文章基本信息

标题：Measurement of Sectoral Indices Volatilty with Reference to Bombay Stock Market
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作者：Goutam Tanty ; Pramod Kumar Patjoshi
期刊名称：International Journal on Research and Development : A Management Review
印刷版ISSN：2319-5479
出版年度：2016
卷号：5
期号：3
页码：4-10
出版社：Institute for Research and Development India
摘要：The Measurement volatility in the stock return is an integral part of stock market with the alternating bull and bear phases. In the bullish market, the share prices soar high and in the bearish market share prices fall down and these ups and downs determine the return and volatility of the stock market. Volatility is a symptom of a highly liquid stock market. In this study, the sector-based index is designed to provide a single value for the aggregate performance of a number of companies representing a group of related industries or within a sector of the economy. The index is based on a statistical compilation of the share prices of a number of representative stocks. It also creates the basis for portfolio trading by both active and passive investors.The Sector-based index is designed to provide a single value for the aggregate performance of a number of companies representing a sector of the economy. This study is an attempt to provide an empirical support to identify the risk factors in sectoral indices and BSE SENSEX index and also to see the risk relationship in different time intervals. This provided the data that is better refined than an individual selecting few organisations representing the industry. for the period from 01/01/2004 to 31/03/2015. The data has been taken from the official website of Bombay stock exchange. The results show that there is a significant difference in the mean scores of various time intervals. The results exhibit important implications to individual investors and portfolio managers in terms of reducing portfolio risk and enhancing their returns
关键词：ARCH;GARCH; ARMA; BSE & sectoral ; indices