A Study on Volatility of Indian Stocks and Index in the Present Era

The Indian securities markets have witnessed far reaching reforms in the post-liberalization era in terms of market design, technological developments, settlement practices and introduction of new instruments. The ups and downs of the financial markets are always in the news. Numerous studies have been conducted to test the volatility in the stock market. The most commonly studied market anomalies are January effect, the size effect, and the day of the week effect. According to day of the week effect, the average daily returns of the market are not equal for all days of the week. The objective of this paper is to examine the day of the week effects in the Indian stock market. The paper tests the volatility of the Indian stock market, using observations from January 1993 to December 2011 of the National Stock Exchange (NSE) and 50 companies share prices. Simple statistical techniques and GARCH (1,1) model has been used to measure the volatility over the years.