Volatility Persistence And Asymmetric Effect In Indian Stock Market

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Volatility Persistence and Asymmetric Effect in Indian Stock Market

Author : Dr. Arpit Sidhu
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Volatility Persistence and Asymmetric Effect in Indian Stock Market by : Dr. Arpit Sidhu

Download or read book Volatility Persistence and Asymmetric Effect in Indian Stock Market written by Dr. Arpit Sidhu and published by . This book was released on 2020 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study analyses the attributes of randomness in Indian securities exchange. Unpredictability in the NSE and its underlying indices show highlights of mean reversion and a reasonable level of volatility perseverance, evaluations of which give a thought of the effect and length of a specific information stun to the market. The profits unpredictability is found to show huge leverage impact and uneven reaction. The present study revolves around the idea of volatility in stock market of India, to look at the amount of volatility persistence in the National stock exchange (NSE), and to inspect the presence of leverage impact in the NSE. The daily closing prices data of selected NSE indices from 1 April, 1995 to 31, December, 2018 are collected to examine the extentof asymmetric effect in Indian stock market. Through the present investigation we came to realize that CNX IT is increasingly unstable and furthermore shows abnormal conduct as it is progressively influenced by positive news though CNX 200 shows most elevated leverage effect and asymmetric reaction, additionally CNX SERVICE which is a record with high instability perseverance, and among all indices CNX FMCG shows least volatility persistence. Results will be helpful to market participants and all other stakeholders for future investments and further research on volatility can be extended to other segments (derivatives, swaps and other macroeconomic variables) using quintile regression and other advanced GARCH family models.

Volatility Persistence and Asymmetric Effect in NSE Spot-Futures Markets in India

Author : Dr. Arpit Sidhu
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Volatility Persistence and Asymmetric Effect in NSE Spot-Futures Markets in India by : Dr. Arpit Sidhu

Download or read book Volatility Persistence and Asymmetric Effect in NSE Spot-Futures Markets in India written by Dr. Arpit Sidhu and published by . This book was released on 2020 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present research article examined the asymmetric effect and volatility persistence between equity spot and futures markets in India. Daily closing equity spot and futures prices of 14 stocks (ACC Limited., Ambuja Cement Ltd., Asian Paint Ltd., Bank of Baroda, Larson and Turbo Ltd. (L&T), National Thermal Power Corporation (NTPC) Ltd., Oil and Natural Gas Corporation (ONGC) Ltd., Punjab National Bank (PNB), Ranbaxy Laboratory Ltd, Reliance Industries Ltd., State Bank of India (SBI), Tata Consultancy Services (TCS) Ltd., Tata Power Corporation Ltd. and Wipro Ltd.) from June 12, 2000 to 31 March, 2016 were used. Both volatility persistence as well as volatility feedback effect was examined by the use of Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) and Exponential-GARCH (E-GARCH) models. Present investigation help to realize that volatility in NSE Spot and Futures are approximate same and some stocks (Ambuja, L&T, Ranbaxy and Reliance) also shows unusual behaviour as it is more affected by positive news and some stocks (ACC, Asian Paint, Bank of Baroda, NTPC, ONGC, PNB, SBI and TCS) have highest leverage effect and asymmetric response., which identifies the high volatility persistence in stocks. The Results highlights the characteristics of volatility linkages between NSE spot and NSE futures markets, and also establish relevant information for investors, policymakers, researchers and hedgers for future investments and further analysis. It contributes to the market efficiency and leverage effect literature for equity spot-futures markets.

Day-of-the-Week Effects in the Indian Stock Market

Author : Srinivasan Palamalai
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Day-of-the-Week Effects in the Indian Stock Market by : Srinivasan Palamalai

Download or read book Day-of-the-Week Effects in the Indian Stock Market written by Srinivasan Palamalai and published by . This book was released on 2015 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates empirically the day-of-the-week effect on stock returns and volatility of the Indian stock markets. The GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) models were employed to examine the existence of daily anomalies over the period of 1st July, 1997 to 29th June, 2012. The empirical results derived from the GARCH models indicate the existence of day-of-the-week effects on stock returns and volatility of the Indian stock markets. The study reveals positive Monday and Wednesday effects in the NSE-Nifty and BSE-SENSEX market returns. The average return on Monday is significantly higher than the average return of Wednesday in the NSE-Nifty and BSE-SENSEX markets. Besides, the findings confirm the strong support of ARCH and GARCH effects persist in the returns series. Moreover, the asymmetric GARCH models show that the Indian stock market returns exhibit asymmetric (leverage) effect. Most importantly, the empirical results indicate that Tuesday effects have negative impact on volatility after controlling the persistence and asymmetric effects.

Derivatives and Asymmetric Response of Volatility to News in Indian Stock Market

Author : Puja Padhi
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Derivatives and Asymmetric Response of Volatility to News in Indian Stock Market by : Puja Padhi

Download or read book Derivatives and Asymmetric Response of Volatility to News in Indian Stock Market written by Puja Padhi and published by . This book was released on 2008 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this article is to investigate the effect of the introduction of stock index futures on the volatility of the spot equity market and to test the impact of the introduction of the stock index futures contracts, a GARCH model is modified along the lines of GJR-GARCH and EGARCH model, especially to take into account the link between information and volatility. This paper provides the evidence that there is not much change in the volatility pattern after the introduction of futures in the Indian stock market. The impacts of futures trading for the post futures period can be captured by the asymmetric coefficient (gamma), suggest that there is a statistically significant and positive asymmetric effect. Thus the introduction of futures trading has impact on the asymmetric coefficient. It shows the similar pattern for the pre and post futures period. Empirical research can be further expanded by selecting and analyzing high frequency intraday data and the inclusion of additional economic variables in the conditional variance equation.

An Empirical Investigation of Asymmetric Volatility, Trading Volume and Risk-Return Relationship in the Indian Stock Market

Author : Pramod Kumar Naik
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis An Empirical Investigation of Asymmetric Volatility, Trading Volume and Risk-Return Relationship in the Indian Stock Market by : Pramod Kumar Naik

Download or read book An Empirical Investigation of Asymmetric Volatility, Trading Volume and Risk-Return Relationship in the Indian Stock Market written by Pramod Kumar Naik and published by . This book was released on 2013 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering trading volume as a mixing variable, and the risk-return relationship in the Indian stock market. Daily data from January 2, 1997 to May 30, 2013 for S&P CNX Nifty are used for the empirical analysis. First, we employ GARCH, EGARCH and GJR-GARCH models to examine the volatility pattern in the stock market. Second, both contemporaneous and lagged trading volumes are augmented in the volatility model to empirically verify the validity of Mixture of Distribution Hypothesis (MDH) and Sequential Information Arrival Hypothesis (SIAH). The level of volatility persistence also compared. Finally, GARCH in mean extension has been tried to investigate whether the risk-return trade-off exist in the market. The findings show significant volatility asymmetry supporting the leverage effect; provide supports to MDH but the volatility shocks are found to be highly persistent even after incorporating trading volume. The study also finds evidence of no significant relationship between risk and return. The implication of the findings may be applicable to traders, speculator as well as the financial decision makers and practitioners as the trading volume reflects the information about market expectation.

Volatility Clustering in Aggregate Stock Market Returns

Author : Shahid Ahmed
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Volatility Clustering in Aggregate Stock Market Returns by : Shahid Ahmed

Download or read book Volatility Clustering in Aggregate Stock Market Returns written by Shahid Ahmed and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is an attempt to model the volatility of stock returns in Indian market for the period 1997-2006 using GARCH, TARCH and E-GARCH. Results point out that returns exhibit persistence and volatility clustering in both NSE Nifty and BSE Sensex. Asymmetric volatility effect has been observed in both the series using TARCH and E-GARCH model. While forecasting returns it is found that GARCH-M performs better compared to alternative econometric models, namely, RW, OLS, GARCH, GARCH-M, TARCH and E-GARCH models. It is revealed that one-step ahead forecast improves by using GARCH and its variant models, which goes against the concept of random walk hypothesis. Results of this study also indicate that certain anomalies still exist which makes the stock market inefficient. In this context, SEBI is expected to play proactive role in a manner, which makes market capable to value the intrinsic price of assets.

Estimating Volatility Pattern in Stock Markets

Author : Saheli Das
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Estimating Volatility Pattern in Stock Markets by : Saheli Das

Download or read book Estimating Volatility Pattern in Stock Markets written by Saheli Das and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the volatility pattern in Indian stock markets during the time period January 1, 2011 to March 31, 2014 using the daily closing prices of two stock indices, S&P BSE Sensex and CNX Nifty. This paper uses asymmetric GARCH models like Exponential GARCH (EGARCH) and Threshold GARCH (TGARCH to explain the volatility. Considering the minimum values of Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC), TGARCH model is found to be a superior model for return volatility over EGARCH. The findings suggest that there is no volatility persistence as well as leverage effect in the data during the period under consideration.

The Linkages, Persistence, Asymmetry in the Volatility and the Effect of the Us Subprime Mortgage Financial Crisis, on the Spot and the Futures Rate's Returns in the Indian Stock Market

Download The Linkages, Persistence, Asymmetry in the Volatility and the Effect of the Us Subprime Mortgage Financial Crisis, on the Spot and the Futures Rate's Returns in the Indian Stock Market PDF Online Free

Author : Muthucattu Paul
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Linkages, Persistence, Asymmetry in the Volatility and the Effect of the Us Subprime Mortgage Financial Crisis, on the Spot and the Futures Rate's Returns in the Indian Stock Market by : Muthucattu Paul

Download or read book The Linkages, Persistence, Asymmetry in the Volatility and the Effect of the Us Subprime Mortgage Financial Crisis, on the Spot and the Futures Rate's Returns in the Indian Stock Market written by Muthucattu Paul and published by . This book was released on 2014 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the effects of persistence, asymmetry, and the US Sub-prime Mortgage crisis on the volatility of the returns and also the linkages and causality between the spot and futures volatility by using various classes of the ARCH and GARCH models, and through the Granger's causality. We have used two indices: one for spot and the other for futures, for the daily data from, June 12th 2000 to September 30th 2013 from Nifty stock market of India. The descriptive statistics of the 'return data' calculated from log first differences, shows that the returns are not following the normal distributions. The magnitude of the volatility in returns of the spot and the futures market are similar, and therefore there is no evidence that the futures market volatility is higher. We have then tested for ARCH effects, and subsequently employed various models of the ARCH and GARCH conditional volatility. The ARCH effect is significant in both spot and futures market returns volatility. The GARCH (1,1) model is found to be significant, and therefore, in contrast to an ARCH model, GARCH (1,1) model implies that the returns are not autocorrelated, have 'short memory,' and depend on the constant mean only, similar in a way, to the CAPM'S expected return concept. It supports the hypothesis of the efficiency of the markets. The negative 'news' has more significant effect on volatility, corroborating the 'leverage impact' in finance on market volatility. We have also tested the volatility spillover effects from spot return variance to future return variance, through adding explanatory variables to the variance equations. We have also, after knowing the stationarity properties of the 'return series' employed the Granger causality to know the linkages between spot and futures return volatility. Both methods support the spillover effects. There is bidirectional Granger's causality between futures and spot return volatility. We also have used the dummy variable for the US Sub-prime mortgage financial crisis to know the effect on the volatility of the stock returns in Indian market and found that they are statistically significant. Indian stock market is thus integrated to the world stock markets and the news effects from outside, especially that of the US.

Stock Market Volatility

Author : Sartaj Hussain
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Stock Market Volatility by : Sartaj Hussain

Download or read book Stock Market Volatility written by Sartaj Hussain and published by . This book was released on 2019 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study aims to gain insights on various issues that surround stock market volatility. For this purpose, more than forty empirical studies have been examined to critically assess issues like, heteroscedasticity, asymmetric effect, risk-return framework, spillovers and forecasting accuracy. With the help of time-series plots, the study demonstrates in layman terms how mean-reversion, clustering and heteroscedasticty exhibits in stock market volatility. This study finds GARCH variants to have a wider applicability in the modelling of volatility persistence despite fearing poorly in evaluation against naive methods like realised volatility, EWMA. The asymmetric effect doesn't seem to be as strong at firm level as it appears at the broad market index level. Evidence of statistically weak relation between conditional volatility and expected returns raises questions about accuracy of the volatility measures plugged for testing the relation. In case of spillover effects, immunity/propensity of a market to face/generate systemic shocks from/to other markets is likely to be determined by level of market development. On the whole, empirical findings lack a general consensus on the volatility properties. This may be due to sensitivity of different findings to the models and frequency and time length of sample data used by the study.

Stock Market Volatility

Author : Greg N. Gregoriou
Publisher : CRC Press
ISBN 13 : 1420099558
Total Pages : 654 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Stock Market Volatility by : Greg N. Gregoriou

Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel

STOCK MARKET VOLATILITY IN INDIA A Study with reference to Equities

Author : Dr. A. Latha
Publisher : Archers & Elevators Publishing House
ISBN 13 : 9394958177
Total Pages : 287 pages
Book Rating : 4.3/5 (949 download)

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Book Synopsis STOCK MARKET VOLATILITY IN INDIA A Study with reference to Equities by : Dr. A. Latha

Download or read book STOCK MARKET VOLATILITY IN INDIA A Study with reference to Equities written by Dr. A. Latha and published by Archers & Elevators Publishing House. This book was released on with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Long Memory in the Volatility of Indian Financial Market: An Empirical Analysis Based on Indian Data

Author : Dilip Kumar
Publisher : diplom.de
ISBN 13 : 3954897458
Total Pages : 99 pages
Book Rating : 4.9/5 (548 download)

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Book Synopsis Long Memory in the Volatility of Indian Financial Market: An Empirical Analysis Based on Indian Data by : Dilip Kumar

Download or read book Long Memory in the Volatility of Indian Financial Market: An Empirical Analysis Based on Indian Data written by Dilip Kumar and published by diplom.de. This book was released on 2014-04-01 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the long memory characteristics in the volatility of the Indian stock market, the Indian exchange rates and the Indian banking sector. This book also reviews the chain of approaches to estimate the long memory parameter. The long memory characteristics of the financial time series are widely studied and have implications for various economics and finance theories. The most important financial implication is related to the violation of the weak-form of market efficiency which encourages the traders, investors and portfolio managers to develop models for making predictions and to construct and implement speculative trading and investment strategies. In an efficient market, the price of an asset should follow a random walk process in which the price change is unaffected by ist lagged price changes and has no memory.

Emerging Market Finance

Author : Bang Nam Jeon
Publisher : Emerald Group Publishing
ISBN 13 : 1839820608
Total Pages : 227 pages
Book Rating : 4.8/5 (398 download)

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Book Synopsis Emerging Market Finance by : Bang Nam Jeon

Download or read book Emerging Market Finance written by Bang Nam Jeon and published by Emerald Group Publishing. This book was released on 2020-09-28 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited volume of International Finance Review examines the rising challenges facing emerging financial markets and institutions. It provides significant insight and policy implications on topics including global banking, risk and contagion, stock market behaviour, financial inclusion in the major emerging economies, and more.

A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India

Author : Dr GangineniDhanaiah
Publisher : Archers & Elevators Publishing House
ISBN 13 : 9386501899
Total Pages : pages
Book Rating : 4.3/5 (865 download)

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Book Synopsis A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India by : Dr GangineniDhanaiah

Download or read book A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India written by Dr GangineniDhanaiah and published by Archers & Elevators Publishing House. This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Returns & Volatility of Sectoral Indices of Nifty

Author : Dr. T. Peddanna
Publisher : Readworthy
ISBN 13 : 9388121392
Total Pages : 154 pages
Book Rating : 4.3/5 (881 download)

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Book Synopsis Returns & Volatility of Sectoral Indices of Nifty by : Dr. T. Peddanna

Download or read book Returns & Volatility of Sectoral Indices of Nifty written by Dr. T. Peddanna and published by Readworthy. This book was released on with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Generally, the fund managers prefer to include Nifty-listed securities in their portfolio, because they are the leading stocks of the nation, using these companies constructed 11 sectors of stock indices. On the whole, the analysis of 12-year data starting from April 2002 to March 2014 established two phases of sectoral indices of Nifty; they are pre and post-recession periods in the light of sub-prime financial crisis that cropped up across the globe during 2008-09. As this study revealed sector-wise return exposure under different economic conditions, it helps investors to diversify their funds to various sectors which give average return to their portfolios and at lower risk element. However, this study is helped in understanding the risk-return relationship between different sectors of Nifty, as well as ARCH and GARCH models to estimate the volatility in the near future in great detail. The direction of the Nifty index is mainly determined by a few sectors in the long run like Bank, Pharma and Capital Goods indices. Finally, this study is enabled the investors to understand the risk and returns of sectoral indices of Nifty to make effective portfolio decisions under different economic conditions to sustain the portfolio with the same objectives till its tenure. This book is useful for Portfolio Managers, Fund Managers, Investment Managers and Policy makers, Academicians, Research scholars; Post graduate students and other commerce and Management students those working on Returns and volatility of stock market indices and securities."

Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy

Author : Rachid Benlamri
Publisher : Springer
ISBN 13 : 3319434349
Total Pages : 790 pages
Book Rating : 4.3/5 (194 download)

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Book Synopsis Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy by : Rachid Benlamri

Download or read book Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy written by Rachid Benlamri and published by Springer. This book was released on 2016-12-01 with total page 790 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume aims to outline the fundamental principles behind leadership, innovation and entrepreneurship and show how the interrelations between them promote business and trade practices in the global economy. Derived from the 2016 International Conference on Leadership, Innovation, and Entrepreneurship (ICLIE), this volume showcases original papers presenting current research, discoveries and innovations across disciplines such as business, social sciences, engineering, health sciences and medicine. The pace of globalization is increasing at a rapid rate and is primarily driven by increasing volume of trade, accelerating pace of competition among nations, freer flows of capital and increased level of cooperation among trading partners. Leadership, innovation, and entrepreneurship are key driving forces in enhancing this phenomenon and are among the major catalysts for contemporary businesses trading in the global economy. This conference and the enclosed papers provides a platform in which to disseminate and exchange ideas to promote a better understanding of current issues and solutions to challenges in the globalized economy in relation to the fields of entrepreneurship, business and economics, technology management, and Islamic finance and management. Thus, the theories, research, innovations, methods and practices presented in this book will be of use to researchers, practitioners, student and policy makers across the globe.

The Foreign Exchange Market

Author : Richard T. Baillie
Publisher : Cambridge University Press
ISBN 13 : 9780521396905
Total Pages : 280 pages
Book Rating : 4.3/5 (969 download)

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Book Synopsis The Foreign Exchange Market by : Richard T. Baillie

Download or read book The Foreign Exchange Market written by Richard T. Baillie and published by Cambridge University Press. This book was released on 1989 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.