Asymmetric Volatility and Performance of Indian Equity Market- Comparison of SENSEX and S&P CNX Nifty

Ravi Kumar Gupta, Nisha Jindal, Meera Bamba & Anita Gupta. Asymmetric Volatility and Performance of Indian Equity Market- Comparison of SENSEX and S&P CNX Nifty.International Journal of 3600 Management Review, (ISSN: 2320-7132) Vol. 01, Issue 02, pp. 1-12, Oct. 2013

12 Pages Posted: 28 May 2020

See all articles by Ravi Kumar Gupta

Ravi Kumar Gupta

Maharaja Agrasen Institute of Management Studies

Date Written: October 1, 2013

Abstract

Stock market volatility has its existence from the long time but its complete eradication is not possible, the only thing which can be done is just to know its behavior and pattern that how it behaves. The present study is aimed to understand the nature and different patterns of volatility in Indian equity market. The daily observations comprising of closing data of SENSEX of Bombay Stock Exchange and S&P CNX Nifty of National Stock Exchange for the period of 10 years i.e. from January 2003 to December 2012 is used for analysis. The data was collected from the websites www.bseindia.com and www.nseindia.com. The present study is attempted to examine the volatility of returns in Indian stock market. GARCH models were used to see the volatility of Indian equity market. It was found that there was spillover of information in the Indian stock market and with the significant coefficient of dummy in improved model. It was concluded that negative shocks do have greater impact on conditional volatility compared to positive shocks of the same magnitude in the Indian stock market.

Keywords: Asymmetric Volatility, Indian Equity Market, SENSEX, S&P CNX Nifty

JEL Classification: G14

Suggested Citation

Gupta, Ravi Kumar, Asymmetric Volatility and Performance of Indian Equity Market- Comparison of SENSEX and S&P CNX Nifty (October 1, 2013). Ravi Kumar Gupta, Nisha Jindal, Meera Bamba & Anita Gupta. Asymmetric Volatility and Performance of Indian Equity Market- Comparison of SENSEX and S&P CNX Nifty.International Journal of 3600 Management Review, (ISSN: 2320-7132) Vol. 01, Issue 02, pp. 1-12, Oct. 2013, Available at SSRN: https://ssrn.com/abstract=3581621 or http://dx.doi.org/10.2139/ssrn.3581621

Ravi Kumar Gupta (Contact Author)

Maharaja Agrasen Institute of Management Studies ( email )

Plot No 1, PSP Institutional Area
Sector 22, Rohini
New Delhi, DE New Delhi 110086
India
9355629130 (Phone)

HOME PAGE: http://www.maims.ac.in

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
12
Abstract Views
96
PlumX Metrics