Dean (Academics) and Associate Professor - Economics, Ph.D. (Jadavpur University), M.S. (ISI), B.Sc. (Presidency College)

Contact:  +91-33-6652 9667

Email:  p.mukherjee@imi-k.edu.in

Area of Interest
  • Applied Financial Economics
  • Time Series Econometrics
  • Macroeconomics

Paramita Mukherjee

Dean (Academics) and Associate Professor - Economics, Ph.D. (Jadavpur University), M.S. (ISI), B.Sc. (Presidency College)

Dr. Mukherjee is an alumnus of Presidency College, Kolkata. She has completed MS in Quantitative Economics from Indian Statistical Institute and Ph.D. from Jadavpur University, Kolkata. She has 18 years’ experience in industry, research and teaching, with stints at AC Nielsen (formerly ORG MARG), ICRA, IBS, Institute of Engineering and Management etc. She teaches managerial economics, macroeconomics, statistics, econometrics for business, financial econometrics etc. She has also taught time series analysis in Presidency College and Kalyani University as part of Ph.D. course work. She has conducted training programmes for executives under the auspices of CII, Kolkata. She is also a resource person in training programmes at IMI-Kolkata. Dr. Mukherjee has also worked as a consultant.

Her research interest lies in applied financial economics and time series analysis. She has worked on contemporary issues in the financial sector, like FIIs, mutual funds, stock market volatility, return co-movement and volatility spillover, share buyback etc. She has worked on issues in the banking sector, particularly on non-performing assets. Also has keen interest in applied studies on macroeconomic issues like inflation etc. She has authored a number of research papers in international journals. She has presented research papers in a number of international conferences.

Journals

  • Mukherjee P. and M. Roy,* What Drives the Stock Market Return in India? An Exploration with Dynamic Factor Model,* jointly with Malabika Roy, *Journal of Emerging Market Finance*, Vol. 15, No. 1, pp. 119-145, Sage Publications, 2016.
  • Mukherjee P. and C. Chatterjee*, Price Behaviour around Share Buyback in the Indian Equity Market, *jointly with Chanchal Chatterjee, *Global Business Review,* Vol. 16, No. 3, June, pp. 425 – 438, Sage Publications, 2015.
  • Mukherjee, P., “An Exploration on Volatility across India and Some Developed and Emerging Equity Markets”, Asia-Pacific Development Journal, Vol. 18, No. 2, pp. 79 – 103. Bangkok, Thailand: United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), 2011, December.
    URL: http://www.unescap.org/pdd/publications/apdj-18-2/4-Mukherjee.pdf.
  • Mukherjee, P. and Roy, Malabika, “The Nature and Determinants of Investments by Institutional Investors in the Indian Stock Market”, Journal of Emerging Market Finance, Vol. 10, No.3. New Delhi: Sage Publications, 2011, December, pp. 253 – 83.
    URL: http://emf.sagepub.com/content/10/3.toc.
  • Mukherjee, P. and Bose, Suchismita, “Does the Stock Market in India Move with Asia? A Multivariate Cointegration/VAR Approach”, Emerging Markets Finance and Trade, Vol. 44, No. 5. US: M.E. Sharpe Inc, 2008, September − October, pp. 5 – 22.
    URL: http://mesharpe.metapress.com/openurl.asp?genre=articleamp;issn=1540-496Xampvolume=44&issue=5&spage=5.
  • Mukherjee, P. and Coondoo, D., “The Indian Macro-economy: A Time Series Econometric Exploration”, India Macroeconomics Annual, 2004-05. Kolkata: Centre for Studies in Social Sciences, 2005, August.
    URL: http://www.cssscal.org/pdf/ima/ima_04-05_contents.pdf.
  • Mukherjee, P., Bose, S., “Constant Maturity Yield Estimates for India: How Well Do They Depict the Term Structure?”,The Economic and Political Weekly, Special Issue on Money, Banking & Finance, Vol. XL, No. 12, March 19-25, 2005.
    URL:http://www.jstor.org/discover/10.2307/4416373?uid=3738256&uid=2129&uid=2&uid=70&uid=4&sid=21101212511127.
  • Mukherjee, P. and Coondoo, D.,“Components of Volatility and their Empirical Measures”, Applied Financial Economics, Vol. 14,No.18. UK: Routledge, 2004, December, pp. 1313−18.
    URL: http://www.tandfonline.com/doi/abs/10.1080/09603100412331313550.
  • “Volatility of FII in India”, Money & Finance, Vol.2, Numbers 15-16, Oct. 03−Mar.04. New Delhi: ICRA Limited, 2004, pp. 85-102.
    URL: http://icra.in/Files/MoneyFinance/2004JulDeckoondoo.pdf.
  • Mukherjee, P., Bose, S. and Coondoo, D., “Foreign Institutional Investment in the Indian Equity Market: An Analysis of Daily Flows during January 1999 — May 2002”, Money and Finance, Vol. 2, Numbers 9-10, April−September. New Delhi: ICRA Limited, 2002, pp. 21−51.
    URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=430700##.
  • Mukherjee, P., “Dealing with NPAs: Lessons from International Experiences”, Money and Finance, Vol. 2, Number 12, Jan-March. New Delhi: ICRA Limited, 2002, pp. 64−90.
    URL: http://www.icra.in/Files/MoneyFinance/JanMarch2003Internationalexp.pdf.
  • Mukherjee, P., Bose, S. and   Sarkar, S., “On Developing Constant Maturity Yield Curves for India”, Money and Finance, Vol. 2, Number 6, July-September.  New Delhi: ICRA Limited, 2001, pp. 51−73.
    URL: http://www.icra.in/Files/MoneyFinance/julsep2001yieldcurve.pdf.

Books / Book Chapters

  • China and India: History, Culture, Co-operation, Competition** (co-edited by A. K Deb and M Pang), Sage Publications, October, 2016.
  • CSR Practices: A Comparative Study of India and Asia, in *China and India: History, Culture, Co-operation, Competition *eds. Mukherjee, Deb and Pang, *forthcoming* September, 2016.
  • Contributed to the International edition of Macroeconomics by Hubbard R. Glenn, P O’Brien and M Rafferty, 2013, Pearson Education, England.
    URL: http://bnb.data.bl.uk/doc/resource/016334461
  • Mukherjee, P., “Gender Discrimination: A Review of the Theories and Evidences in Economics”, in Gender Bias: Issues & Perspectives,ed. Suvarna Sen. Hyderabad: ICFAI University Press, 2009, January.
  • Mukherjee, P.& Bhaumik, S. K., “The Indian Banking Industry: A Commentary”, in Economic Institutions in India: Sustainability under Liberalization and Globalization, eds P. Banerjee and F.J. Richter. UK: Palgrave-McMillan, 2002, November, pp. 71 – 98.
    URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=312002.

Other Articles

  • How Well Are the Banks Managing Their NPAs? A Comparative Analysis*, IMI-Kolkata Working Paper No. CFMS-13-001, International Management Institute, Kolkata, 2013
  • Mukherjee, P., Review of Principles of Macroeconomics, by S. Sikdar (Oxford University Press, 2006), Globsyn Management Journal, Vol. 1, Issue 2, 2007, July.
  • Mukherjee, P., “Firm Size and Volatility: Evidence from the Indian Equity Market”, ICFAI Reader.  Hyderabad:  ICFAI University Press, 2006, October.
  • Mukherjee, P., “Ranking Indian Banks by Performance Indices”, Effective Executive, Special Issue, June 2004, Hyderabad:  The ICFAI University Press, 2004, pp. 20-29.http://bnb.data.bl.uk/doc/resource/016334461

Conferences

  • “Price Behaviour around Share Buyback in the Indian Equity Market”, presented in Borsa Istanbul Finance and Economics Conference (BIFEC) 2013 on Policy Issues and Challenges in the Global Financial System and Economies held on September 30 – October 1, 2013 at Borsa Istanbul, Turkey
  • “What Drives the Stock Market Return in India? An Exploration with Dynamic Factor Model”, presented in the Asian Meeting of the Econometric Society held at Delhi School of Economics, Delhi, December 20 – 22, 2012.
  • Mukherjee, P., “Dynamic Factor Models for the Indian Stock Market”. Paper presented at a seminar at Faculty of Business & Economics at Katholik University, Leuven, Belgium, May 23, 2011
  • “An Exploration on Volatility Across India and Some Developed and Emerging Equity Markets”. Paper presented at XIth Doctoral Meeting in International Economics & Finance at University of Nice-Sophia Antipolis, Nice, France, May 26 – 27, 2011.
  • “An Exploration on Volatility across India and some Developed and Emerging Equity Markets”. Paper presented at International Finance Conference 2011, Indian Institute of Management Calcutta, Kolkata, January 10 – 12, 2011.
  • “FII Flows to Developing Countries: Some Issues”. Paper presented at UGC Sponsored State Level Seminar on Globalization and Changing Structure of Capital Market in India: Efficiency vs. Vulnerability, Surendranath College for Women, Kolkata, March 30, 2010.
  • “Volatility across India and some Developed and Emerging Equity Markets: An Exploration”. Paper presented at Conference on Empirical Issues in International Trade and Finance at Indian Institute of Foreign Trade, Kolkata, December, 23 – 24, 2008.
  • Presented “A Dynamic Factor Model for the Indian Equity Market”. Paper presented at International Conference on Globalization, FDI and Development, Kalyani University, West Bengal, January 29-30, 2008.
  • “Are Mutual Funds Really Driving the Indian Equity Market: An Exploration”. Paper presented at One Day Workshop for Research Scholars and Ph.D. Students, Jadavpur University, Kolkata, November, 2006.
  • “A Study of Inter-linkages between the Indian Stock Market and Some other Emerging and Developed Markets”. Paper presented at 9th Capital Markets Conference 2005, Indian Institute of Capital Markets, Mumbai, December, 2005.
  • “A Study of Inter-linkages between the Indian Stock Market and Some Other Emerging and Developed Markets”. Paper presented at Research Scholars’ Workshop, Jadavpur University, Kolkata, February, 2005.
  • “Does NPA matter: Evidences from Indian Public Sector Banks”. Paper presented at 5th Annual Conference on Money and Finance at IGIDR, Mumbai, January−February, 2003.
  • Bose, S. and Coondoo, D.,“Foreign Institutional Investment in the Indian Equity Market: An Analysis of Daily Flows during January 1999 — May 2002”. Paper presented at Workshop on Financial Economics, Jadavpur University, October, 2002.
  • Mukherjee, P., Bose, S., “Constant Maturity Yield Curve Estimation for India”. Paper presented at 4th Annual Conference on Money and Finance at IGIDR, Mumbai, December, 2001.
  • Dr. Paramita Mukherjee contributed to the International edition of Macroeconomics by Hubbard R. Glenn, Anthony Patrick O’Brien and Matthew Rafferty published by Pearson Education, England. This edition is meant for sale in Europe and other parts of the world, viz. Amsterdam, London, Paris, Hong Kong, Sydney, Mexico City, Singapore, Tokyo etc. This edition is different from the earlier edition in many ways. With the changing economic scenario, more emphasis has been given on the global financial system and also on the theory of economic growth with more international examples from around the world in every chapter. The application of theories is presented through real-life economic phenomena as well as real-time data exercises. This edition will be useful for students outside US and Canada.
  • IMI Kolkata Centre for Financial Market Studies has published its First Working Paper entitled “How Well Are the Indian Banks Managing their NPAs? A Comparative Analysis” authored by Dr. Paramita Mukherjee (Working Paper No. CFMS 13-001). The concern for the size and management of nonperforming assets in the Indian banking sector is not quite dated. But not much has been done to assess the performance of the banks in managing these NPAs. This paper makes an attempt to compare the performance of Indian public and private sector banks with respect to different aspects of NPA management, viz. size, creation, recovery, provision. Based on percentile analysis the banks have been provided a qualitative rating that will enable one to have a clear understanding of the bank’s performance vis-à-vis its peers in this regard in the recent past.
  • The paper entitled “Price Behaviour around Share Buyback in the Indian Equity Market”, jointly authored by Dr. Chanchal Chatterjee and Dr. Paramita Mukherjee, is accepted for publication in Global Business Review. It is forthcoming in September-October, 2015 issue.
    Abstract:Share repurchase is becoming an important corporate practice in India of late. But, there exists a paucity of systematic study regarding the motives, nature and impact of buyback on share prices of respective companies. This paper makes an attempt to examine the effect of share repurchase announcement by Indian companies through open market route during 2008 to 2012 on their share prices around the announcement date. The paper contributes to the literature by analysing the market reaction to share buyback announcement, by applying the market model not used so far in the Indian studies and by undertaking a rigorous analysis of share repurchase. Though share repurchase has not come up yet as a regular or useful practice by Indian companies like those in US or Canada, our analysis does throw some light on the issue with interesting findings. First, unlike the US market, the trend in average additional return does not support any motive like undervaluation or maximizing shareholders’ value. Second, the cumulative abnormal returns also do not reveal any increase in share price of the company after the repurchase announcement. Third, the sample shows that more of small and unknown companies go for share buybacks compared to known or large companies. Fourth, most importantly, the average abnormal returns are not statistically different from zero in most of the cases both in pre and post announcement period, implying that this corporate activity does not carry much information to the investors, possibly because of the ownership structure of Indian companies being majority owned or otherwise controlled by promoters. The lesson for the company is that it cannot revive the share prices through repurchase announcements in India. The implication for the regulator might be to check the real motives of such buybacks in India and accordingly formulate policies.
  • Mukherjee, P., “An Exploration on Volatility across India and Some Developed and Emerging Equity Markets”, Asia-Pacific Development Journal, Vol. 18, No. 2, pp. 79 – 103. Bangkok, Thailand: United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), 2011, December.
    Abstract:The opening up of financial markets in India has led to significant transformation within the financial sector, which has become more integrated with international stock markets. The general concern which is emerging with such development is the increased volatility of equity returns. This paper explores the relationship between volatility within not only the Indian equity market but also within other developed and emerging markets as well. Based on a daily data set for more than nine years, this paper estimates a joint Vector Auto Regression/Multivariate Generalized Autoregressive Conditional Heteroskedasticity (VARMGARCH) model. As the existing literature suggests, returns in the United States of America, the Republic of Korea and Hong Kong, China have a definite effect on returns in India. More interesting is the finding that Indian market returns also affect the returns in other markets such as Japan, the Republic of Korea, Singapore and Hong Kong, China. In addition, return volatility of the Indian market does not have an increasing or declining trend, but exhibits sudden sharp increases over the sample period. The conditional correlation of the Indian equity market return with all the other markets has increased over time in recent years.
  • Mukherjee, P. & Roy, Malabika, “The Nature and Determinants of Investments by Institutional Investors in the Indian Stock Market”, Journal of Emerging Market Finance, Vol. 10, No.3. New Delhi: Sage Publications, 2011, December, pp. 253 – 83.
    Abstract: In India, the recent unprecedented rise in the capital market index is attributed to institutional investors like foreign institutional investors (FIIs) and domestic mutual funds. The nature of investments by FIIs has been examined in the literature, but that of mutual funds remains unexplored. This article tries to identify the possible determinants of the investment decision of mutual funds and compares the nature and determinants of their investment decisions to that of the FIIs. One of the most interesting findings is that mutual funds influence the decision of FIIs when they invest in equity and FIIs do exactly opposite to what mutual funds do. However, they both track international interest rates. Another remarkable finding suggests that mutual funds are more cautious when they invest in debt compared to equity. They look at so many factors in case of debt investment, but do not even look at the market return when they invest in equity.