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Volatility changes in the Indian stock market : trends, steps or cycles?

Broca, Dilbagh S. - In: Artha vijñāna : journal of the Gokhale Institute of … 38 (1996) 3, pp. 318-328

Persistent link: https://www.econbiz.de/10001217816

Stock market volatility and household's consumption : the Indian experience 1975 - 76, 1998 - 99

Taneja, Nawal K.; Sharma, J. C. - In: The Indian journal of economics 82 (2001) 2, pp. 259-291

Persistent link: https://www.econbiz.de/10001675581

Empirical Analysis of the Causality between Indian and U.S. Stock Markets’ Conditional Volatility : Further Evidence

Kumar, Rakesh - 2016

This paper is an attempt to investigate the dynamic relationship between U.S. and Indian stock markets through the conditional volatility of two stock markets, during the 1995-2007 period, using the monthly data of BSE listed BSE 100 and NYSE listed S & P 500 indices. The research methodology...

Persistent link: https://www.econbiz.de/10013002313

An Empirical Model of India's Nifty VIX Index

Slivka, Ronald T. - 2016

volatility clusters in India's implied volatility index (Nifty VIX) daily closing levels for the Nifty VIX were gathered covering … with both clusters and periodic behavior and one with near-white noise. The likely origins of major clusters in India …'s Nifty implied volatility index appeared linked to important global financial events external to India during the study …

Persistent link: https://www.econbiz.de/10013004111

Analysis of Volatility Spill Over between Oil Price and Exchange Rate in India : GARCH Approach

Mishra, Shekhar - 2017

The present paper endeavours to analyse the volatility spill over between crude oil price and exchange rate for India …

Persistent link: https://www.econbiz.de/10012966529

The Empirical Investigation of Relationship between Return, Volume & Volatility in Indian Stock Market

Singh, Gurmeet - 2016

This paper investigates the empirical relationship between return, volume and volatility dynamics of stock market by using data of the NIFTY index of NSE during the period from Jan 2007 to March 2014. The volatility in the Indian stock market exhibits characteristics similar to those found...

Persistent link: https://www.econbiz.de/10012988495

The Dynamic Relationship between Price and Trading Volume : Evidence from Indian Stock Market

Kumar, Brajesh - 2010

This study investigates the nature of relationship between price and trading volume for 50 Indian stocks. Firstly the contemporaneous and asymmetric relation between price and volume are examined. Then we examine the dynamic relation between returns and volume using VAR, Granger causality,...

Persistent link: https://www.econbiz.de/10013149666

An Empirical Analysis of Price Discovery in the NSE Spot and Futures Markets of India

Srinivasan, P. - 2009

The paper examines the causal relationship between Nifty spot index and index futures market in India. The empirical … bidirectional relationship between the Nifty spot and Nifty futures market prices in India. It can, therefore, be concluded that … both the spot and futures markets play the leading role through price discovery process in India and said to be …

Persistent link: https://www.econbiz.de/10013155421

A Study on Empirical Analysis of Price Discovery and Causality between NSE Spot and Future Market in India

Mukthar, Jaheer - 2013

The temporal relation between stock index and Index futures has been and continues to be of interest of regulators, academicians and practitioners alike for a number of reasons such as market efficiency volatility and arbitrage. In perfectly efficient markets profitable arbitrage should not...

Persistent link: https://www.econbiz.de/10013087229

Asymmetric Conditional Volatility Estimation of Stocks in India

N, Natchimuthu; Ashwati; Bhuvana - 2022

This study was aimed at estimating the conditional variance of stock price returns in India using PGARCH model. Ten … contrast to the general expectation. The diagnostic tests after conditional volatility estimation confirms the efficiency of …

Persistent link: https://www.econbiz.de/10014235450