IES Management College And Research Centre

Modeling Symmetric and Asymmetric Volatility in the Indian Stock Market (Record no. 50903)

MARC details
000 -LEADER
fixed length control field 02115nam a2200217 4500
003 - CONTROL NUMBER IDENTIFIER
control field OSt
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20190114124016.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 190114b ||||| |||| 00| 0 eng d
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Amudha, , R.
9 (RLIN) 32886
245 ## - TITLE STATEMENT
Title Modeling Symmetric and Asymmetric Volatility in the Indian Stock Market
300 ## - PHYSICAL DESCRIPTION
Extent 21-36 p.
520 ## - SUMMARY, ETC.
Summary, etc The term leverage effect refers to the observed relationship between an asset's volatility to be negatively correlated with the asset's returns. The study intended to find whether the volatility tendency increased when the stock markets experienced a fall and attempted to explore the heteroskedastic behavior of Indian equity market stocks by using the GARCH family models to examine the leverage effect that explained the asymmetric volatility of the automobile stocks listed on the NSE (National Stock Exchange). It attempted to find the effects of good and bad news on volatility in the Indian stock market during the extensive and crucial periods from April 24, 2003 to September 7, 2015, when the equity markets experienced three bull and three bear phases. The study used three different volatility estimators from the return series data of the selected stocks of NSE to account for the robustness in the analysis. The standard GARCH models were applied to study whether there was volatility during the study period ; hence, asymmetric volatility models, that is, EGARCH and TGARCH were employed to find out the leverage effect. The study reported an evidence of volatility, which exhibited the clustering and persistence of stocks. The return series of the stocks selected for the study were found to react on the good and bad news asymmetrically. The negative shocks to these stocks exhibited more volatility than the positive shocks of the same magnitude.
653 ## - INDEX TERM--UNCONTROLLED
Uncontrolled term Volatility
Uncontrolled term Leverage Effect
Uncontrolled term GARCH Models
Uncontrolled term Indian Stock Market,
Uncontrolled term National Stock Exchange - NSE
700 ## - ADDED ENTRY--PERSONAL NAME
Personal name Muthukamu, M.
9 (RLIN) 32887
773 0# - HOST ITEM ENTRY
Host Biblionumber 29384
Host Itemnumber 73058
Main entry heading GILANI,S.
Other item identifier 5559618
Title INDIAN JOURNAL OF FINANCE
International Standard Serial Number 0973-8711
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme Dewey Decimal Classification
Koha item type Journal Article
Holdings
Withdrawn status Lost status Source of classification or shelving scheme Damaged status Not for loan Home library Current library Date acquired Total Checkouts Full call number Barcode Date last seen Price effective from
    Dewey Decimal Classification     Main Library Main Library 14/01/2019   Vol 12, Issue 11/ 5559618JA2 5559618JA2 14/01/2019 14/01/2019

Circulation Timings: Monday to Saturday: 8:30 AM to 9:30 PM | Sundays/Bank Holiday during Examination Period: 10:00 AM to 6:00 PM