Comparative Analysis of Market Volatility in Indian Banking and IT Sectors by using Average Decline Model

Kirti Arekar and Rinku Jain
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Kirti Arekar: K.J. Somaiya Institute of management Studies & Research, Mumbai, India
Rinku Jain: K.J. Somaiya Institute of management Studies & Research, Mumbai, India

Economics and Applied Informatics, 2017, issue 3, 20-25

Abstract: The stock market volatility is depends on three major features, complete volatility, volatility fluctuations, and volatility attention and they are calculate by the statistical techniques. Comparative analysis of market volatility for two major index i.e. banking & IT sector in Bombay stock exchange (BSE) by using average decline model. The average degeneration process in volatility has being used after very high and low stock returns. The results of this study explain significant decline in volatility fluctuations, attention, and level between epochs of pre and post particularly high stock returns.

Keywords: Volatility; Average decline of volatility; Volatility motion and volatility attention (search for similar items in EconPapers)
Date: 2017
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