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