An Analytical Study of Movement of Stock of Automobile Industry in National Stock Exchange Since 2000

Abstract

Stock market is a Place where various securities are bought and sold by potential investors to generate the good returns. In stock market we see a movement in price of stocks. These movements of stocks predict the value or price for the stocks. Highly volatile stocks will show high movement by huge fluctuation or change in their buying and selling frequency. The most preferred techniques used to analyze the volatility of stock return in econometrics are to know the Arch (Auto-Regressive Conditional Heteroskedasticity) effect in time series data. To analyze the volatility of return- regression method ARCH and ARIMA model (Auto-Regressive Integrated Moving Average) are used by the researcher. The current study is focused on selecting the best modeling tool to analyze the volatility of return for selected Automobile Companies. newlineThe study is divided into seven chapters .The first chapter includes introduction and it also include the basic information about selected Automobile Companies. In chapter two review of literature are divided in to three categories. Literature related to Automobile Industry, literature related to stock market and literature related to the application of ARCH/GARCH model. Third chapter presents the study of legal provisions of stock market which are framed by SEBI.Fourth chapter examines the relationship between NIFTY AUTO INDEX and selected Automobile Companies by using the regression, correlation and granger causality test. Chapter fifth covers a creation of ARCH (Auto-Regressive Conditional Heteroskedasticity) model to analyze the volatility of return of selected Automobile Companies by creating an ARIMA (Auto-Regressive Integrated Moving Average model). Our six chapter related to primary data, for which questionnaire has been framed to identify the general perception of stakeholders regarding the investment in Automobile Sector. Finally chapter seven provides the finding and conclusion. The study of this topic will be beneficial to various groups of people. Firstly, it will be beneficial for the practitioners, investors and beneficial to the government in formulation of polices and strategies. newline newline