International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
Since Year 2012 | Open Access | Double Blind Reviewed

ISSN: 2319-7064


Downloads: 148

Research Paper | Finance | India | Volume 9 Issue 6, June 2020


An Empirical Evaluation of Volatility and Causal Interlinkages of Mid-Cap Securities in Indian Stock Market

Padmashree V | K. B. Nalina


Abstract: A market index is said to be healthy when it is successful in adjusting the movements and reflecting the dynamics of changes in the market. The market ability should be able to accept and get along with the information provided simultaneously. In this context the current research article intends to find whether Mid-cap securities of Indian stock market are enough strong to adjust with the new information arrived at the market, meanwhile how sensitive or volatile does it express during the activity In intention of resolving these queries, selected indices from NSE - NIFTY Mid-cap 50, NIFTY Mid-cap 250 are considered as bench mark index the implied volatility of market is captured. The observation of frequency is purely based on the closing stock of these indices. Times series econometric tools, such as Granger Causality Test, VAR impulse response test, GARCH family model were applied for the studies and it was found that Mid-cap segments are not influenced by any broad market index and are more influenced by its own past prices. Further we could also find that there is bilateral causality between the implied volatility of the market and the Mid-cap indices.


Keywords: Volatility, NIFTY FIFTY index, GARCH model, VAR impulse response test, Granger Causality Test, Mid-cap


Edition: Volume 9 Issue 6, June 2020,


Pages: 38 - 44


How to Download this Article?

You Need to Register Your Email Address Before You Can Download the Article PDF


How to Cite this Article?

Padmashree V, K. B. Nalina, "An Empirical Evaluation of Volatility and Causal Interlinkages of Mid-Cap Securities in Indian Stock Market", International Journal of Science and Research (IJSR), Volume 9 Issue 6, June 2020, pp. 38-44, https://www.ijsr.net/get_abstract.php?paper_id=SR20527130622

Similar Articles with Keyword 'Volatility'

Downloads: 2 | Weekly Hits: ⮙1 | Monthly Hits: ⮙1

Analysis Study Research Paper, Finance, India, Volume 11 Issue 8, August 2022

Pages: 74 - 79

Impact of COVID-19 Waves on Indian Derivative Market: Special Reference to Financial Derivative Segment

Karkaria Dusmanta | Nigamananda Mohanty

Share this Article

Downloads: 9 | Weekly Hits: ⮙1 | Monthly Hits: ⮙1

Comparative Studies, Finance, India, Volume 11 Issue 5, May 2022

Pages: 26 - 31

Impact of COVID-19 Pandemic on Gold Price Volatility: Evidence from Indian Gold Market

Ashwitha Karkera N | Nalina K B | M G Krishnamurthy

Share this Article
Top