Global Journal of Research in Management

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Examining the Linkage Between Sectoral Indices of NSE and Volatility Index:An Empirical Study


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1 The Business School, University of Kashmir, India
     

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Volatility index introduced by the National Stock Exchange of India (NSE) in 2008, called the India VIX (IVIX), is a measure of market’s expectation of volatility over the near term. The present study attempts to analyze and examine the relationship between IVIX and Sectoral Indices of NSE. The authors have relied on Graphical analysis, Descriptive statistics, ADF test, Correlation and Regression performed on a time series data set ranging from 01/04/2009 up to31/03/2015 to derive and detect the linkage. This research has supported and at the same time contradicted with the past literature. However,present study clearly documents the same with some contardictions as revealed in the analysis part. One important observation found as a part of the analysis is that the Nifty Energy index seems to be immune to the volatility shocks while the Nifty Finance has a positive impact on IVIX and the same is confirmed by the multiple regression analysis.

Keywords

IVIX, Sectoral Indices, Implied Volatility, Volatility Index.
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  • Examining the Linkage Between Sectoral Indices of NSE and Volatility Index:An Empirical Study

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Authors

Bashir Ahmad Joo
The Business School, University of Kashmir, India
Ishaq Ahmad Bhat
The Business School, University of Kashmir, India

Abstract


Volatility index introduced by the National Stock Exchange of India (NSE) in 2008, called the India VIX (IVIX), is a measure of market’s expectation of volatility over the near term. The present study attempts to analyze and examine the relationship between IVIX and Sectoral Indices of NSE. The authors have relied on Graphical analysis, Descriptive statistics, ADF test, Correlation and Regression performed on a time series data set ranging from 01/04/2009 up to31/03/2015 to derive and detect the linkage. This research has supported and at the same time contradicted with the past literature. However,present study clearly documents the same with some contardictions as revealed in the analysis part. One important observation found as a part of the analysis is that the Nifty Energy index seems to be immune to the volatility shocks while the Nifty Finance has a positive impact on IVIX and the same is confirmed by the multiple regression analysis.

Keywords


IVIX, Sectoral Indices, Implied Volatility, Volatility Index.

References