Propinquity Market Behavior of Nifty and Sectoral Indices of Nse
Jincy K. John1, R. Amudha2, J. Clement Sudhahar3
1Jincy K. John, Research Scholar, Department of Management Studies, Karunya Institute of Technology & Sciences, Coimbatore – 641114, (Tamil Nadu), India.
2Dr. R. Amudha, Associate Professor, Department of Management Studies, KITS, Coimbatore – 641114, (Tamil Nadu), India.
3J. Clement Sudhahar, Professor in Marketing and Decision Strategy & Head, Department of Management Studies, KITS, Coimbatore-641114, (Tamil Nadu), India.
Manuscript received on 23 March 2019 | Revised Manuscript received on 30 March 2019 | Manuscript published on 30 March 2019 | PP: 1820-1829 | Volume-7 Issue-6, March 2019 | Retrieval Number: F2894037619/19©BEIESP
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Abstract: The development of stock markets in India in the last two decades has been incredible and a study in terms of volatility effect have been perceptible in the current globalization era. Contemplating on the propinquity linkage of Nifty and its Sectoral indices, the area of study unexplored and hence the study pertains to this perspective. Analysis of stock market for the evaluation of risk and return has received lot of attention both from the view point of the policy makers and the researchers. The quality of risk measure largely depends on the effect of capturing the behavior of the underlying asset, hence it is inevitable to employ the heteroscedasticity models to study the volatility of the Indian stock market. The study has applied the ARCH, GARCH, and TGARCH models to measure the intensity of risk behavior of stocks and concludes that the GARCH (1,1) model has satisfactorily explained the volatility clustering and its persistence of NSE Nifty index converging with the selected sectoral indices of the National Stock Exchange stocks representing the Indian stock market industry.
Keywords: Volatility, Heteroscedasticity, Sectoral Indices JEL Classification Code: C22, C51, C52
Scope of the Article: Marketing and Social Sciences