An empirical analysis on volatility pattern of Bombay Stock Exchange (BSE) Patjoshi Pramod Kumar1,*, Faculty, Tanty Goutam2,* 1School of Management, Centurion University of Technology and Management, Jatni, Odisha, India 2Rourkela Institute of Management Studies, Rourkela, Odisha, India *Corresponding author) email id: *pramodpatjoshi@gmail.com,
*gautamtanti@gmail.com
Abstract Investment in stock market is exposed to uncertainties and diverse risks. The return to be produced in the forthcoming period is recognised as the predictable return. Unpredictability or volatility in stock market might be designated as the range of undertaking from the predictable level of return. Volatility is connected with the unpredictability and future uncertainty about the prices of different financial securities. So the stock market involves higher volatility means higher risk involved in the stock market. Therefore, this study involves studying the volatility pattern of Bombay stock market as well as the volatility pattern of Bombay Stock Exchange (BSE) 30 companies. This study also includes the impact of different BSE 30 companies on BSE Sensex. The study is based on daily closing price of different indices and companies to find out the daily returns. The daily return data for the analysis has been taken from the BSE website over a period of 16 years from 1 January 2000 to 31 December 2015. To achieve the above One Drive, different tools like descriptive statistics, correlation and regression have been adopted. With this, we have also used the GARCH model for the volatility analysis. Top Keywords Volatility, BSE Sensex, BSE 30 companies, Risk, Returns, GARCH Model, Correlation, Regression. Top |