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Understanding Volatility - the Case of the Introduction of Futures Trading in the National Stock Exchange, IndiaDerivatives
Indian stock market has witnessed various confrontations during last two decades resulting into occurrence of alternate phases of the market cycle. The recent financial crisis occurred in the world stock markets has caused vigorous movements in the Indian stock markets, but India has emerged as one of the soundest emerging economies of the world after this crisis. The present study is focused to examine the time varying volatility of Indian stock market specifically in equity market and has considered S&P CNX Nifty index of NSE (National Stock Exchange) for a period of approximately a decade, i.e., March 2001 to October 2010. For the alleged purpose, a total of 2415 daily observations of closing value of market proxy have been considered for all empirical tests for the study period. It is further destined to study whether there is an improvement in the persistence of stock market volatility during last decade or not. The findings of the study documented that the Indian equity market has witnessed the prevalence of time varying volatility where the past volatility has more significant impact on the current volatility. The identification of persistence of conditional volatility can help the investors to forecast their returns from equity market under alternate market phenomenon.
Asia Pacific Business Review – SAGE
Published: Jul 1, 2011
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