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- Title
Behaviour of stock return volatility in India: A study in the context of the US sub-prime crisis.
- Authors
Sah, Ash Narayan
- Abstract
This paper tried to investigate the behavior of volatility of Indian stock market keeping in mind, the US subprime crisis. Daily data from 1st April 2007 to 31st July 2010 on S&P CNX Nifty is used for analysis. This paper has used ARCH and GARCH framework for studying behavior of volatility of Indian stock market. The paper has also used threshold GARCH for describing asymmetric properties of stock return volatility. In particular, the objective of the study was to examine the short-term and long-term volatility spillover effects of the US sub-prime crisis on Indian stock market using component GARCH model. The results from the various GARCH models can be used to forecast more accurate volatility which can be used for various purposes like portfolio allocation and option valuation. The results established that stock return volatility of Indian stock market is characterized by persistence, asymmetric properties and permanent component of conditional variance is highly persistent.
- Subjects
UNITED States; INDIA; STOCK exchanges; MARKET volatility; GARCH model; FINANCIAL crises
- Publication
Decision (0304-0941), 2011, Vol 38, Issue 3, p26
- ISSN
0304-0941
- Publication type
Article