Qualification: 
PG
g_priyanshi@blr.amrita.edu

Priyanshi Gupta has undertaken doctoral research at Department of Financial Studies, University of Delhi, and has recently submitted her Ph.D. thesis entitled ‘Financial Integration Amongst EMU Countries: An Empirical Study’. The doctoral research work included an assessment of the process of financial integration in stock markets, bond markets, retail banking to non-financial corporations and retail banking to households since the introduction of euro and its policy implications. It involved the examination of the impact of Global Financial Crisis and European Debt Crisis on the integration process and the study of relationship between the degree of financial integration and economic growth for member countries.

Prior to this, she has worked as Assistant Manager in the Membership Cards Analytics and Reporting Division at American Express India Private Limited, Gurgaon, Haryana.

Publications

Publication Type: Journal Article

Year of Publication Publication Type Title

2015

Journal Article

P. Gupta and Goyal, A., “Impact of oil price fluctuations on Indian economy”, OPEC Energy Review, vol. 39, pp. 141–161, 2015.[Abstract]


Indian economy has been facing the twin issues of mounting trade imbalance and persisting inflation. Oil constitutes one-third of the country's total imports and is considered to have wide-ranging impact on its economy. This paper empirically examines how oil price fluctuations impact Indian economy through various channels, viz. real sector, monetary policy, external trade, exchange rate and investment. The results of cyclical correlation analysis suggest that oil is pro-cyclical to output, price level, stock market, gold, interest rate and foreign exchange reserves, while it is counter-cyclical to money supply, net exports and exchange rate. Also, it is found that oil Granger causes output, general price level and net exports. The study employs vector auto-regression (VAR) analysis and examines variance decomposition to capture the linear inter-dependencies among the variables. The structural stability tests demonstrate that there is no evidence of structural break in the VAR model, confirming the reliability of estimated relationships under the VAR model.

More »»

2015

Journal Article

P. Gupta, Sehgal, S., and Deisting, F., “Time-Varying Bond Market Integration in EMU”, Journal of Economic Integration, vol. 30, pp. 708–760, 2015.[Abstract]


We examine the level and progress of bond market integration amongst the eleven Economic and Monetary Union countries with active bond markets, over normal and crisis periods. The study covers data from January 2002 up to March 2014. We employ seven indicators for assessing integration, namely beta convergence, sigma convergence, variance ratio, Asymmetric Dynamic Conditional Correlation, dynamic co-integration, market synchronisation, and common factors approach. The results suggest that there is no heterogeneity in the integration process of large-sized economies and medium-sized economies, thereby restricting portfolio diversification potential. Further, bond market integration in the Economic and Monetary Union deteriorated during the crisis period, especially during the European debt crisis, with the economies of Greece, Ireland, Italy, Portugal, and Spain being the worst affected. We observe that bond markets take a lead in information linkages vis-à-vis stock markets, and hence should get precedence in policy intervention relating to market integration, development, and crisis management.

More »»

2014

Journal Article

S. Sehgal, Kumar, M., and Gupta, P., “Public Sector Disinvestment in India Price Reactions and Underpricing Issues”, Global Journal of Emerging Market Economies, vol. 6, pp. 181–202, 2014.[Abstract]


This study examines the stock market performance of Indian state-owned public sector units (PSUs), which were privatized through initial public offerings (IPOs) and further public offerings (FPOs). The analysis of stock price reaction is conducted for different event dates related to these offerings, that is, public notice date (PND), issue announcement date (IAD), price band/actual issue date (PAD), and the offer price date (OFD). The study also compares the price reaction for IPO and FPO issues. Furthermore, as the public sector equity offerings are generally sold at a discount, we also empirically analyze the degree of underpricing of such offerings. The study uses event methodology for 18 PSUs that made FPOs between 2002 and early 2013. The results report positive abnormal returns (ARs) (i.e., excess returns over and above the expected returns) after the primary offerings (IPO) of the equity. Furthermore, it was observed that in the case of first-stage further offerings (FPO-1), positive ARs are observed prior to the public notification of such offering followed by negative price reaction until the date declaration of offer price. For second-stage further public offerings (FPO-2), negative ARs (i.e., when actual returns are less than expected returns) after the public notification continue even after the date of stock offering. The price discounts on PSU issues exhibit a declining trend from IPO to successive stages of FPOs. Based on the empirical analysis, we recommend that the disinvestment should be spread over three stages of offerings, that is, primary issue (IPO), first-stage further offerings (FPO-1), and second-stage further offerings (FPO-2). In addition, selection of investment bankers and market timing needs special consideration. Furthermore, the regulatory surveillance needs to be strengthened to check the presence of ARs even before the event dates.

More »»

Publication Type: Journal

Year of Publication Publication Type Title

2014

Journal

S. Sehgal, Gupta, P., Deisting, F., and , “Assessing Time-Varying Stock Market Integration in EMU for Normal and Crisis Periods”. 2014.[Abstract]


In this paper, we examine the financial integration process amongst 17 EMU countries from January 2002 to June 2013 over a normal period as well as for the Global Financial Crisis (GFC) and Eurozone Debt Crisis (EDC) periods. We classify the economies in three groups (A, B and C) based on their GDP to examine whether the economic size influences financial integration. Seven indicators are used for the purpose, namely, Beta Convergence, Sigma Convergence, Variance Ratio, Asymmetric DCC, Dynamic Cointegration, Market Synchronisation Measure and Common Components Approach. The results suggest that large sized EMU economies (termed as Group A) exhibit strong financial integration. Moderate financial integration is observed for middle-sized EMU economies with old membership (termed as Group B). Small sized economies (termed as Group C) economies seemed to be least integrated within the EMU stock market system. The findings further suggest presence of contagion effects as one moves from normal to crisis periods, which are specifically stronger for more integrated economies of Group A. We recommend institutional, regulatory and other policy reforms for Group B and especially Group C to achieve higher level of integration.

More »»

Working Papers

  • Sehgal S. and Gupta P., Time Varying Integration in EMU’s Retail Banking to Non-Financial Corporations, Working Paper, Department of Financial Studies, University of Delhi in 2015.
  • Gupta P. & Sehgal S., Time Varying Retail Banking Integration in the EMU: Evidence from Savings and Lending Rates to Household Sector. Working Paper, Department of Financial Studies, University of Delhi in 2015.
     

Policy Reports

  • “Financial Sector Regulation in India”, Report submitted to Ministry of Finance in 2015
  • “The Gold Rush and Policy Options: An Empirical Study”, Report submitted to Ministry of Finance and Office of Chief Economic Advisor of India, Cited in the Economic Survey of India 2012-13. (Chapter 1, State of the Indian Economy, pp. 12, Box 1.2)
  • “Price Reaction to PSU Disinvestments and the Issue of Underpricing of PSU Offerings, An Empirical Study for India”, Report submitted to Ministry of Finance and Office of Chief Economic Advisor of India in 2013.