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Mishra, Shekhar
- Dynamics of Time Varying Volatility of Indian Stock Market : Evidence from BSE & CNX Nifty
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PDF Views:156
Authors
Affiliations
1 Srusti Academy of Management Bhubaneswar, Orissa, IN
1 Srusti Academy of Management Bhubaneswar, Orissa, IN
Source
Review of Professional Management- A Journal of New Delhi Institute of Management, Vol 12, No 2 (2014), Pagination: 42-53Abstract
Volatility measures the variability and ascertains the unpredictable and uncertain behavior of the asset price. As a concept and phenomenon, it has remained central area of research in modern financial markets and academics. The importance of volatility in stock market can't be undermined in financial economics, as it plays a significant role in investment and risk management decisions. This paper attempts to examine the dynamics of time varying volatility of Indian stock market with reference to BSE and S&P CNX Nifty. Using daily observation, data have been taken for period of 2000-2014. To examine the characteristics of Indian Stock Market Volatility, GARCH models are being employed. EGARCH and TARCH are employed to find possibility of Asymmetry or Leverage effects in the market.Keywords
Volatility, Financial Economics, GARCH, Asymmetry, Leverage Effect, EGARCH, TARCH.Full Text
- Analysis of Interaction between Global Crude Oil Price, Exchange Rate, Inflation and Stock Market in India:Vector Auto Regression Approach
Abstract Views :507 |
PDF Views:0
Authors
Affiliations
1 Department of Business Management, C.V. Raman College of Engineering, Bhubaneswar, PIN: 752054, IN
2 Department of Business Administration, Utkal University, Bhubaneswar, 751004, IN
1 Department of Business Management, C.V. Raman College of Engineering, Bhubaneswar, PIN: 752054, IN
2 Department of Business Administration, Utkal University, Bhubaneswar, 751004, IN
Source
Parikalpana: KIIT Journal of Management, Vol 14, No 1 (2018), Pagination: 120-133Abstract
The present paper analyses the association between global crude oil price, exchange rate, inflation and stock market in Indian economic scenario. The paper employs Vector Auto Regression Model on monthly data from April 2001 to March 2017. The monthly data has been sourced from official website of Energy Information Agency (EIA), Reserve Bank of India (RBI) and Bombay Stock Exchange (BSE). The analysis reveals the variables being integrated of Order I (1) and negates the possible existence of long run relationship among them. The analysis shows the negative relationship between stock index and inflation and positive association with exchange rate and WTI crude oil price. The paper also indicates the indicates the WTI crude oil price increase cause increase in inflation and exchange rate depreciation. Although the increase in WTI crude oil price has a favourable impact on BSE Index, the paper necessitates the need of decrease in reliance upon crude oil price so as to curb the increase in inflation and exchange rate depreciation. The policymakers need to devise policies to keep control on the increase in inflation and conserve the foreign exchange.Keywords
WTI, Inflation, Exchange Rate, Vector Auto Regression Model.Full Text
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