Impact of Investors’ Sentiments on Selected Sectoral Indices Return Volatility: Special Reference to NSE

Sharma, P. C. (2021). Impact of Investors’ Sentiments on Selected Sectoral Indices Return Volatility: Special Reference to NSE. Orissa Journal of Commerce. 42(1), 44-58

15 Pages Posted: 22 Jul 2021

Date Written: July 19, 2021

Abstract

The study attempts to assess the influence of investor sentiment on
selected sectoral indices returns volatility in the Indian stock market over the
period from 2015-2019. GARCH, EGARCH, and Bivariate VAR models were
applied for data analysis after checking unit root issue of the data. Nine Sectoral
indices namely NIFTY Oil and Gases, NIFTY Metal, NIFTY Media, NIFTY
FMCG, NIFTY Financial Service, NIFTY Consumer Durables, NIFTY Auto,
NIFTY Bank, and NIFTY IT are considered. A significant influence of investor
sentiment on sectoral indices return volatility is traced. The stronger the
influence of investor sentiment and higher will be the current market volatility.
The results of this study may assist individuals, institutional investors, and the
government for an improved understanding of the Indian stock market and to
upsurge their returns by integrating investor sentiment into their decision-making.

Keywords: NIFTY, Investor sentiment, Stock returns, Sectoral index, Volatility, Asset pricing

JEL Classification: G32, G41, G100, G170

Suggested Citation

Sharma, Dr. Pooja Chaturvedi, Impact of Investors’ Sentiments on Selected Sectoral Indices Return Volatility: Special Reference to NSE (July 19, 2021). Sharma, P. C. (2021). Impact of Investors’ Sentiments on Selected Sectoral Indices Return Volatility: Special Reference to NSE. Orissa Journal of Commerce. 42(1), 44-58, Available at SSRN: https://ssrn.com/abstract=3889223

Dr. Pooja Chaturvedi Sharma (Contact Author)

APEEJAY SCHOOL OF MANAGEMENT ( email )

Sector-8, Institutional area
Dwarka
New Delhi, 110075
India

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
21
Abstract Views
216
PlumX Metrics