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Synopsis For Indian Stock Market Volatility

This document provides an overview of a dissertation that analyzes stock market volatility in India relative to other major international markets. The dissertation aims to compare volatility in India's NIFTY index to benchmarks in the US, UK, Japan, and China. It will use statistical analysis methods like standard deviation and GARCH modeling to examine volatility patterns between emerging and developed markets. The study expects to find that factors like economic growth, valuations, commodity prices, foreign investment, and domestic/global risks influence volatility differently across markets.

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Harsha Kharidehal
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496 views5 pages

Synopsis For Indian Stock Market Volatility

This document provides an overview of a dissertation that analyzes stock market volatility in India relative to other major international markets. The dissertation aims to compare volatility in India's NIFTY index to benchmarks in the US, UK, Japan, and China. It will use statistical analysis methods like standard deviation and GARCH modeling to examine volatility patterns between emerging and developed markets. The study expects to find that factors like economic growth, valuations, commodity prices, foreign investment, and domestic/global risks influence volatility differently across markets.

Uploaded by

Harsha Kharidehal
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Synopsis for Indian Stock Market Volatility: An International Comparison

In partial fulfillment of the Dissertation In Semester - IV of the Master of Business Administration (July 2010 2012)

Prepared by SRIHARSHA K V 10SBCM0051

Under the Guidance of Dr. Soundara Rajan R

Bangalore

Introduction
1

The project report is being prepared on Indian Stock Market Volatility: An International Comparison. This report is helpful in understanding various terms related to stock market. It will also give us an opportunity to have complete idea about the

Volatility in the stock market, Understand about the technical and fundamental analysis in stock market and How trading is being done in stock market.

The project also helps us in following aspects Build understanding of central ideas and theories of stock market. Develop familiarity with the analysis of stock market. Furnish relevant material for understanding the environment in which trading decisions are taken. This project report can also act as a guide to investors in stock market.

Problem Definition
The main objectives of the project are

To study volatility in the stock market while taking NIFTY of National Stock Exchange India, S&P 500 of USA, FTSE 100 of UK, Shanghai Composite of China and Nikkei 225 of Japan by doing comparative analysis between Indian Stock Market with that of others

To study the factors which are making the stock markets volatile To furnish the relevant material for understanding the environment in which stock market fluctuations are occurring.

Scope: This can be used by investors, traders and other professionals as a supplement to their own research.

Hypotheses: This is the exploratory research which tries to show the factors that are making stock markets volatile. Any fluctuations in one stock market have an effect on the Indian stock market than that of domestic market. In the given volatile economic conditions the market is efficient to any news and information.

Research Methodology
Data used in the study is of secondary nature. Nifty, S&P 500, FTSE 100, Nikkei 225 and Shanghai Composite are the sources of information which describes widely about stock markets in India, US, UK, Japan and China . Here monthly prices of all the 5 indexes are taken for the study purpose for about a year from April 2011 to March 2012. In general, volatility pattern in emerging market is different from that of the developed markets. In this study, an attempt is made to examine volatility behavior across markets. The study begins by analyzing the time series of volatility. Standard deviation is used as a proxy for variability of stock prices. I will use descriptive statistics and ARCH model (Autoregressive conditional heteroskedasticity) and its extension GARCH model for studying volatility in the stock markets. The appeal of the ARCH model is that it captures both volatility clustering and unconditional return distributions with heavy tails. The estimation of GARCH model involves the joint estimation of mean and a conditional variance equation. The GARCH (1, 1) model which is stated as follows. Yt = xt + t Where the above is the conditional mean equation with xt being the vector of exogenous variables. The conditional variance 2t can be stated as follows. 2t = + 2t-1 + 2t-1 Where is a constant term, 2t-1 is the ARCH term and 2t-1 is the GARCH term

Expected outcomes
After comparing the Indian Stock Market with that of US, UK, Japan and China the outcomes that can be expected about the volatility in the Indian Stock Market are as follows economic growth of other countries, emerging market valuations, crude oil prices, Foreign Direct Investment, Capital Spending, Equity supply, Government policies, Politics, Domestic Risk, US Fed Interest Rates, Indian Industry growth.

References
i. Stock Market Volatility in Indian Stock Exchanges Dr.Mrs. Punithavathy Pandian, Professor, Dept of Commerce M.K. University, Madurai
4

Dr.Sr. Queensly Jeyanthi, Reader, Dept of Commerce J.A.College, Autonomous, Periyakulam, Theni Dist. ii. Recent Volatility in Stock Markets in India and Foreign Institutional Investors Parthapratim Pal iii. Measuring Stock Market Volatility in an Emerging Economy Rajni Mala Faculty of Business and Economics University of the South Pacific, Fiji Islands Mahendra Reddy Faculty of Business and Economics University of the South Pacific, Fiji Islands
iv. v. vi.

http://nseindia.com/ http://www.forexpros.com/indices/uk-100-historical-data http://www.standardandpoors.com/indices/sp-500/en/us/?indexId=spusa-500-usduf--p-usl-http://e.nikkei.com/e/app/fr/ei/index.aspx?type=16 http://www.sse.com.cn/en_us/ps/home.shtml

vii. viii.

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