scholarly journals Analyzing the Impact of Demonetization on the Indian Stock Market: Sectoral Evidence using GARCH Model

2018 ◽  
Vol 12 (2) ◽  
pp. 104-116 ◽  
Author(s):  
Patil Anoop ◽  
Narayan Parab ◽  
Y. V Reddy
Keyword(s):  
Stock Market ◽  
Garch Model ◽  
Indian Stock Market ◽  
The Impact

scholarly journals Impact of index derivatives on Indian stock market volatility-an application of arch and GARCH model

2008 ◽  
Vol 6 (3) ◽  
pp. 39-44
Author(s):  
S. V. Ramana Rao ◽  
Naliniprava Tripathy
Keyword(s):  
Stock Market ◽  
Structural Changes ◽  
Garch Model ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Index Futures ◽  
Market Factors ◽  
Indian Stock Market ◽  
The Impact ◽  
Derivative Products

The present study examined the impact of introduction of index futures derivative and index option derivative on Indian stock market by using ARCH and GARCH model to capture the time varying nature of volatility presence in the data period from October 1995 to July 2006. The results reported that the introduction of index futures and index options on the Nifty has produced no structural changes in the conditional volatility of Nifty but however the market efficiency has been improved after the introduction of the derivative products. The study concludes that financial derivative products are not responsible for increase or decrease in spot market volatility, but there could be other market factors which influenced the market volatility

scholarly journals Impact of Foreign Institutional Investors on the Volatility of Indian Stock Market using GARCH Model

2018 ◽  
Vol 5 (01) ◽  
Author(s):  
Prateek Kumar Bansal ◽  
Om Prakash Agrawal
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Unit Root Test ◽  
Garch Model ◽  
Strong Relationship ◽  
Stock Market Volatility ◽  
Augmented Dickey Fuller ◽  
Foreign Institutional Investors ◽  
Indian Stock Market ◽  
The Impact

Foreign institutional investors have played an important role in the development of Indian stock market. In this paper, we study the relationship between the FII capital flows and the volatility of Indian stock market. To conduct the study, daily Index and trading data of SENSEX, NIFTY and FIIs was collected for fifteen years from April 1, 2001 to March 31, 2017. After testing for data stationarity using Augmented Dickey–Fuller test (ADF) unit root test, different statistical tools were applied such as S.D., mean, variance, skewness, correlation and GARCH model for testing the impact of FIIs flows on stock market volatility. The study concludes that there is strong relationship between the FIIs and the stock market return. Further, positive correlation exists between the variables and volatility transmission is there from FIIs to both the indices.

scholarly journals The Outbreak of COVID-19 Pandemic and Its Impact on Stock Market Volatility: Evidence from a Worst-affected Economy

2020 ◽  
Author(s):  
Debakshi Bora ◽  
Daisy Basistha
Keyword(s):  
Comparative Analysis ◽  
Stock Market ◽  
Financial Market ◽  
Garch Model ◽  
Global Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Bottom Line ◽  
Indian Stock Market ◽  
The Impact

Abstract The outbreak of COVID-19 has affected the entire global financial market in an unprecedented way. Due to the disruptions that emerged in the global market; the financial market of India also reacted to the pandemic and witnessed sharp volatility. Given the COVID-19 situation, this paper empirically investigates the impact of COVID-19 on the Indian stock market. Using daily closing prices of indices such as Nifty and Sensex, this study examines the volatility of these indices over the period 3rd September 2019 to 10th July 2020. Further, the study has attempted to make a comparative analysis of the return of the stock market in pre-COVID-19 and during the COVID-19 situation. GARCH model is used to capture the volatility of the indices. Findings reveal that the stock market in India has experienced volatility during the pandemic period. While comparing the results with that of the pre-COVID-19 period, we find that return on the indices is higher in the pre-COVID-19 period than during COVID-19. The return of both the stock market reached the bottom line during the first lockdown period, which is from24th March to 6th April.

Insider Trading: A White-Collar Crime and its Impact on Share Market

Think India ◽  
2014 ◽  
Vol 17 (3) ◽  
pp. 22-24
Author(s):  
Sreekumar Ray
Keyword(s):  
Stock Market ◽  
Insider Trading ◽  
White Collar Crime ◽  
White Collar ◽  
Adverse Impact ◽  
High Ranking ◽  
Internal Information ◽  
Indian Stock Market ◽  
The Impact

Since inception, the growth of the Indian stock market has been constrained through unethical, illegal and self-actualized activities of swanky persons involved in different capacities in the market. The stock market was trying to retrieve itself from the devastating effect of Harshad Mehta share market scam, when within a gap of ten years it was once again pushed into the darkness of the dungeon by another demon-child of the country- Ketan Parekh. Corporations have been looted by the insider traders, diversifying internal information to an external in lieu of cash. Investigations in the majority cases have proved the involvement of the high ranking officers of the companies in the crime, sophistically referred to as white-collar crime. It has an adverse impact on the growth and sustainability of the share market. Under the light of the above issue, this paper endeavors to study the impact of such crime on the share market. It focuses on the mechanism behind the insider-trading, its impact on the share market and the regulators supervision on the issue. Finally, suggestions have been provided which will contribute towards the dream of every Indian-a fraud-free share market focusing towards the overall development of the country.

Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data

2021 ◽  
pp. 031289622110102
Author(s):  
Mousumi Bhattacharya ◽  
Sharad Nath Bhattacharya ◽  
Sumit Kumar Jha
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
High Frequency ◽  
Jel Classification ◽  
Exogenous Shock ◽  
Intraday Data ◽  
Day Of The Week ◽  
Holiday Effects ◽  
Indian Stock Market ◽  
The Impact

This article examines variations in illiquidity in the Indian stock market, using intraday data. Panel regression reveals prevalent day-of-the-week, month, and holiday effects in illiquidity across industries, especially during exogenous shock periods. Illiquidity fluctuations are higher during the second and third quarters. The ranking of most illiquid stocks varies, depending on whether illiquidity is measured using an adjusted or unadjusted Amihud measure. Using pooled quantile regression, we note that illiquidity plays an important asymmetric role in explaining stock returns under up- and down-market conditions in the presence of open interest and volatility. The impact of illiquidity is more severe during periods of extreme high and low returns. JEL Classification: G10, G12

Do Indian stock market sentiments impact contemporaneous returns?

2018 ◽  
Vol 7 (3) ◽  
pp. 332-346
Author(s):  
Divya Aggarwal ◽  
Pitabas Mohanty
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Temporal Dynamics ◽  
Stock Exchange ◽  
Principal Component ◽  
Stock Index ◽  
Content Type ◽  
Investor Sentiments ◽  
Indian Stock Market ◽  
The Impact

Purpose The purpose of this paper is to analyse the impact of Indian investor sentiments on contemporaneous stock returns of Bombay Stock Exchange, National Stock Exchange and various sectoral indices in India by developing a sentiment index. Design/methodology/approach The study uses principal component analysis to develop a sentiment index as a proxy for Indian stock market sentiments over a time frame from April 1996 to January 2017. It uses an exploratory approach to identify relevant proxies in building a sentiment index using indirect market measures and macro variables of Indian and US markets. Findings The study finds that there is a significant positive correlation between the sentiment index and stock index returns. Sectors which are more dependent on institutional fund flows show a significant impact of the change in sentiments on their respective sectoral indices. Research limitations/implications The study has used data at a monthly frequency. Analysing higher frequency data can explain short-term temporal dynamics between sentiments and returns better. Further studies can be done to explore whether sentiments can be used to predict stock returns. Practical implications The results imply that one can develop profitable trading strategies by investing in sectors like metals and capital goods, which are more susceptible to generate positive returns when the sentiment index is high. Originality/value The study supplements the existing literature on the impact of investor sentiments on contemporaneous stock returns in the context of a developing market. It identifies relevant proxies of investor sentiments for the Indian stock market.

scholarly journals Relations and Emotions beyond the Boundaries in the Post Crisis Era – An Analysis of the Impact of Selected Variables on the Indian Stock Market

2018 ◽  
Vol 4 (8) ◽  
pp. 72
Author(s):  
Pooja Yadav ◽  
Nitin Huria
Keyword(s):  
Stock Market ◽  
Global Economy ◽  
Stock Index ◽  
Asia Pacific ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Short Run ◽  
Current Scenario ◽  
Indian Stock Market ◽  
The Impact

From a decade or so Indian continent has become the centre of attraction in the global economies. This changed outlook is due to the fact that India embraces vast availability of resources and opportunities which makes it the most vibrant global economy in the current scenario of worldwide sluggishness. On this path of growth and prosperity India is showing stiff commitments and competitive edges with developed as well as emerging countries. To be more specific, during this voyage in the Asia pacific region recently on one side India has seen stronger bonding with some of its old mates like Japan but on the other part it has faced strain like situation from its stronger competitor contender china on the same time. Hence, in this context the main aim of this paper is to examine the long run and short run equilibrium impacts of Japan and Chinese stock index as well as macroeconomic variables impact on Indian stock market. This paper finds the presence of both long and short run equilibrium impacts from China and Japan to India. In case of Japanese financial market (Nikki 225) has a trivial negative but significant long run impact whereas, the Chinese stock index (SSE composite) is operating at the short run with the same mild negative but significant impact on the Indian stock market. The results of the impact of macroeconomic variables find the existence of long run as well as short run equilibrium from some of the selected variables on Indian stock market.

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