Study of volatility in Indian stock and commodity markets
Loading...
Date
2021
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Punjab Agricultural University, Ludhiana
Abstract
The aim of present study is to assess the nature of volatility, relationship between return and
volatility, impact of selected macroeconomic variables on volatility, identification of suitable
model for forecasting volatility and perception of market participants regarding volatility in
Indian stock and commodity market. The study analyzed both primary and secondary data. In
most of the stock market indices significant day of the week effect was found on Tuesday and
in case of commodity market indices day of the week effect was found to be different in all the
selected indices. Further, significant month of the year effect was found for both stock and
commodity market indices. The relationship between return and volatility was assessed through
GARCH in Mean model and it was found to be significant only in case of Nifty Smallcap 50.
The impact of various macroeconomic variables in explaining the volatility of stock and
commodity market indices was studied. It was found that FII net flows, DII net flows are
significant determinants for stock market indices and GDP, CPI and yield on 10 year
government bonds were found to be significant determinant of volatility for commodity market
indices. The suitable model for forecasting volatility was identified. It was found that GARCH
(1, 1) is the most suitable symmetric model and EGARCH model is the most suitable
asymmetric model in case of stock market indices and commodity market indices. The
perception of different market participants regarding volatility has been found to be varied and
significantly different from one group to another.
Description
Keywords
Citation
Nisha Rani (2021). Study of volatility in Indian stock and commodity markets (Unpublished Ph.D. Dissertation). Punjab Agricultural University, Ludhiana, Punjab, India.