Volatility Behaviour of Indian Stock Market: A Study with Special Reference to Sectoral Indices of Bse Dr Babu M.1, Hariharan C.2 1Assistant Professor, Bharathidasan School of Management, Bharathidasan University, Thiruchirappalli, Tamil Nadu, India 2Ph. D Research Scholar, Bharathidasan School of Management, Bharathidasan University, Thiruchirappalli, Tamil Nadu, India JEL Classification G1, G1 Online published on 2 May, 2018. Abstract In India, various sectors play a vital role in the growth and development of the economy. These sectors obtain their money from the public via stock markets. Share price of various sectors are influenced by various factors like economic, social, political, etc,. Hence investors are puzzled by certain sectors’ price movement and volatility in stock markets. In this connection, this study aims to investigate the volatility behaviour of Indian sectoral indices. The BSE was selected as the sample stock market of India on the basis of domestic market capitalization, which was obtained from the world federation of exchanges. From the BSE, twelve sectoral indices were selected, on the basis of turnover, during the study period, January 2012 to December 2016. The daily prices of selected sample indices were collected form official websites of BSE. Descriptive statistics, Augmented Dickey Fuller Test and GARCH (1, 1) Model were used to identify volatility among the sample indices. S&P BSE Healthcare and S&P BSE Bankex recorded moderate and high risk, with high return, during the study period. Hence this study suggests that investors of the Indian stock markets may focus on these indices for better return in future. Further, investors should watch the market movement before investing their money in stock markets. Top Keywords GARCH (1, 1) Model, Stock market, Sectoral indices, Volatility. Top |