International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
Open Access | Fully Refereed | Peer Reviewed

ISSN: 2319-7064


Downloads: 146

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 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), https://www.ijsr.net/get_abstract.php?paper_id=SR20527130622, Volume 9 Issue 6, June 2020, 38 - 44

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