Study of volatility in Indian stock and commodity markets

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dc.contributor.advisorGupta, Mohit
dc.contributor.authorNisha Rani
dc.date.accessioned2021-10-26T10:28:18Z
dc.date.available2021-10-26T10:28:18Z
dc.date.issued2021
dc.description.abstractThe 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.en_US
dc.identifier.citationNisha Rani (2021). Study of volatility in Indian stock and commodity markets (Unpublished Ph.D. Dissertation). Punjab Agricultural University, Ludhiana, Punjab, India.en_US
dc.identifier.urihttps://krishikosh.egranth.ac.in/handle/1/5810177337
dc.keywordsVolatility, GARCH Models, Calendar anomalies, Market participants, Riskreturnen_US
dc.language.isoEnglishen_US
dc.pages185en_US
dc.publisherPunjab Agricultural University, Ludhianaen_US
dc.research.problemStudy of volatility in Indian stock and commodity marketsen_US
dc.subAgricultural Business Managementen_US
dc.themeStudy of volatility in Indian stock and commodity marketsen_US
dc.these.typePh.Den_US
dc.titleStudy of volatility in Indian stock and commodity marketsen_US
dc.typeThesisen_US
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