A Return Volatility Volume Analysis of Indian Stock Market PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download A Return Volatility Volume Analysis of Indian Stock Market PDF full book. Access full book title A Return Volatility Volume Analysis of Indian Stock Market by Mahajan Sarika. Download full books in PDF and EPUB format.
Author: Mahajan Sarika Publisher: Infotech Publishers ISBN: 9788960960329 Category : Business & Economics Languages : en Pages : 0
Book Description
The stock market encourages people to save by giving households money so they can invest another financial tool that fits their risk preferences and cash needs better (Agrawalla, 2006). A stock market that works well is important to the economy because it helps businesses get the money they need and shows how to run an economy well. Since 1991, when market-based economic reforms were put in place, the Indian stock market has had a bigger effect on how the country's resources are used (Shah and Thomas, 2003). In the last ten years, there have been a lot more trades on all 23 stock exchanges in the country. Since reforms were made, there have been big changes in how important different stock exchanges are in the market. People became very interested in the stock market because of this. In the past few years, it has become very important to study market indicators because the stock market is doing well and more and more people are interested in it.
Author: Mahajan Sarika Publisher: Infotech Publishers ISBN: 9788960960329 Category : Business & Economics Languages : en Pages : 0
Book Description
The stock market encourages people to save by giving households money so they can invest another financial tool that fits their risk preferences and cash needs better (Agrawalla, 2006). A stock market that works well is important to the economy because it helps businesses get the money they need and shows how to run an economy well. Since 1991, when market-based economic reforms were put in place, the Indian stock market has had a bigger effect on how the country's resources are used (Shah and Thomas, 2003). In the last ten years, there have been a lot more trades on all 23 stock exchanges in the country. Since reforms were made, there have been big changes in how important different stock exchanges are in the market. People became very interested in the stock market because of this. In the past few years, it has become very important to study market indicators because the stock market is doing well and more and more people are interested in it.
Author: Mahender Publisher: ISBN: Category : Languages : en Pages :
Book Description
The present study aims to examine the investor's perception on trading volume and stock return volatility in Indian stock market using a structured questionnaire. Statistical tools like factor analysis, ANOVA and Cronbach's alpha are used to analyze data with the help of SPSS. The main findings show that out of the nine dimensions determined, on the basis of age, there is a significant difference in the response of the respondents in the case of tactics. On the basis of education, there is a significant difference in the response of the respondents in the case of cause-effect relationship and risk management. In all demographic profiles, there is no significant difference in trading volume and stock return volatility. The main implication of this study is for the investors and portfolio managers, as a majority of the respondents show strong willingness to use trading volume and stock return volatility as an informational tool. Therefore, this study suggests that a new approach to investment ought to be evolved which should aim at using trading volume and stock return volatility as information indicators.
Author: Srinivasan Kaliyaperumal Publisher: GRIN Verlag ISBN: 3668659958 Category : Business & Economics Languages : en Pages : 144
Book Description
Project Report from the year 2010 in the subject Business economics - Investment and Finance, , course: Ph. D, language: English, abstract: Every modern economy is based on a sound financial system and acts as a monetary channel for productive purpose with effecting economic growth. It encourages saving habit by throwing open and plethora of instrument avenues suiting to the individuals requirements, mobilizing savings from households and other segments and allocating savings into productive usage such as trade, commerce, manufacture etc. Thus a financial system can also be understood as institutional arrangements, through which financial surpluses are mobilized from the units generating surplus income and transferring them to the others in need of them. In nutshell, financial market, financial assets, financial services and financial institutions constitute the financial system. The activities include exchange and holding of financial assets or instruments of different kinds of financial institutions, banks and other intermediaries of the market. Financial markets provide channels for allocation of savings to investment and provide variety of assets to savers in various forms in which the investors can park their funds. At the same time, financial market is one that integral part of the financial system which makes significant contribution to the countries’ economic development. It establishes a link between the demand and supply of long-term capital funds. The economic strength of a country depends squarely on the state of financial market, apart from the productive potential of the country. The efficient allocation of fund by the capital market depends on the state of capital market. All the countries therefore focus more on the functioning of the capital market. Indian financial market has faced many challenges in the process of effecting more efficient allocation and mobilization of capital. It has attained a remarkable degree of growth in the last decade and in continuing to achieve the same in current decade also. Opening up of the economy and adoption of the liberalized economic policies have driven our economy more towards the free market. Over the last few years, financial markets, more specifically the security market were experiencing a lot of structural and regulatory changes. The major constituents of financial market are money market and the capital market catering to the type of capital requirements.
Author: Greg N. Gregoriou Publisher: CRC Press ISBN: 1420099558 Category : Business & Economics Languages : en Pages : 654
Book Description
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author: Gurmeet Singh Publisher: ISBN: Category : Languages : en Pages : 23
Book Description
This paper investigates the empirical relationship between return, volume and volatility dynamics of stock market by using data of the NIFTY index of NSE during the period from Jan 2007 to March 2014. The volatility in the Indian stock market exhibits characteristics similar to those found earlier in many of the major developed and emerging stock markets. It is shown that ARCH family models outperform the conventional OLS models. We find that, the TARCH model is better fit, when we compare the GARCH, EGARCH and TARCH models, on the basis of AIC and SC criteria. Causality from volatility to volume can be seen as some evidence that new information arrival might follow a sequential rather than a simultaneous process. Moreover, in the GARCH model, ARCH and GARCH effects remain significant, which highlights the inefficiency in the market. In addition, EGARCH and TARCH models indicate the presence of leverage effect and positive impact of volatility on returns. Finally, the findings of granger causality test records the evidence of one way causality from volatility to trading volume and from return to volume.
Author: Pradeep K Mavuluri Publisher: ISBN: Category : Languages : en Pages : 10
Book Description
Positive relationship between trade volume and return volatility is a well-known empirical verified regularity in the financial research. Several studies examined what causes to volume-volatility to evolve and numerous theoretical explanations have been developed to predict/explore this relationship (see Karpoff (1987) and Board et al (1990) for a number of reasons why price-volume affiliation is positive). However, the recent literature provides evidence of revisiting the volume-volatility relationship as volatility and transaction counts relationship. So far no study examines the role of transactions frequency over and above volume in explaining the volatility; hence, the present study attempts to uncover the relevance of transaction counts for Indian stock market. Specifically, the study considers component stocks of Indian barometer indices, NSE Nifty and Nifty Junior, for the period 2005. In addition, study measures volatility by five minute intra day volatility apart from traditional absolute and squared price changes. Volume is measured as average trade size. The basic hypotheses that the number of transactions drives the volatility rather than the volume has been examined by the cross-sectional averages of Nifty amp; Nifty Junior stocks after running time series regressions.
Author: Vanita Tripathi Publisher: ISBN: Category : Languages : en Pages : 13
Book Description
Investors step into the stock market with the objective of earning smart returns on their investments. The stock market can help in realising these goals of the investors, however, all investments are subject to risks. The origin of the risk is the uncertainty of realising the desired returns on the investment. This aspect is known as risk of the investment. This paper aims to search the best model to estimate and forecast volatility of Indian and Chinese stock market. The data for the paper is related to the two main indices of Indian Stock Market namely, SENSEX and NIFTY and two indices of Chinese stock market, namely, Shenzhen composite index and Shanghai composite index for the period July 2003 to June 2013. We applied symmetrical as well as asymmetrical GARCH models to the data. Among all the three models i.e. GARCH, EGARCH and TARCH, we found the GARCH (1,1) model as the best model to estimate and forecast the volatility of Chinese stock market for both the daily and weekly return series. For the Indian stock market, the recommended volatility estimation and forecasting model is EGARCH model that captures the leverage effect. We did not find volatility clustering and leverage effect for the monthly return series for both Indian and Chinese stock market. Thus, it is suggested to use the traditional time invariant volatility models for the monthly return series.
Author: Gurmeet Singh Publisher: ISBN: Category : Languages : en Pages : 24
Book Description
In this paper, an attempt has been made to model the volatility of NIFTY index of National Stock Exchange (NSE) and forecast the NIFTY stock returns for short term by using daily data ranging from January, 2000, to December, 2014, which comprises 3736 data points for the analysis by using Box-Jenkins or ARIMA model. The volatility in the Indian stock market exhibits characteristics similar to those found earlier in many of the major developed and emerging stock markets. It is shown that ARCH family models outperform the conventional OLS models. ADF test and unit root testing is done to know the stationarity of the series, later the AR(p) and MA(q) orders are identified with the help of minimum information criterion as suggested by Hannan-Rissanen. As per the analysis, ARIMA (1,0,1) model was found to be the best fit to forecast the volatility of NIFTY stock returns. The model can be used by the investors to forecast the short run NIFTY stock returns and for making more profitable and less risky investments decision.
Author: Mahajan Sarika
Author: Mahajan Sarika
Author: Sarika Mahajan
Author: Mahender
Author: H. Kaur
Author: Srinivasan Kaliyaperumal
Author: Greg N. Gregoriou
Author: Gurmeet Singh
Author: Pradeep K Mavuluri
Author: Vanita Tripathi
Author: Gurmeet Singh