ABOUT US

ABOUT Prof. M. THENMOZHI

Prof. Thenmozhi is one of the well-known Teachers in the area of Finance. Her research in the past 25 years speaks volume for herself. She is also a National Award Winner for drafting the Best Manufacturing Policy for the year 2003 and she was honored by the then Prime Minister A.B.Vajpayee. She mentors start-ups to help students realize their dreams in the field of Entrepreneurship.

Currently she is a Professor in Finance, in the Department of Management Studies, IIT Madras. Her specialization includes Corporate Finance and Strategy, Financial Markets and Institutions, Market Microstructure, Computational Finance, Forecasting and Time Series Modeling, Stock and Commodity Derivatives.

Corporate Finance and Strategy, Financial Markets and Institutions,Market Microstructure,Computational Finance, Forecasting and Time Series Modeling, Stock and Commodity Derivatives
Year Degree University Specialisation
1988 Ph.D. University of Madras Finance
1984 M.Phil. University of Madras Finance
1983 M.Com. University of Madras Cost Accounting, Taxation
1981 B.Com. University of Madras Corporate Accounting, Taxation
1978 P.U.C University of Madras Commerce

Strong quantitative and analytical modeling skills

Excellent course development and delivery skills

Excellent Communication Skills – written and spoken

Strong Organisational Skills, Enthusiastic Team Player

Quick Learner and can adapt to new situations easily

  • Teaching B.Tech, M.B.A. M.S & Ph.D. students
  • Research Guidance
  • Curriculum development
  • Organise Faculty development, executive development, entrepreneurship development programmes
  • Organising seminars & Conferences
  • Networking with industries
  • Inhouse consultancy and special lectures for firms
  • Collaborative projects with industry
  • Online teaching material preparation
  • Referee for conference papers, journal papers in India and abroad
  • Examiner for evaluating M.S & Ph. D thesis in India and abroad
  • Audit curriculum of MBA institutes, member of Board of academic studies for B.Com, M.Com, B.B.A, M.B.A.

Core Courses:

  • Financial Accounting
  • Financial Analysis and Applications
  • Finance and Accounting for Engineers
  • Cost Accounting
  • Financial Management
  • Working Capital Management
  • Strategic Management

Elective Courses:

  • Financial Institutions and Markets
  • Treasury Management
  • Computational Finance
  • Fixed Income Securities: Trading and Strategy
  • Derivatives and Risk management
  • Investment Management
  • Financial Services
  • International Finance

Research Level Courses:

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  • Empirical Research in Finance-I
  • Empirical Research in Finance-II
  • Financial Modeling and Analysis
  • Corporate Governance, Internal control and Risk management
  • Dynamics of Family Businesses
  • Financial Institutions and Management
  • IT Strategy in Financial Institutions
CEO Measege

Award for Best Manufacturing Policy Draft from Shri.A.B.Vajpayee

Dr.M.Thenmozhi

ABOUT Prof. M. THENMOZHI RESEARCH GROUP

The Research Team focuses on addressing the current issues with the most efficient and reliable methodologies. The Team has inculcated a process of continuous improvement in learning & adapting new methodologies. A few areas of research are shared below.


POLICY IMPLICATION BASED RESEARCH

We developed one of the Best Manufacturing Policy Draft for India and received an award from the former Prime Minister Shri. Atal Bihari Vajpayee (2003), National Manufacturing Sector Policy Competition organized by the Federation of Indian Chambers of Commerce and Industry(FICCI) and We Think for India(WTI) Forum, Delhi.

We developed and validated scales to

  • measure health care service provider, community health worker, health insurer and hospital service quality under Community Based Health Insurance Schemes from beneficiaries perspective.
  • measure perceived organizational support, organizational citizenship behavior and work experience impact on job performance among medical personnel in primary health centres(PHCs) in Tamilnadu.
  • measure information quality, service quality, systems quality and infrastructure quality of IT investment in banking sector from users perspective.

We prove through an experiment that Clause 49(2005) of SEBI has an impact on firm governance and provide evidence on the impact of SEBI regulations.

Currently we are

  • developing a corporate social responsibility(CSR) index which will serve as a measure of performance for government and private firms
  • evaluating policy adoption and sustainability of pension schemes
  • exploring factors that drive aggregate US corporate and non-corporate liquidity in long run
  • developing a Financial Stress Index for India, particularly focusing on Banking stability index

IMPROVING CORPORATE PERFORMANCE

We developed a framework to identify when Indian firms prefer to choose Non-traditional Debt Financing(2005), developed an entropy measure to capture extent of diversification of Indian firms and examine the impact of Ownership Structure, Industry Structure and Firm Size on a firm's Diversification - Performance relationship for a fifteen-year period (2009), examine if rule of law/ country level corporate governance/corruption index - what matters for effective performance of acquisitions involving emerging markets, particularly for ADTE( Acquirer Developed Target Emerging) and AETD (Acquirer Emerging Target Developed) acquisitions(2013). We look at why Indian firms are holding huge liquid cash and explore if diversification, promoter ownership and Board composition impacts cash holdings and value creation.

Currently, we are exploring how family firms succeed in internationalization and explore if economic freedom impacts post acquisition performance.

FINANCIAL AND TIME SERIES MODELING

We experiment and prove that ARIMA-EGARCH models are superior to ARIMA models to predict short term interest rates in India and test for Fishers' hypothesis, Expectation theory and develop a structural model for short term interest rates(2006.

We experiment with real data sets to prove that artificial neural network(ANN) models are superior to traditional time series model in forecasting exchange rate(2003) stock returns(2006), interest rates(2007). We experiment with various algorithms of ANN and develop hybrid ARIMA-ANN forecast models (2007). We empirically prove that Support vector Machines (SVM) outperform ANN, Random Forest Regression and ARIMA in financial forecasting (2009). Hybrid ARIMA-EGARCH-SVM model outperforms ARIMA-EGARCH-ANN and SVM model(2014).

We experiment and develop hybrid models to forecast financial time series and validate its use for stock market trading with real time data sets across global financial markets suitable for algorithmic trading. Hybrid Support vector machines based models outperform Hybrid Artificial neural network based models in forecasting stock returns and robust for different input variables (Technical indicators, auto-regressive lags and global stock market cues), rolling sample, during crisis period and different economic cycles, and evaluated on a range of trading strategies using multiple objectives.

We initially prove that

  • Artificial Neural Networks (ANN) outperform ARIMA, ARIMA-ARCH, and ARIMA-GARCH models
  • Support Vector Machines (SVM) outperform other machine learning techniques such as ANN, Random Forest Regression and traditional models including ARIMA in financial forecasting.
  • Hybrid models are better
    • Hybrid ARIMA-ANN better than independent ARIMA, ANN
    • Hybrid ARIMA-EGARCH-SVM model outperforms ARIMA-EGARCH-ANN and SVM model
    • Hybrid SVM-GA simulated trading Model using global cues suitable for algorithmic trading.

The outcome stimulated a series of model development using ANN and SVM in financial forecasting and we strongly recommend use of customised hybrid models for (algorithmic) trading (including emerging market price transmission in the model), to generate better returns in day trading.

Currently, we explain crude oil dynamics using Markov switching Model and Wavelet theory.

IMPROVING MARKET MICROSTRUCTURE

We empirically prove that volatility in spot market has reduced due to introduction of derivatives - first study on Indian derivatives and most cited. We extend by examining volatility spillover, the relationship among hedging, speculation and arbitrage in futures and spot market and the presence of expiration day/ week effect in stock market(2005). We extend this to gold, silver and crude oil market (2008-9).

We further look at why wheat, maize and barley prices are increasing greater than inflation and link it to commodity and oil futures market(2014-5).

We establish linkage of FII flows, mutual funds and stock returns, how stock price reacts to liquidity and volatility changes around bonus and rights issue announcements ( 2009).

We model the asymmetric relationship between the India Volatility Index (India VIX) and stock market returns, and set the ground for introduction of the derivatives based on India VIX (2014).

We explored illiquidity and speculation in currency options market, linked Investor sentiment to volatility and stock returns co-movement.

We explore what drives fund flows to Exchange traded funds(ETFs) vs. Mutual funds in India, drivers of performance of global gold ETFs and impact of India Country ETFs on India stock index movement.

A Researcher and Teacher in the Area of Finance for more than 25 years.

A National Award winner - 2003

ACCOLADES

AWARDS AND ACHIEVEMENTS

 Emerald/EFMD Outstanding Doctoral Research Award for the year 2013 in the Management and Governance category awarded to my doctoral student - P.C. Narayan's research on "Cross-Border Acquisitions Involving Emerging Market Firms: A Study on the Impact of Country and Deal Characteristics on Value Creation - Read More

 U.S. Fulbright-Nehru Visiting Lecturer Fellowship 2010-11

 Erasmus Mundus Scholarship 2009-2010, European Union

 Endeavour Executive Award (Fellowship) , 2007 , Department of Education, Science and Training, Government of Australia

 National Award for developing the Best Manufacturing Policy Draft for India from the former Prime Minister Shri. Atal Bihari Vajpayee (2003), National Manufacturing Sector Policy Competition organized by the Federation of Indian Chambers of Commerce and Industry(FICCI) and We Think for India(WTI) Forum, Delhi. Our team was identified as 'equal among the top three drafts' out of 167 drafts received.

 Research paper “Forecasting Short Term Interest Rates Using ARMA, ARMA-GARCH and ARMA-EGARCH Models”, was listed on SSRN's Top Ten download list for Institutional & Transition Economics eJournals. As of 12/30/2010, the paper has been downloaded 1,717 times. - Read More

 One among the top 15 for the "Award for Excellence in Research in Securities Market" (April 2005), Securities and Exchange Board of India (SEBI)

 Best Innovation in Teaching Award - 2000, Association of Indian Management Schools, Annual Convention, IIM, Bangalore

 Best Research Paper Award 1996, Association of Indian Management Schools, Annual Convention - Best Research Paper Competition for Young Faculty Members

 Best Case Award - 1997, Association of Indian Management Schools, Annual Convention, Case Writing Competition for Young Faculty Members.

BEST RESEARCH PAPER AWARDS

 Narend.S and Thenmozhi.M (2016), "Gold Exchange Traded Funds and Price Discovery: Empirical Evidence from Global Gold ETFs", The International Academic of Business and Public Administration Disciplines (IABPAD), 02-05 January 2016 at Orlando, Florida.

 M.S. Student: S. Priya, International Conference on Emerging Financial Markets, PSG Institute of Management, Coimbatore, 2007

 Ph.D student: Manish Kumar, International Conference, COSMAR, Indian Institute of Science, Bangalore, 2005

 M.S. student: S.Radha, Third National Conference on Business Research, PSG College of Technology, Coimbatore,2004

 M.S. student: R. Kishore Kumar, International Conference - COSMAR 2002, Indian Institute of Science, Bangalore, 2002

 International Conference on Accounting in a Changing Perspective, Calcutta, 1997

Publications

Corporate Finance and Strategy

  Thenmozhi, M and Narayanan, P.C (2016) Rule of Law or Country Level Corporate Governance: What Matters More in Emerging Market Acquisitions? Research in International Business and Finance, doi:10.1016/j.ribaf.2016.01.008 , Available online 11 January 2016, ABDC ranking - B - H index 17,SJR - 0.5, Cites per doc - 1.31

  Sumathi, G. N., T. J. Kamalanabhan and Thenmozhi M. (2015), Do healthcare professionals cross the border to serve rural population? ICTACT Journal of Management Studies 1(1), 20-25.

  Harold, L and M.Thenmozhi, "IS/IT Success Factors In Financial Services Sector in India: A Process Model Perspective", Prajnan (Journal of Social and Management Science), XLIV(3), October-December 2015, pp.

  Narayanan, P.C. and Thenmozhi, M. (2014), "Do Cross-border Acquisitions involving Emerging Market Firms Create Value: Impact of Deal Characteristics", Management Decision, 52(8), 1451-73. SJR (SCImago Journal Rank) (2013) : 1.423, IPP (Impact per Publication) (2013) : 5.134, SNIP (Source Normalized Impact per Paper) (2013) : 2.025s

  Krishna Prasanna, M.Thenmozhi and Nimit Rana , Determinants of Non-Performing assets in Indian Banking System , Journal of Bank and Bank System , 9(2), 65-78. C - category

  Sumathi, G. N., T. J. Kamalanabhan and M. Thenmozhi (2014), "Healthcare professionals' perspective of support from public health department: a study in the PHCs of Tamilnadu",(REF: EDIT NO: 92_2013), Indian Journal of Public Health, pp.

  Harold, L. and Thenmozhi, M. (2014), and Banking Success: A Theoretical Model with Empirical Validation, International Journal of Information Quality(IJIQ), Vol. 3, No. 3, pp. 251 - 272. http://www.inderscience.com/offer.php?id=64061

  Harold, L. and Thenmozhi, M. (2014), The Development and Application of Information System Driven Value Creation in Indian Financial Services Sector, International Journal of Business Information Systems (IJBIS), Vol. 17, No. 2, 198 - 220.

  Srinivasan Suresh, Thenmozhi, M., and P. Vijayaraghavan (2012), Stock market reactions to corporate strategic decisions, Knowledge Economy, Vol. 1(2), pp. 5-20.

  Sumathi, G. N., T. J. Kamalanabhan and M. Thenmozhi (2013) Impact of perceived organizational support on job performance among health care professionals. International Journal of Business Innovation and Research, Vol. 7, No. 3, 379-391.

  Sumathi, G. N., T. J. Kamalanabhan and M. Thenmozhi (2013) "Impact of Work Experiences on Perceived Organizational Support: A Study among Healthcare Professionals", AI & Society: Journal of Knowledge, Culture and Communication(Springer) ISSN No.0951-5666, DOI 10.1007/s00146-013-0509-4,

  Thenmozhi, M. and Preeti, S.K.(2006), Determinants of Non-Traditional Debt Financing Choices, KUTPM Journal of Technology and Management (Malaysia), June 2006, Vol.4(2), pp.22-46.

  Srinivasan Suresh, Thenmozhi, M., and P. Vijayaraghavan (2006), Impact of diversification Strategy on Firm Performance: Entropy Approach, ICFAI Journal of Applied Finance, Vol.12, No.11, Nov.2006, pp.27-48.

  Sarma, L.V.L.N. , Thenmozhi M. and Preeti S.K. (2002),"The impact of Macro Finance Variables on Non-traditional Debt Financing", ICFAI Journal of Applied Finance,Vol.8 No.1 Jan.2002 pp.35-54.

  Karthikeyan, G. and Thenmozhi, M.(2000), TQM practices in travel services - A case study, Journal of Scientific and Industrial Research, Vol.59, No. 8-9, pp. 732-737. SJR (SCImago Journal Rank) (2013) :0.282, IPP (Impact per Publication) (2013) :0.704,SNIP (Source Normalized Impact per Paper) (2013) : 0.82

  Thenmozhi M. (1999),"Economic Value Added as a Measure of Corporate Performance", The Indian Journal of Commerce, Vol.52 No.4 Oct.- Dec. 1999. pp. 72-88.

  Thenmozhi M. (1997), "Debt Securitisaton in India", Udyog Pragati, NITIE Bombay, Oct.- Dec. 1997 pp.41-52.

  Thenmozhi M. (1990),"The Issue of Autonomy of Public Enterprises", Business Spectrum, Vol. I No.2 1989, pp.1-12

Market Microstructure

  Narend, S. and Thenmozhi, M Do Country ETFs Influence Foreign Stock Market Index?: Evidence from India ETFsJournal of Emerging Market Finance 2016, (Accepted) ABDC ranking - B

  Narend, S. and Thenmozhi, M. (2016) What Drives Fund flows to Index ETFs and Mutual Funds?: A Panel analysis of Funds in India, Decision ( Springer Journal).

  Abhijeet Chandra and Thenmozhi, M (2015), On asymmetric relationship of India volatility index (India VIX) with stock market return and risk management, Decision, March 2015, 42(1), 33-55.

  Thenmozhi, M., Sony Thomas and Abhijeet Chandra(2014), Open Interest, Basis, Volume and Spot Volatility during Growth, Crisis and Stable Period: Evidence from Indian Stock Market, Finance India (Forthcoming)

  Kumar, M. and Thenmozhi, M. Trading and Forecasting Performance of Different Hybrid ARIMA - Neural Network Models for Stock Returns, International Journal of Modelling in Operations Management, 4(3), 137-144.

  Nair, S. K and Thenmozhi. M,(2014) "Impact of changes in macroeconomic factors on treasury bond returns: evidence from emerging and developed markets" , Amity Global Business Review, Vol.9, pp.24-37.

  Madhuri Malhotra, Thenmozhi M., Arun G. Kumar (2013), "Factors Influencing Stock Returns Abnormal Returns Around Bonus And Rights Issue Announcement", IUP Journal of Applied Finance (IJAF), 19 (4), 41-60.

  Madhuri Satsangi Malhotra, Thenmozhi M., Arun G. Kumar (2013), Evidence on Changes In Time Varying Volatility Around Bonus and Rights Issue Announcements, International Journal of Emerging Markets, Vol. 8, No. 2.

  Madhuri Malhotra, Thenmozhi M., Arun G. Kumar (2012),"Evidence on changes in Stock Prices and Liquidity around Rights Issue announcement: Industry Specific Analysis. International Journal of Business Insights and Transformation, Vol.5, No.2 . pp.11-28.

  Madhuri Malhotra, Thenmozhi M., Arun G. Kumar (2012),"Liquidity Changes Around Bonus and Rights Issue Announcement: Evidence from Manufacturing and Service Sectors in India", Wealth- International Journal of Money, Banking and Finance, 1(1), Jan-Jun 2012,28-34.

  Nair, S. K and Thenmozhi. M,(2012) "Macroeconomic factors and conditional bond volatility: Evidence from emerging and developed bond markets" , American Journal of Finance and Accounting. Vol. 2, No. 4, pp.326-345.

  Nair, S. K and Thenmozhi. M, (2011) "Adaptive Market Hypothesis: Evidence from Indian Bond Market", International Journal of Arts & Sciences, 4(12), pp. 27-40.

  Thenmozhi, M. and S. Priya (2011), Price Discovery in Gold, Silver and Crude Oil Spot and Futures Markets in Emerging and Developed economies, Journal of Business and Accounting, Vol.23, No.1,pp.166-177.

  Thenmozhi, M. and S. Priya (2008), " Volatility Spillover in Bullion and Energy futures and Spot Markets" , Journal of Emerging Financial Markets, Vol.1, No.1, pp.85-108.

  Thenmozhi, M. , Sony Thomas and R. Balaji (2008), " Expiration Day and week effects of derivatives on Spot Market trading Volume, Price Reversal and Volatility: Evidence from India" Indian Journal of Capital Market, July-September, pp.35-45.

  Thenmozhi M. and M. Sony Thomas (2008), Price discovery and Volatility Spillover in spot and futures market: Evidence from India, Indian Journal of Capital Market, A Journal of Bombay Stock Exchange, Oct.-Dec. 2007, pp.1-29.

  Thenmozhi, M. and Radha S, (2008), "Forecasting interest rates using ARIMA and GARCH models", Indian Journal of Capital Market, Jan-Mar, pp.17-28.

  Thenmozhi, M. and Radha S, (2008) "Dynamic Interactions among stock returns, short term interest rate, spread and expected inflation", International Journal of Indian Culture and Business Management, Vol. 1, No. 3, pp. 296-318.

 Malhotra, M., Thenmozhi, M. & Arun Kumar, G. (2007), "Effect of Bonus Issue Announcement on Stock Returns using Market Model," Journal of International Finance and Economics, Vol. 5 (1), pp.44-58.

 Madhuri Malhotra, Thenmozhi, M. and G. Arun Kumar (2007),"Announcement Effect of Rights Issue on Stock Returns: A study of selected Indian Manufacturing Companies", Journal of Services Research,Vol.7, No.1, April-Sept, pp.215-231.

 Haripriya, R., Thenmozhi, M., & Kumar, G. A. (2006). Impact of Event in Cross-listed Market on the Stock Returns of ADR-listed Companies. Journal of Management Research, 6(1), 35-47.

  Thenmozhi, M. and Radha S (2006), "Short-Term Interest Rates and Macroeconomic Variables: An OLS Model", ICFAI Journal of Applied Finance, Vol.12, No.1, pp.1-16.

  Thenmozhi M. and M. Sony Thomas (2004), "Impact of Index Derivatives on S&P CNX Nifty Volatility: Information Efficiency and Expiration Effects", The ICFAI Journal of Applied Finance, Vol.10, No.9, pp.36-55.

  Thenmozhi M. and R. Kishore Kumar (2003), "Impact of Index Futures Trading on Spot Index Volatility", Management and Accounting Research, Vol.7, No. 1&2 pp. 6-25.

  Thenmozhi M.(2002), "Futures Trading, Information and Spot Price Volatility of NSE-50 Index Futures Contract", NSE News - National Stock Exchange of India, Sept. 2002 pp.8-12, 17.

  Thenmozhi M. and Fareed Jaman (2002),"Competitive Advantage for Players in Mutual Fund Industry: A Study Based on the Perceptions of Mutual Funds" , Management and Accounting Research,April-June 2002 , Vol. 5 No.4. pp. 57-68.

  Thenmozhi M. and R.Shanthi (2002), "Opportunities and Challenges in EDI Applications in Financial Markets", Journal of Services Research,Vol.2 No.1 2002 pp.107-122.

  Thenmozhi, M., Market Value Added and Share Price Behaviour: An Empirical Study of BSE Sensex Companies, Delhi Business Review- An International Journal of Society for Transformation and Research, Vol.1, No.1, Jan 2000, pp.83-92.

  Thenmozhi M. (2002), "Customer Driven Marketing Strategy for Financial Services", Indian Journal of Business Papers,Vol.2-3 No.4-5 2002 pp.38-42.

  Thenmozhi M. (1990), "Valuation of Shares", Business Spectrum, Vol. II, No.4 1990 , pp.30-36.

Forecasting and Financial Modeling

  Thenmozhi, M and Srinivasan, N Capturing co-movement of oil price, exchange rate and stock index of major oil importing countries: a wavelet coherence approach, Journal of Developing Areas, 2016 (Forthcoming) ABDC ranking - B

  Thenmozhi, M. and Chand, Sarath(2015), "Forecasting Stock Returns Based on Information Transmission Across Global Markets using Support Vector Machines", Neural Computing and Applications, Springer Journal, Impact Factor 1.763. is put online on 11.4.2015. see full paper link : Impact factor : 1.763 - seescimago - cites per doc - 3yrs 1.67, H index 28

  Kumar, M. and Thenmozhi,M. (2014), Trading and Forecasting Performance of Different Hybrid ARIMA - Neural Network Models for Stock Returns", International Journal of Modeling in Operations Management, (Inderscience), Vol.4, No.3/4 , pp.137 - 144.

  Kumar, M. and M. Thenmozhi (2013) Forecasting Stock Index Returns using ARIMA-SVM, ARIMA-ANN, and ARIMA-Random Forest Hybrid Models, International Journal of Banking, Accounting and Finance, Vol.5, No.3, 284 - 308.

  Kumar, M. and M. Thenmozhi (2012) Stock Index Return Forecasting and Trading Strategy Using Hybrid ARIMA-Neural Network Model, International Journal of Financial Management, Vol.2(1), 1-14.

  Kumar, M. and M. Thenmozhi (2012) A Hybrid ARIMA-EGARCH and Artificial Neural Network Model in Stock Market Forecasting: Evidence for India and US, International Journal of Business and Emerging Markets, Volume 4, Number 2, 160-178.

  Kumar, M. and Thenmozhi, M. (2009), "Forecasting Stock Index Movement: A Comparison of Support Vector Machines and Random Forest", IIMB Management Review, Vol.21, No.1, pp.41-55.

  Thenmozhi, M. and Manish Kumar (2007), "An Experimental Analysis of Selected Training Algorithms for Artificial Neural Networks in Financial Time Series Prediction", International Journal of Operations and Quantitative Management, Vol. 3 (1), pp. 15-32.

  Thenmozhi, M. and Manish Kumar (2007), "Predictability and Trading Efficiency of S&P CNX Nifty Index Returns Using Support Vector Machines and Random Forest Regression", Journal of Academy of Business and Economics, Vol. 7 (1), pp. 150-164.

  Thenmozhi, M.(2006) Forecasting stock index returns using neural networks, Delhi Business Review X Vol. 7, No. 2, pp.

  Thenmozhi, M. and Radha S (2006),"Forecasting TB Yield Using ARIMA Model", PSGIM Journal of Management, Vol.1, No.1, Jan- Mar. 2006, pp.29-40.

  Manish Kumar, M. Thenmozhi and C Rajendran (2004),"Forecasting Daily Returns of Exchange Rates Using Artificial Neural Network and ARIMA model", The ICFAI Journal of Applied Finance,Vol.10, No.11 pp.16-36.

  Thenmozhi, M. (2001), "Testing Chaos and Nonlinearity in BSE Sensex Time Series", South Asian Journal of Management, Vol.7, No. 3 & 4, pp.12 -24.

E-Publications

  Thenmozhi, M. and Manish Kumar, "Forecasting Index Future Returns Using Neural Network and ARIMA Models", 2005, E-published by ACTA press- A Scientific and Technical Publishing Company, www.actapress.com - Paper No. 437-031, ISBN(CD) 0-88986-417-9.

  Thenmozhi, M. and Sony Thomas, M. "Dynamic Interactions between Speculative Activity and Spot Market Volatility in Indian Stock Market", 2005, E-published by ACTA press- A Scientific and Technical Publishing Company, www.actapress.com - Paper No.437.021, ISBN(CD) 0-88986-417-9.

  Sarma, L.V.L.N., Thenmozhi, M, and S.K. Preeti, "Micro finance Determinants of Non-traditional Debt Financing", 2004, E-published by ACTA press- A Scientific and Technical Publishing Company, www.actapress.com - Paper No. 401-016, ISBN 0-88986-370-9.

Chapters in books

  Harold, L. and Thenmozhi, M. (2007), Banking Technology Balanced Scorecard: A model for evaluating banking technology effectiveness, In "Balanced scorecard: Multi sector perspectives", ICFA books, ICFAI University press, Hyderabad, India, (Edited Volume-ISBN 81-314-0860-4).

  Harold, L. and Thenmozhi, M. (2007, 'Performance Measurement and Management of Technology in Indian Banking: New Approaches', In "Contributions on Banking, Finance, & Technology", (Edited Volume) ,Bank net India, Publication Division, BOMBAY, INDIA

  Thenmozhi, M., "Towards Sustainable Manufacturing Superiority: A Comprehensive Manufacturing Policy Framework for India", in 'India's Manufacturing Sector Policy Framework', Academic Foundation, New Delhi, 2003, pp.195-353.

  Thenmozhi, M. "Knowledge Management in Knowledge Based Industries" in Knowledge Management", Ratnaja Gogula, (ed.), ICFAI Press, Hyderabad, 2002, pp.98-108.

  Thenmozhi, M., "Innovations in Technology Financing in India" in Globalisation, Flexibility and Competitiveness : A Technology Management Perspective, Sushil and Momaya, (eds.), Vikas Publishing house, New Delhi, 2002.

  Thenmozhi, M., "Privatisation and Government Public Enterprise Interface" in Privatisation of Public Enterprises in India (eds.), Subash Garg and Sunil Handa, Arihant Publishers, Jaipur, 1991, pp.81-87.

  Thenmozhi, M., "Computerisation in Small Mines and Mineral Industries", Prospecting for Small Scale Mining, Dept. of Geology, Anna University, 1989, pp.117-134.

  Thenmozhi, M., "Performance Indicators for State Financial Institutions" in Entrepreneurial Development and Development Banking, Srinivasan, N.P. (ed.), Department of Commerce, University of Madras, 1987, pp.69-72.

  Amarchand, D. and Thenmozhi, M., "Statistical Tools for Analysis: An Overview", in Research Methods in Commerce, (ed.) D.Amarchand, Emerald Publishers, Madras, 1987, pp.117-134.

  Thenmozhi, M. Compiled work contained under: "Titles of Research work in Commerce and Management in South Indian Universities", 'Bibliography for Research Methodology' in Research Methods in Commerce, (ed.) D.Amarchand, Emerald Publishers, 1987, pp.280-329.

Working Papers

  Thenmozhi, M. and Abhijeet Chandra, India VIX and Risk Management, National Stock Exchange of India Working paper, August, 2013. NSE Working Paper WP/9/2013.

  Malhotra, M. and Thenmozhi, M. and Arun Kumar, G. (2010), "Factors Influencing Abnormal Returns around Bonus and Rights Issue Announcement". Madras School of Economics working paper series, Working paper No.61.

  Thenmozhi, M. and Manish Kumar, Dynamic Interaction among Mutual Fund Flows, Stock Market Return and Volatility, NSE Research Initiative Paper No.50, National Stock Exchange, Mumbai, March 2009. see - research - working paper no.50

  Thenmozhi, M., Futures Trading, Information and Spot Price Volatility of NSE-50 Index Futures contract, NSE Research Initiative Paper No. 17, National Stock Exchange, Mumbai, Nov. 2002. - Most referred and cited paper on research work related to Indian derivatives. see - research - working paper no.17

Thesis Abstract:

  Harold, L. and Thenmozhi, M. (2015), 'Evaluation of Information System Success in financial services sector: A process based approach', FINANCE INDIA, December 2015, Vol XXIX No 4, pp.

International Conferences

2016

  Narend.S and Thenmozhi.M (2016), "Gold Exchange Traded Funds and Price Discovery: Empirical Evidence from Global Gold ETFs", The International Academic of Business and Public Administration Disciplines (IABPAD), 02-05 January 2016 at Orlando, Florida.

  Thenmozhi.M, Nikhil Varaiya, P.Lakshmi (2016), "Evolution of aggregate cash holdings of US firms", The International Academic of Business and Public Administration Disciplines (IABPAD), 02-05 January 2016 at Orlando, Florida.

  Kayalvizhi.P.N and Thenmozhi.M (2016), "Quality of Innovation Impacts Foreign Direct Investment: A Panel Analysis", The International Academic of Business and Public Administration Disciplines (IABPAD), 02-05 January 2016 at Orlando, Florida.

  Kayalvizhi.P.N and Thenmozhi.M (2016), "Does Quality of Innovation, Culture and Governance Drive FDI? : Evidence from Emerging Markets", Journal of International Financial Markets, Institutions and Money (JIFMIM) Special Issue Symposium on “Cross Country Issues on Credit, Banking, Asset Pricing, and Market Liquidity” , June 23-25, 2016 at Shanxi, China.

  Hemamalini.A and Thenmozhi.M (2016), "Co-movement of banking stress across emerging and advanced economies: A dynamic factor model and wavelet coherence approach", Journal of International Financial Markets, Institutions and Money (JIFMIM) Special Issue Symposium on “Cross Country Issues on Credit, Banking, Asset Pricing, and Market Liquidity" , June 23-25, 2016 at Shanxi, China.

2015

  Thenmozhi, M, Narayanan, P. C. and R. Shyaam Prasadh, Does economic freedom impact post acquisition performance of cross border deals, 2015, Bruel Studies in Economics and Finance Confrencve, London, UK, June1-2.

  Thenmozhi, M and Srinivasan, N, Capturing co-movement of oil price, exchange rate and stock index of major oil importing countries: a wavelet coherence approach, 2015, Asia Pacific Conference on Business and Social Sciences, Kuala Lumpur, Malaysia, November 23 - 24.

2014

  Narend, S and Thenmozhi, M. (2014). Performance and Price Discovery of Gold Exchange Traded Funds. Asian Finance Association - Bali, Indonesia, June 24-27, 2014.

  Narend, S and Thenmozhi, M. (2014). Performance and Price Discovery of Gold Exchange Traded Funds. World Finance & Banking Symposium - Singapore, December 11-12, 2014.

  Maurya, Shipra and Thenmozhi, M. (2014). Is there any Contagion Effect among Crude oil and Staple Food Prices?. 2014 IMRA-KEAN International Conference, Union, United State, May 29-31, 2014.

  Abhijeet Chandra and M. Thenmozhi (2014), Liquidity in Currency Options Market in India", Financial markets and Corporate Governance Conference, QUT, Brisbane, April22-24, 2014. Paper in www.ssrn.com

  Abhijeet Chandra and M. Thenmozhi (2014), "Investor Sentiment and Stock Market Returns", INFINITI 2014 Conference Monash University, Australia Prato Centre, Italy, June 2014. Paper accepted but not presented.

  Abhijeet Chandra and M. Thenmozhi (2014), "Investor Sentiment and Stock Market Returns", 5th Annual Meeting of Academy of Behavioral Finance & Economics (Chicago), Academy of Behavioural Finance and economics, Sept.2013. Paper accepted but not presented.

2013

  Thenmozhi M and Shipra Maurya, Contagion Effect among Crude oil and Food prices in India", International Conference on Business Analytics and Intelligence,Indian Institute of Management Bangalore, Dec, 2013

  Sarath Chand G and M. Thenmozhi (2013), "Do Global stock market cues matter in forecasting stock returns in developed and developing markets?", 22th European Financial Management Association (EFMA) 22nd Annual Meeting, University of Reading, UK, June 26-29, 2013

  S. Mahalakshmi, M. Thenmozhi and Nikhil Varaiya (2013), "Effect of Diversification on Cash Holdings and Firm Value: A Study on Indian Firms", accepted for the presentation at the 2013 Global Finance Conference in Monterey, California, May 20-22, 2013.

  Abhijeet Chandra and M. Thenmozhi (2013), "Liquidity in currency options market in India", accepted for presentation at the 2013 Global Finance Conference in Monterey, California, USA, May 20-22, 2013. Paper accepted but not presented.

2012

  Narayanan, P. C. and Thenmozhi, M. (2012), Cross Border Acquisitions Involving Emerging Market Firms: Do Country Characterstics Matter? Midwest Finance Association Conference. New Orleans: SSRN -1927038.

  Sumathi, G. N., T. J. Kamalanabhan, and M. Thenmozhi (2012). Impact of work experiences on perceived organizational support: A study among healthcare professionals, International Management Research Academy, IMRA International Conference, London, UK, May 17-18. Proceedings in CD.

2011

  Sumathi, G. N., T. J. Kamalanabhan, and M. Thenmozhi (2011). A study on the impact of human resource practices on organizational citizenship behavior among healthcare professionals. Academy of Human Resource Development, 10th International Conference of the Asia Chapter, Kuala Lumpur, Malaysia, December 3-6.

  Sumathi, G. N., T. J. Kamalanabhan, and M. Thenmozhi (2011). Perceived organizational support and job performance among medical personnel: a study in Indian public healthcare sector. 7th International Conference on Business, Management and Economics, Turkey, October, 6-8.

  Sumathi, G. N., T. J. Kamalanabhan, and M. Thenmozhi (2011). Measuring the performance of health care professionals. 15th International Symposium on Health Information Management Research, (ISHIMR 2011) organized by University of Sheffield and University Hospital Zurich and University of St. Gallen, Zurich, Switzerland, September 8-9.

  Elango Janakiraman and M. Thenmozhi (2011) "Effect of Service Quality of Hospitals on Patient satisfaction: A study with specific reference to beneficiaries of Community Based Health Insurance Schemes in India", 15th International Symposium on Health Information Management Research (ISHIMR 2011) organized by University of Sheffield and University Hospital Zurich and University of St. Gallen, Zurich, Switzerland, 8-9th September.

  Kumar, M. and M. Thenmozhi, "Forecasting Stock Index Returns using ARIMA-SVM, ARIMA-ANN, and ARIMA-Random Forest Hybrid Models", Industrial-Academic Workshop on Optimization in Finance and Risk Management, Oct 3-4,2011, Fields Institute, Toronto, Paper accepted for presentation as Invited speaker at the workshop.

  Nair, S. K and Thenmozhi. M, "Adaptive Market Hypothesis: Evidence from Indian Bond Market", presented at the International Journal of Arts and Sciences National Conference for Academic Disciplines, University of Nevada, Las Vegas,March 7-10, 2011.

  Malhotra, M. and Thenmozhi, M. and Arun Kumar, G. (2011), Factors Influencing Abnormal Returns around Bonus and Rights Issue Announcement, International Conference on Interdisciplinary Business and Economics Research, Society of Interdisciplinary Business Research (SIBR), Bangkok, Thailand, June 16-18, 2011. (Paper accepted but not presented)

2010

  Thenmozhi, M. and S. Priya, Price Discovery of Gold, Silver and Crude Oil Spot and Futures Markets in Emerging and Developed economies, ASBBS 17th Annual Conference, Las Vegas, 18-21February 2010. Proceedings in CD.

2009

  Srinivasan Suresh, Thenmozhi, M., and P. Vijayaraghavan (2009), Effect of Ownership Dynamics on Diversification and Performance Relationship during Institutional Transition: The Indian Experience, 2009 Journal of Corporate Finance conference on Corporate Finance and Governance in Emerging Markets , Guanghua School of Management, Peking University in Beijing, 23rd to 25th August, 2009.

2008

  Lawrence Harold, M. Thenmozhi: Information Quality and Banking Success: Evidence from the Indian Banking Industry. International Conference on Information Quality(ICIQ) 2008, MIT. Cambridge, MA. Proceedings, pp. 146-158.

2007

  Thenmozhi, M. and Manish Kumar, A Comparison of Different Hybrid ARIMA - Neural Network Models for Stock Index Return Forecasting and Trading Strategy, 20th Annual Australasian Finance and Banking Conference, Sydney,12-14 December 2007.

  Suresh, S., Thenmozhi, M. and Vijayaraghavan, P. (2007) Effect of Ownership Dynamics on Firm Diversity-Performance Relationship. Proceedings of International Conference on Global Academy of Business and Economic Research, Bangkok, Thailand, Dec 27-29, 2007

  Thenmozhi, M. and Sony Thomas, Price Discovery and Volatility Spillovers in Spot and Futures Markets: Evidence from Indian Market, 20th Annual Australasian Finance and Banking Conference, Sydney,12-14 December 2007. Paper accepted but not presented.

  Malhotra, M., Thenmozhi, M. and Arun Kumar, G., "Effect of Bonus Issue Announcement on Stock Returns using Market Model." International Academy of Business and Economics (IABE- 2007), Annual Conference, Las Vegas, Nevada, USA. October 14-17, 2007.

  Thenmozhi, M. and Manish Kumar,(2007), "Predictability and Trading Efficiency of S&P CNX Nifty Index Returns Using Support Vector Machines and Random Forest Regression", International Academy of Business and Economics (IABE-2007) Annual Conference, Las Vegas, USA October 14-17.

2006

  Thenmozhi, M. and Rakesh Gupta, "Determinants of capital Structure choices in a Liberalised Environment: Evidence from Indian Manufacturing firms", Australasian Business and Behavioural Sciences Association conference, University of Adelaide, Adelaide, Sept.19th to October 1st, 2006. Proceedings in CD.

2005

  Thenmozhi, M. and Sony Thomas, M. "Dynamic Relationship among Spot Market Volatility, Open Interest, Volume and Arbitrage in Stock Futures Market", 2005 International Business and Economic Research Conference, Clute Institute of Academic Research, Las Vegas, October 3- 7, 2005. Paper accepted but not presented.

2004

  Thenmozhi, M. and Manish Kumar, "Static and Dynamic Neural Network in Forecasting Exchange Rate Returns", 17th Australasian Finance and Banking Conference, Sydney 15-17th December, 2005. Paper accepted but not presented.

  Thenmozhi, M. and Manish Kumar, "Forecasting Index Future Returns Using Neural Network and ARIMA Models", Financial Engineering and Applications Conference, MIT, Boston, November 8-10th 2004. Proceedings published in CD.

  Thenmozhi, M. and Sony Thomas, M. "Dynamic Interactions between Speculative Activity and Spot Market Volatility in Indian Stock Market", Financial Engineering and Applications Conference, MIT, Boston, November 8-10th , 2004. Proceedings published in CD.

2003

  Sarma, L.V.L.N., Thenmozhi, M, and S.K. Preeti, "Micro finance Determinants of Non-traditional Debt Financing", International Conference on Financial Engineering and Applications, IASTED, Banff, Canada, Proceedings, pp.24-33, July 2003.

2001

  Thenmozhi, M., "Impact of Regulatory Changes on Strategic Dynamics- An empirical Study of Indian Pharmaceutical Industry", NEBAA International Conference on Regional Markets and Globalisation, Aberdeen Business School, Aberdeen, May 24-25, 2001. Paper accepted but not presented.

1998

  Thenmozhi, M., "Venture capital Financing-strategies for growth", Fifth Academic Conference 1998, South Asian Management forum, Management of Development: Growth with Equity, Thimpu, Bhutan, April 20-22,1998. Proceedings pp. 135-146.

National Conferences

2015

  Shyaam - DoMS Research Symposium, Department of Management Studies, Indian Institute of Technology

  Bansal, S., & Thenmozhi, M. (2015). Does Board Composition matter to Institutional Investors? Accepted for presentation in COSMAR'15, Indian Institute of Science, Bangalore, 24th & 25th November 2015.

2014

  Maurya, Shipra and Thenmozhi, M. (2014). Contagion Effect among Crude Oil and Food Prices in India. DoMS Research Symposium, Department of Management Studies, Indian Institute of Technology, Madras, March 14-15, 2014.

  Narend, S and Thenmozhi, M. (2014). Performance and Price Discovery of Gold Exchange Traded Funds. DoMS Symposium, Indian Institute of Technology, Madras, March 14-15, 2014.

  Srinivasan, N and Thenmozhi, M. (2014). Determinants of WTI oil price: A Markov Regime Switching approach. DoMS Symposium, Indian Institute of Technology, Madras, March 14-15, 2014.

2013

  Narend, S and Thenmozhi, M. (2013). Performance and Price Discovery of Gold Exchange Traded Funds. COSMAR, Indian Institute of Science, Bangalore, November 15-16, 2013.

  Maurya, Shipra and Thenmozhi, M. (2013). Contagion Effect between Crude oil and Food prices in India. International Conference on Business Analytics and Intelligence, Indian Institute of Management, Bangalore, Dec. 11-13, 2013.

  Narayanan, P. C., Thenmozhi, M. and Chamu Sundaramurthy, (2013). Corruption Index and Cross border acquistions: An emerging market perspective, The Academy of International Business India Investor Sentiment, Volatility and Stock Returns Comovements: India Finance Conference 2013, IIM Ahmedabad, Dec. 17-19, 2013

  Abhijeet Chandra and M. Thenmozhi (2013), Investor Sentiment, Volatility and Stock Returns Comovements: India Finance Conference 2013, IIM Ahmedabad, Dec. 17-19, 2013

2012

  Lalita Anand, M. Thenmozhi and Nikhil Varaiya (2012), Corporate Governance and Firm's Cash holdings: Evidence from India, CMC XI Capital Markets Conference, Dec. 2012.

  Abhijeet Chandra and M. Thenmozhi (2012), "Liquidity in currency options market in India", CMC XI Capital Markets Conference, Dec. 2012.

2011

  Lawerence Harold and M. Thenmozhi(2011), Development of a measurement instrument for evaluating information technology investment success in financial services sector", India Finance Conference, 2011, Dec. 21-23.Proceedings in CD.

  Manish Kumar and M. Thenmozhi (2011), "Causal effect of volume on stock returns and conditional volatility in developed and emerging markets", India Finance Conference, 2011, Dec. 21-23.Proceedings in CD.

  Nachiketa Misra and M. Thenmozhi(2011), "Price leadership of stock futures and spot market: A market condition based analysis using intraday data", India Finance Conference, 2011, Dec. 21-23.Proceedings in CD.

  Karthika S. Nair and M. Thenmozhi (2011), "Effect of macroeconomic variables on bond index return and conditional volatility: Evidence from emerging and developed markets", India Finance Conference, 2011, Dec. 21-23.Proceedings in CD.

  Sumathi, G. N., T. J. Kamalanabhan and M. Thenmozhi (2011). Improving PHC performance: the key to meet Millennium Development Goals. X development convention 2011 and doctoral colloquium on Millennium Development Goals: performance, prospects and challenges for South India, Hyderabad, March 3-4.

  Malhotra, M., Thenmozhi, M. and Arun Kumar, G., Evidence of Changes in Time Varying Volatility around Bonus and Rights Issue Announcements, International Conference on Practice and Research in Management 2011, at Dayalbagh Educational Institute (Deemed University), Agra, 18-20 February, 2011.

  Sujay Prasad Srivastava and M.Thenmozhi, A Study of Market Efficiency of Stock Markets in Emerging and Developed Economies, Eighth AIMS International Conference on Management, Management Education in 2020: Issues, Challenges, and Opportunities, Indian Institute of Management, Ahmedabad, January 1-4, 2011, Proceedings in CD.

2007

  Manish Kumar and M. Thenmozhi, (2007), Stock Index Return Forecasting and Trading Strategy Using Hybrid ARIMA-Neural Network Model, International Conference on Emerging Financial Markets, Presented at PSG Institute of Management, Coimbatore, 26-28 December 2007.

  Malhotra, Madhuri and Thenmozhi, M. and ArunKumar, G.(2007), Stock Market Reaction and Liquidity Changes Around Bonus Issue Announcement: Evidence from India (December 19, 2007). 10th Capital Markets Conference, Indian Institute of Capital Markets Paper. Available at SSRN

  Thenmozhi, M and Priya, S, Price Discovery In Commodity Markets: A Study of Indian Gold Market, 1st International Conference on Emerging Financial Markets, Presented at PSG Institute of Management, Coimbatore, 26-28 December 2007.

2006

  Thenmozhi, M. and Manish Kumar, "Support Vector Machine Approach to Predict the S&P CNX NIFTY Index Returns", December 2006, 10th Indian Capital Market Conference, Indian Institute of Capital Market (Formerly known as UTI Institute of Capital Market), Mumbai.

  Thenmozhi, M. and Manish Kumar, "A Comparison Study of Selected Training Algorithms for Neural Networks to Financial Time Series Prediction", August 2006, 7th International Conference on Operations and Quantitative Management, Jaipur.

2005

  Thenmozhi, M. and Manish Kumar, Forecasting Stock Index Movement: "A Comparison of Support vector Machines and Random Forest", Nineth Indian Capital Market Conference, Indian Institute of Capital Markets, Mumbai, December 2005

  Thenmozhi, M., Srinivasan Suresh and P. Vijayaraghavan, "Stock Market Reaction to Corporate Strategic Decisions", Nineth Indian Capital Market Conference, Indian Institute of Capital Markets, Mumbai, December 2005

  Thenmozhi, M. and Radha S, Forecasting Short Term Interest Rates using ARMA, ARMA-GARCH and ARMA-EGARCH models, Nineth Indian Capital Market Conference, Indian Institute of Capital Markets, Mumbai, December 2005

  Thenmozhi, M. and Manish Kumar, "Static and Dynamic Neural Network in Forecasting Exchange Rate Returns", Conference on Finance and accounting, IIM Lucknow, March, 2005. Proceedings in CD.

  Thenmozhi, M. and Manish Kumar, Stock Index return Forecasting and Trading Strategy using Hybrid ARIMA-Neural Network Model, Second Conference on Research on Indian Financial System, ICICI Research, & GIM, Goa, July, 2005. Proceedings, pp. 1-15.One among the 12 papers selected for presentation after double blind review from 110 submissions.

  Thenmozhi, M. and Manish Kumar, "A Comparison of Different Hybrid ARIMA and Neural Network Models for Stock Index Return Forecasting and Trading Strategy", International Conference on Operations and Quantitative Management, IIM Indore, August, 2005. Conference Proceedings in CD.

  Thenmozhi, M., G. Arun Kumar and R. Haripriya, "Impact of Event on the Performance of ADR listed Companies", International Conference on Operations and Quantitative Management, IIM Indore, August, 2005, Conference proceedings in CD.

  Thenmozhi, M. and Sony Thomas, M. "Dynamic Interactions and Causal Relationship among Spot Market Volatility, Open Interest, Volume and Arbitrage: Evidence from Indian Futures Market", International Conference 2005 on Emerging Securities Market: Challenges and Prospects, SEBI and ICFAI, Jan. 2005, Proceedings in CD.

  Lawrence Harold and M. Thenmozhi, "Evaluation of Information Technology Investments - Methods and approaches in Banking Industry," International Conference of Banking and Insurance, Birla Institute of Management Technology, New Delhi & Philadelphia University, USA, 7th-8th January, 2005.

2004

  Thenmozhi, M. and Radha S, "Short-term interest rates and Macroeconomic variables: An OLS model", Second International Conference on Business and Finance, ICFAI, Hyderabad, 26th -27th December 2004. Proceedings, Vol. I, pp.202-218.

  Thenmozhi, M. and Radha S, "Modeling and Forecasting Short-term Interest rates: A Literature Survey", Third National Conference on Business Research, PSG College of Technology, Coimbatore, 19th -20th November 2004. Proceedings, pp. 93-107.

  Thenmozhi, M. and Madhuri Malhotra, "Structure and Operations of Indian Debt Market: Critical Issues for Development", Third National Conference on Business Research, PSG College of Technology, Coimbatore, 19th -20th November 2004. Proceedings, pp.108-120.

  Thenmozhi, M. and Radha S, "Long-run relationship between interest rates and inflation: An Error Correction Model", Eighth Capital Markets Conference, IICM Mumbai, 20th -21st December 2004. Proceedings e-published- www.ssrn.com, A Social Science Research network which is a popular financial research website.

  Thenmozhi, M. and Radha S, "Forecasting TB Yield Using ARIMA Model", First National Conference on Finance and Economics, ICFAI Bangalore, 26th -27th November 2004. Proceedings pp. 38-52.

  Thenmozhi, M. and Sony Thomas, M. "Dynamic Interactions between Hedging Activity and Spot Market Volatility in Indian Stock Market", Research on India's Financial System, NSE, GIM, Goa, July 17-18, 2004. pp. 1-18. One among the 15 papers selected for presentation after double blind review from 226 submissions.

2003

  Thenmozhi M. and M. Sony Thomas (2004), "Impact of Index Derivatives on S&P CNX Nifty Volatility: Information Efficiency and Expiration Effects", International Conference on Business and Finance, ICFAI and Philadelphia University, Hyderabad, December 2003. Proceedings- Vol.III, pp.264-290.

  Manish Kumar, M. Thenmozhi and C Rajendran (2004), "Forecasting Daily Returns of Exchange Rates Using Artificial Neural Network and ARIMA model", International Conference on Business and Finance, ICFAI and Philadelphia University, Hyderabad, December 2003. Proceedings- Vol.I, pp.232-253.

  Sarma,L.V.L.N., Thenmozhi M. Preeti S.K. (2004), "Effect of NonTraditionaDebt on Financial Risk: Evidence from Indian Manufacturing Firms", International Conference on Business and Finance, ICFAI and Philadelphia University, Hyderabad, December 2003. Proceedings- Vol.I, pp.46-70.

  Thenmozhi, M. and Sony Thomas, M. "Expiration Day Effects of Stock Index Derivatives: Evidence from Indian Stock Market", Seventh Annual Capital Markets Conference- 2003, UTI, Mumbai, Dec. 18-19, 2003 Proceedings 1-15.

  Thenmozhi, M. and Rakesh Gupta (M.B.A student), "Determinants of Capital Structure Choices of Indian Manufacturing Firms in the last decade of Liberalisation", Seventh Annual Capital Markets Conference- 2003, UTI, Mumbai, Dec. 18-19, 2003 Proceedings 1-15.

  Thenmozhi, M., C. Rajendran and Manish Kumar, "Neural returns based forecasting of the daily returns of Exchange Rate", Seventh Annual Capital Markets Conference- 2003, UTI, Mumbai, Dec. 18-19, 2003 Proceedings 1-15.

2002

  Thenmozhi, M. and Sony Thomas, M. "Applications of Heteroscedastic Modeling in Finance", National Seminar on Business Research Methods, PSG School of Management, Coimbatore, Nov. 2002, Conference proceedings pp.32-48.

2001

  Thenmozhi, M. and Kishore Kumar, R.,"Predictability of BSE Returns using Neural Networks: An exploratory study", International Conference on Industrial Mathematics, IIT Madras, Aug. 12-14, 2001.

  Thenmozhi, M., "Knowledge Management in Knowledge Based Industries", National Seminar on Management Practices in Knowledge Based Industries, NISIET, Hyderabad, December, 2001. Seminar proceedings pp. 13-22.

  Thenmozhi M. and Kishore Kumar R., "Implications of WTO on the Indian Banking Sector", AIMS Annual Convention: WTO and Competitiveness- Challenges of Indian Business and Management Education, Aug. 25-27, Proceedings, Excel Books, 2001, pp.328-339.

  Thenmozhi, M., "Critical Success National Seminar on Funding Options for Long Gestation Projects Factors for private sector Financing of Road Sector Projects" , NISIET, Hyderabad, July, 27, 2001. Seminar Proceedings pp. 23-29.

2000

  Thenmozhi, M., "Private Sector Financing for Infrastructure projects: Issues and Challenges - with particular reference to Transport Sector", South Asian Management Forum 2000: Opportunities and Challenges for Management Development, Poona, March 23-25, 2000, Conference Proceedings, pp.319-342.

  Thenmozhi, M., "Market Value Added and Share price Behaviour: An Empirical Study of BSE Sensex Companies", International Conference on International Business: Challenges and Perspectives, Delhi, January 8-10, 2000.

  Thenmozhi, M. and Shanthi, R., "EDI Applications in Financial Markets", Second International Conference on Business and Management, Ahmedabad, January 3-6, 2000, Conference Proceedings, McGraw-Hill, New Delhi, pp.196-203.

1999

  Karthikeyan, G. and Thenmozhi, M., "TQM Practices of Service Providers in India: A Case Study", International Workshop on 'Management of Intangibles', National Institute of Science, Technology and Development, New Delhi, December 28-29, 1999

  Thenmozhi, M., "Electronic Commerce and Integrated Supply Chain Management", XXII Annual Convention 1999 - Supply Chain Management , Proceedings, Indian Institute of Materials management, Hyderabad, November, 1999.

  Thenmozhi, M., "Economic value added as a measure of Corporate Performance", 53rd All India Commerce Conference, Aurangabad, October 28-30, 1999.

  Thenmozhi, M., " International trade: Emerging issues", Seminar on " Managing Foreign trade: Directions for the next Millenium" Chennai, 18-19, September, 1999.

  Thenmozhi, M., "Effective Corporate Response to Liberalisation", National Conference on Surviving Success through Liberalisation, Coimbatore, 13-14, March 1999.

1998

  Thenmozhi, M., "Chaos and Non-linear Dynamics: Application to Indian Stock Market", International Conference on Mathematical Modeling of Nonlinear Systems, Dec 9-11,1999, Proceedings Vol. I , pp. 134-148.

  Thenmozhi, M., "Technology Based Teaching Pedagogy", National Seminar on Better World Environment through engineering, education and management, TTTI, Chennai, 18-20, November 1998, Seminar Proceedings, April 2000, pp.209-213.

  Thenmozhi, M., "Information Technology Based Management Learning", in National Seminar on Recent Trends in Information technology and Its Impact on Business Management, Anna University, Chennai, March 25-26, 1998, Seminar Proceedings, March 1998, pp.44-51.

1997

  Thenmozhi, M., "Innovations in Technology Financing", International Conference on Management of Technology, IIT, New Delhi, December 21-24, 1997, Conference Proceedings, pp.504-510.

  Thenmozhi, M., "Critical Issues in Debt Securitisation in India", in the Third International Accounting Conference on Accounting in a Changing Perspective, Calcutta, January 4-5, 1997, Conference Proceedings, pp.157-164.

  Thenmozhi, M., Case titled "Barun Chemicals - The Growth Dilemma", AIMS Annual Management Convention, Poona, August 29-31,1997.

1996

  Thenmozhi, M., "Disinvestment of Public Enterprises - The Pricing Issue" in National Seminar on Issues in Privatisation, Foreign Investment & Disinvestment in Public Sector Undertakings, Velur, November 23-24, 1996.

  Thenmozhi, M.,"Competitive Structural Analysis of Merchant Banking Industry", AIMS Annual Management Convention, Chennai, August 20-21, 1996.

1994

  Thenmozhi, M., "The Changing Debt Market Scenario" in 48th All India Commerce Conference, Kakatiya University, Warangal, December 29-31,1994.

  Thenmozhi, M., "Indian Capital Market - Trends and Challenges Ahead" in National Seminar on Economic Liberalisation and Industry, Utkal University, Bhubaneshwar, March 24-25, 1994.

1992

  Thenmozhi, M., "Privatisation of Public Enterprises - In the Indian Context" in National Research Development Workshop, Bombay, June 22-26, 1992.

1990

  Thenmozhi, M., "Organisational Relationships and Productivity in Public Enterprises" in National Seminar on Employment and Productivity: Through People, Technology and Change, Calicut, December 6-8, 1990, pp.72-76.

1989

  Thenmozhi, M., "The Privatisation Issue in the Government - Public Enterprise Interface" in Seminar on Privatisation of Public Enterprises: Issues and Policies, Pondicherry, March 22-23, 1989.

1988

  Thenmozhi, M., "Organisational Climate, Job Satisfaction" in Seminar on Organisational Climate, Vellore, February 1988.

1987

  Thenmozhi, M., "Performance Indicators for State Financial Institutions", in Seminar on Entrepreneurial Development and Development Banking, Madras, March 1987.

Our Research Team

CURRENT RESEARCH WORK

  Developing a corporate governance index for Indian firms and its impact on FDI flow

  Impact of SEBI Clause 49 of Indian firm governance

  Determinants of Corporate Cash holdings: a study using US federal reserve flow of funds data

  Promoter Ownership and the Cash-Stash Effect in Indian firms

  Impact of Macroeconomic Factors on Cash holdings: A Dynamic Panel Model

  Performance and governance of family owned firms

  Effect of Rule of Law and country governance on Cross-border Mergers and Acquisitions

  Impact on economic freedom on cross border deals

  Macroeconomic factors and FDI flows

  Development of a Financial Stress Index, Banking stability index

  Investor sentiment Index, Trading Behaviour and Volatility

  Performance and Price Discovery of Gold ETFs

  Impact of India Country ETFs on Indian stock index

  Impact of ETFs on Mutual fund flows

  Investor sentiment, volatility and stock returns comovements

  Asymmetric Relationship of IVIX with stock market return

  Interlinkage among crude oil, wheat, maize and barley spot and futures prices

  Drivers of crude oil prices: A Markov switching Model

  Oil prices and macroeconomic indicators of Oil importing countries : A wavelet analysis

  Illiquidity and Speculation in Currency Options: A Tale of Two Markets

  Price leadership and Volatility Spillover during bullish and bearish periods in Spot and Futures Market using intra-day data

  Impact of Futures Trading on Agricultural Commodity Prices in U.S, India and China

Lakshmi P

Sharon Christina Tensingh

Abhijeet Chandra

INTERNATIONAL SEMINAR TALKS


 Delivered a Seminar talk at Department of Business Administration, San Diego State University, San Diego on "Determinants of Corporate Cash Holdings: A Study Using U.S. Federal Reserve Flow of Funds Data" on April 15, 2011

 Delivered a Seminar talk at Department of Accounting and Finance, California State University, Stanislaus on "Dynamic Interaction among Mutual Fund Flows, Stock Market Return and Volatility" on April 29, 2011

 Delivered a Seminar Talk in the School of Economics and Finance, Faculty of Business , QUT, on the topic – Price Discovery and Volatility Spillover in S&P CNX Nifty Futures and Spot Market: Evidence from India on 18th December, 2007.

Dr.M.Thenmozhi

Client

Collaborations

Sponsored Research Projects (SELECTIVE LIST)

  ICAI Accounting Research Foundation (ARF) : Financial Risk Governance structure in India - 2012-13. Co-coordinator: P.Krishna Prasanna

  HUDCO Project : Study and evaluation of nonperforming assets of HUDCO - 2012-13. Co-coordinator: P.Krishna Prasanna.

  India VIX and Risk Management, National Stock Exchange of India, Dec.2012-April, 2013 Co-coordinator: Abhijeet Chandra.

  Research Sabbatical Project- Tata Consultancy Services - Risk Management- Crude Oil and Forward Rate forecasting-2013.

  National stock exchange Research project on Dynamic Interaction among Mutual Fund Flows, Stock Market Return and Volatility, March 2009. Co-investigator - Manish Kumar

  Futures Trading and Spot Price Volatility of Nifty Index Futures, National Stock Exchange, Principal Investigator, 3 months-2002.

Visiting Appointments

  Visiting Fellow, School of Economics and Finance, Faculty of Business, Queensland University of Technology, Brisbane 5.11.2007 to 21.12.2007.

  Visiting Scholar, ETSII School , Universidad Politecnia de Madrid, Madrid - 9.11.2009 to 21.12.2009. - Taught International Masters course jointly - Accounting and Finance for Management

  Fulbright Visiting Professor College of Business Administration, San Diego State University, San Diego, 13.1.2011 to 5.5.2011.

  Visiting Professor, University of Passau, June 10 to 28th, 2010 - Taught a Master's course : Financial Institutions and Markets - 2 credits.

Research Sabbatical

  Industry sabbatical, Cognizant Technology Solutions, 23-27, July 2012.

  Research Sabbatical with Quantitative Finance group, Tata Consultancy services 1.3.2012 to 31.3.2012

Membership

  Member, American Finance Associations

  Member, Madras Management Association

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