 2016.


    With:
    Dr. Suresh Babu (IITM),
    Dr. Umakant Dash (IITM),
    Dr. Vijaya Baskar (MIDS)

    DOWNLOAD HERE

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    Systematic review of non-state justice systems in South Asia. DFID systematic review protocol.2016.


    With:
    Dr. Feroz Ali (IITM),
    Dr. Suresh Babu (IITM),
    Dr. Saji Mathew (IITM)

    DOWNLOAD HERE

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    What is the impact of microfinance on the wellbeing of the poor and what are the conditions for making microfinance work for the poor in South Asia? DFID systematic review report. 2016.


    With:
    Dr. Umakant Dash (IITM),
    Dr. Suresh Babu (IITM)

    DOWNLOAD HERE

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    Systematic review of quantitative evidence on the impact of microfinance on the poor in South Asia. DFID systematic review protocol. 2015.


    With:
    Suresh Babu (IITM),
    Umakant Dash(IITM)

    DOWNLOAD HERE

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    Public Perception of Security


    PISTE Working Professionals Learning Project | ISTE

  • image

    SROI Assessment for Hand in Hand


    With:
    Suresh Babu (IITM),
    Saji K Mathew (IITM)

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    Activist to entrepreneur: The role of social enterprise in supporting women’s empowerment in India


    With:
    Mark Richardson,
    Isabel Salovaara &
    Bally Sappal

    DOWNLOAD HERE

  • image

    Activist to entrepreneur: The role of social enterprise in supporting women’s empowerment in India


    With:
    Mark Richardson,
    Isabel Salovaara &
    Bally Sappal

    DOWNLOAD HERE

  • Self help groups - Turning point - IIT Madras and Hand in Hand

    Training program conducted by us for self help groups

    Watch this video to know more

    Watch shorter version with English subtitles

  • What is the impact of microfinance on the well-being of the poor and what are the conditions for making microfinance work for the poor in South Asia?

    The study is a systematic review on the impact of Microfinance in South Asia. The study is funded by Department of International Development, UK (DFID). The study is currently on going..

    October 2014 to July 2015.

  • Social Return Evaluation of interventions of Hand in Hand (HiH)

    HiH has interventions in five pillars viz. microfinance, education, health, Citizens’ Centres, and environment. The study is to assess the impact of these interventions. The study would involve monetizing the direct, indirect, qualitative and quantitative benefits of such interventions. HiH being an international NGO has interventions in South and East Asia in addition to some parts of Africa and Europe. In India they work with 68,000 Self help groups approximately. The study would involve assessing the benefits to these groups.

    September 2014 to August 2015.

  • Advanced training on Integrated Materials Management and Finance (41st and 42nd) batch

    The comprehensive program was custom designed for HAL. The objective of this program was to inculcate materials management application and finance concepts as well as their integration. The program also involved visits to some of the best manufacturing units to know the ‚best practices‛..

  • India Immersion program

    This comprehensive program was MCI Austria. The participants were Austrian executives who wanted to understand the business in India. They were given exposure across different sectors in a combination of both classroom lecture and field visits ranging from an incubation setup to manufacturing to hospital.

  • Transaction Risk Scoring and Risk Decisioning and Network Processing Infrastructure

    The study focused on competitor analysis and the functionality assessment of two specific areas viz. (a) Network processing infrastructure and (b) transaction risk scoring and risk decisioning for Visa International (Infosys).

    October 2012 to January 2013.

  • Dynamic Linkages between Foreign Direct Investment and Domestic Investment: Impact on India post Euro Crisis

    This project has been awarded by ‘South Asia Network of Economic Research Institutes’ (SANEI) under the 14th round RRC. This study is an attempt to investigate the long run relationship between FDI flows (inflows and outflows) and capital formation in one of the largest asian economies viz. India.

    April 2013 to March 2015.

  • Financing of Entrepreneurial and SME companies in Energy, Environment and Technology Sectors in India

    This project has been funded by Nissan Research Support Program. Specifically, the project would focus on studying the recent trends in financing of entrepreneurial and SME’s in the energy, environment, and technology sectors. Secondly to study the impact of financing from different sources and thirdly the study would identify the different instruments of value creation and then attempt to map the causal pathway of value creation..

    June 2011 to May 2013.

  • Career Development Program for Operations Managers of AMAZON

    Amazon works on complex technology challenges that directly drive business on Amazon.com, a Fortune 500 company and the global leader in e-commerce. The program would take the participants through all the functional areas of Management so as to equip them to handle responsibilities better as they scale up to the next level in the organisaiton.

    August 2013 to March 2014.

  • Financing of Small and Early State Business: Impact evolution, Imperatives and Opportunities

    This project analyses the recent trends of financing small business in India from a holistic view point. The study will comprehensively analyze all the available financial sources and the impact of such financing. This project is being sponsored by AICTE.

    November 2012 to October 2015.

  • Evaluation Study of 30 CCE in Haveri District

    This evaluation project was conducted to evaluate Hand in Hand’s (HiH) (Corporate-NGO) initiative of promoting entrepreneurs in Haveri district. HiH was funded by Deshpade foundation for enhancing the economic development in Havveri district by promoting enterpreneurs through ICT enabled services. The project involved qualitative evaluation based on field visit of all 30 centers spanning five blocks in the district. The evaluation was based on the functioning of Kisoks, their effectivenessand revenue generation possibilities and the accrued benefits to the target beneficiaries..

    May 2012 to June 2012.

  • Evaluation of Bridging the digital divide in Tamil Nadu

    This evaluation project was conducted to evaluate Hand in Hand’s (HiH) (Corporate-NGO) initiative in ICT education in rural areas of six districts in Tamil Nadu. HiH was funded for this project by Department of Information Technology. The project involved sensitizing and educating the rural folk specifically the women about ICT and its uses and also to provide help in setting up ICT based enterprises if they wished.

    July 2009 to December 2009.

  • Government Funding for healthcare: Developing a model for payer targeted approach

    Globally, various models of public sector funding for healthcare that targets the payers have been explored. Most of these initiatives by the government towards payer targeted programs are fairly recent. Some recent announcements indicate the intentions of the government to explore the implementation of payer targeted programs Before such payer targeted programs can become a part of mainstream healthcare funding, there is an urgent need for greater understanding on the relevance and implications of such an approach, and if found favorable, an evaluation of alternate models and selection of appropriate model for the Indian context, and the expected benefits from such payer targeted programs..

    July 2008 to December 2009.

  • Restructring Andhra Pradesh Tourism Corporation

    The assignment involved analyzing both quantitative and qualitative data of AP Tourism Corporation. It involved studying all the wings of APTDC viz. hotels, bus tours and boat rides. The study involved suggesting implementable action plans to the corporation.

    March to August 2009.

  • Economic Cost Benefit Analysis of Hyderabad Outer Ring Road Project

    The assignment involved a holistic review of Outer Ring Road Project (ORR) to indicate its potential to provide cascading economic benefits to different sections of society. The study was an attempt to assess the potential benefits of the projects to different stake holders using an economic analysis approach. To capture the benefits the analysis was carried out at three levels involving ‚financial analysis of the project taking into consideration the projects’ financial costs and benefits‛ at the first stage, followed by ‚estimating the benefits to key stakeholders‛ at the second stage and ‚modeling the transport network of Hyderabad to capture the larger economic benefits form the ORR project‛ at the third and final stage..

    March to August 2007.

  • Evaluating Alternate Financing Approaches for Phase II B of ORR Project

    This project involves analyzing and evaluating the various financing patterns and also the benefits accruing from the economics of tolling, traffic decongestion and other economic benefits to finalise the most viable financing option and also the efficiacies of development.

    August 2007 – December 2007.

Teaching Interest

  • Doctoral Level

    Empirical Research in Finance

  • Graduate Level

    Financial Accounting

    Management/Cost Accounting

    Corporate Finance

    Strategic Cost Management

    Mergers and Corporate Valuations

    International Investments and Portfolio Management

    Advanced Corporate Finance

  • Under Graduate level

    Finance and Accounting for Engineers

  • Detailed course outline can be found here.