Stock market volatility a study of Indian stock market

Abstract

The present study entitled Stock Market Volatility: A Study of Indian Stock Market has examined some of the causes of stock market volatility in India. This entire study has been broadly divided into two parts. The first part describes the growth and development of the stock market in India and various concepts involved in the study of volatility. A detailed review of the empirical studies has also been made in this section. However, the second part of the study is, mainly concerned about the empirical analysis of different factors responsible for the stock market volatility in India. In order to carry out the study, the various literatures were extensively reviewed. At last, on the basis of research gap, availability of resources and time factor, it was decided to study the causes of stock market volatility from four different dimensions. Each of the dimensions has been converted into objectives of the study. To accomplish the objectives, data relating to the Nifty, Sensex, macroeconomic variables, dividend policy variables and share price data of sample companies have been collected from different databases. The study period spreads over twenty two years.i.e. from 1996-97 to 2017-18. For the purpose of analysis, statistical and econometric tests like descriptive statistics which includes mean, median, standard deviation etc., stationery tests, serial correlation test, arch test, regression analysis and different GARCH class models have been used. newline newline