In this paper, an attempt has been made to model the volatility of NIFTY index of National Stock Exchange (NSE) and forecast the NIFTY stock returns for short term by using daily data ranging from January, 2000, to December, 2014, which comprises 3736 data points for the analysis by using...

This paper investigates the volatility dynamics of stock market in India by using daily data of the NIFTY index of NSE from Jan 2000 to Dec 2014. The volatility in the Indian stock market exhibits characteristics similar to those found earlier in many of the major developed and emerging stock...

This paper investigates weak form of efficiency in Indian equity market. For this purpose, informational efficiency of National Stock Exchange of Indian's indices i.e. NIFTY, bank NIFTY and IT NIFTY is examined. The NSE indices returns under the study do not confirm to normal distribution. The...

The study investigates the relationships between exchange rate and stock price over the period January 2007 to March 2014. Index National Stock Exchange, namely, NIFTY is used as indicator of stock price. Johansen's co-integration and Granger causality test have been applied to explore the...

The study investigates the relationship between the NIFTY index returns of National Stock Exchange of India with the major Asian stock index returns over the period 2000 to 2014 using Johansen's co-integration test, VECM and Granger causality test. The Johansen's co-integration test suggests...