Page 50 - IILMGSM Journal_Management Perspective

Panel D: Sub Period 2005-2008

CM CP CD MIBOR TBILL PLR DR NIFTY ER

Mean 0.5437 0.7272 0.6584 0.6404 0.5541 0.5972 0.5756 3627.89 43.565

Std. Dev. 0.1693 0.1776 0.1473 0.1467 0.0907 0.1155 0.1019 1101.28 2.5069

Skewness 0.7213 0.5768 0.4039 0.5924 0.2922 0.3904 0.3125 0.2689 0.0076

Kurtosis 6.7013 2.6970 2.7122 2.5474 2.3521 2.2639 2.2323 2.21830 2.5072

Observations 48 48 48 48 48 48 48 48 48

The results of correlation analysis are given in Table is seen in the money market, credit market and the
3. A positive and significant correlation is seen Government Securities market (TBILL). This is in
among the variables of the money market namely line with the findings of Bhoi and Dhal (1998) and
CM, CD CP and MIBOR. Co movement of the rates RBI (2007).

Table 3: Cross Correlation Matrix

Panel A: Total Period 1994- 2008

CM CD CP MIBOR TBILL PLR DR NIFTY ER
-.169* -.319**
CM 1 .542** .627** .902** .687** .493** .680** -.234** -.620**
CD -.221** -.632**
CP .542** 1 .929** .925** .815** .828** .924** .096 -.195*
MIBOR -.226** -.589**
TBILL .627** .929** 1 .925** .914** .834** .930** .545** -.314**
PLR .292** -.103
DR .902** .925** .925** 1 .943** .690** .867** 1 .146
NIFTY .146 1
ER .687** .815** .914** .943** 1 .677** .878**

.493** .828** .834** .690** .677** 1 .833**

.680** .924** .930** .867** .878** .833** 1

-.169* -.234** -.221** .096 -.226** .545** .292**

-.319** -.620** -.632** -.195* -.589** -.314** -.103

(49)