MERI-Journal of Management & IT

Open Access Open Access  Restricted Access Subscription Access
Open Access Open Access Open Access  Restricted Access Restricted Access Subscription Access

A Study on Volatility of S&P CNX Nifty in Indian Securities Market


Affiliations
1 Management Education and Research Institute, New Delhi, India
     

   Subscribe/Renew Journal


S&P CNX Nifty is national stock exchange of India’s benchmark stock market index for Indian equity market. The present paper attempts to investigate whether the Previous day’s Nifty returns has an explanatory power for today’s Nifty returns. Daily data of sample of 3671 observations from January 2000 to December 2015 has been used for the study. CNX Nifty returns are calculated as the first difference of the log of the daily closing price. GARCH (1,1) has been developed to model the volatility of CNX Nifty returns. The GARCH model is a time series modeling technique which provides for Heteroscedasticity in the observed returns. Empirical results have shown that previous day’s Nifty returns have GARCH effect in the today’s Nifty returns.

Keywords

Heteroscedasticity, ARCH, GARCH, Volatility, CNX Nifty, Lagged Returns.
User
Subscription Login to verify subscription
Notifications
Font Size

  • Alexakis, C., Niarchos, N., Patra, T. and Poshakwale, S. (2005), “The Dynamics Between Stock Returns and Mutual Fund Flows: Empirical Evidence from the Greek Market”, International Review of Financial Analysis, Vol. 14 No. 5, pp. 559-569.

  • Atmeh, Muhannad A. and Dobbs (2006), “Technical Analysis and the Stochastic Properties of the Jordanian Stock Market Index Return”, Studies in Economics and Finance, Vol. 23, No. 2, pp. 119 – 140.

  • Batra, A. (2004), “Foreign Institutional Investors: An Introduction”, ICFAI University Press, pp.107-111.

  • Bekaert, G. and G. Wu, (2000) “Asymmetric Volatility and Risk in Equity Markets”, The Review of Financial Studies, Vol. 13, pp. 1-42.

  • Bhora, Singh, N. and Dutt, A. (2011), “Foreign Institutional Investment in Indian Capital Market, International Research Journal of Finance and Economics, Vol. 11, No. 68, pp.104-116.

  • Carhart, M. (1997), “Persistence in Mutual Fund Performance”, Journal of Finance, Vol. 52, No.1, pp. 57–82.

  • Edelen, R. and Warner, J. (2001), “Aggregate Price Effects of Institutional Trading: a Study of Mutual Fund Flow and Market Returns”, Journal of Financial Economics, Vol. 59, No.2, pp. 195-220.

  • Edwards, F. and Zhang, X. (1998), “Mutual Funds and Stock and Bond Market Stability”, Journal of Financial Services Research, Vol. 13, No.3, pp. 257-282.

  • Elton, E., Gruber, M. and Blake, C. (1996), “The Persistence of Risk-adjusted Mutual Fund Performance”, Journal of Business, Vol. 69, No.2, pp. 133-157.

  • Fang, H., Lu, Y. and and Yau, Y. (2014), “The Effects of Stock Characteristics on the Direction and Extent of Herding by Foreign Institutional Investors in the Taiwan Stock Exchange”, Emerging Markets Finance and Trade, Vol. 50, No. 2, pp. 60-74.

  • Fant, L. (1999), “Investment Behavior of Mutual Fund Shareholders: The Evidence from Aggregate Fund Flows”, Journal of Financial Markets, No. 2, pp. 399-422.

  • Floros, C. and Vougas, D.V., (2007), “Trading Volume and Returns Relationship in Greek Stock Index Futures Market: GARCH vs. GMM”, International Research Journal of Finance and Economics, No. 12.

  • Fortune, P. (1998), “Mutual funds: Part II. Fund flows and Security Returns”, New England Economic Review, Vol. 3, No.3, pp. 3-22.

  • Oh, N.Y. and Parwada, J.T. (2007), “Relations between Mutual Fund Flows and Stock Market Returns in Korea”, Journal of International Financial Markets, Institutions & Money, Vol.17, No. 2.

  • Pal, P. (2004), “ Foreign Institutional Investment in India”, Research on Indian Stock Volatility, Strategic Management Journal, Vol. 27, No. 7, pp. 637-657.

  • Sabri, Nidal Rashid, (2004), “Volatility and Market Crisis in Emerging Economies” Review of Accounting and Finance, Vol. 3, No. 3, pp. 59-83.

  • Sabri, Rashid, N. (2007), “Stability of the International Stock Markets”, Nova Science Publishers, NY.

  • Sabri, Rashid, N. (2008), “Financial Markets and Institutions in the Arab Economy” , Nova Science Publishers, NY.

  • Thenmozhi, M., and Kumar, M. (2009), “Dynamic Interaction among Mutual Fund Flows, Stock Market Return and Volatility”, NSE Working Papers.

  • Tripathy, N. (2010), “The Empirical Relationship between Trading Volumes & Stock Return Volatility in Indian Stock Market”, European Journal of Economics, Finance and Administrative Sciences, No. 24, pp. 59-47.

  • Trivedi and Nair (2005), “Recent Volatility in Stock Markets in India and Foreign Institutional Investors” Available online at http://www.icrier.org/pdf/wp124.pdf, Retrieved on 1st June 2017.

  • Warther, V. (1995), “Aggregate Mutual Fund Flows and Security Returns”, Journal of Financial Economics, Vol. 39, No.2-3, pp. 209-235.

  • Watson, J. Wickramanayake, J. (2012), “The Relationship Between Aggregate Managed Fund Flows and Share Market Returns in Australia” Journal of International Financial Markets, Institutions & Money, Vol. 22, No.3, pp. 451–472.


Abstract Views: 536

PDF Views: 6




  • A Study on Volatility of S&P CNX Nifty in Indian Securities Market

Abstract Views: 536  |  PDF Views: 6

Authors

Kavita
Management Education and Research Institute, New Delhi, India

Abstract


S&P CNX Nifty is national stock exchange of India’s benchmark stock market index for Indian equity market. The present paper attempts to investigate whether the Previous day’s Nifty returns has an explanatory power for today’s Nifty returns. Daily data of sample of 3671 observations from January 2000 to December 2015 has been used for the study. CNX Nifty returns are calculated as the first difference of the log of the daily closing price. GARCH (1,1) has been developed to model the volatility of CNX Nifty returns. The GARCH model is a time series modeling technique which provides for Heteroscedasticity in the observed returns. Empirical results have shown that previous day’s Nifty returns have GARCH effect in the today’s Nifty returns.

Keywords


Heteroscedasticity, ARCH, GARCH, Volatility, CNX Nifty, Lagged Returns.

References





DOI: https://doi.org/10.25089/MERI%2F2018%2Fv11%2Fi2%2F173960