Fundamental Drivers of Indian Stock Market

Rubina Barodawala () and Diksha Ranawat ()
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Rubina Barodawala: The Maharaja Sayajirao University of Baroda
Diksha Ranawat: The Maharaja Sayajirao University of Baroda

Chapter Chapter 5 in Current Issues in the Economy and Finance of India, 2018, pp 69-86 from Springer

Abstract: Abstract The paper sketches historically the emerging Indian stock market economy from the birth of the Bombay stock exchange and the National stock exchange to the present. It focuses on analyzing the return properties of securities on the stock market using higher moments of the return distribution viz., skewnessSkewness and kurtosisKurtosis . This is in recognition of the fact that return distributions are not normally distributed as assumed by Standard Mean-Variance portfolio models. Consequently, it would help the investors in their forecast of market risk and portfolio adjustments with the help of studying these higher moments to access the risk and return trade-off. This particular analysis, which tests for the significance of higher moments, is likely to yield a deeper insight into the dynamics of stock market crises and booms. Moreover, the attempt here is to describe the stylised facts at a fundamental level to comprehend the extent of diversion from the normal and the reason’s causing the difference. Thus, when the fluctuating nature of Indian stock market is correlated with these rudimentary factors it would yield a model of the risk factors of the stock market in different phases of the market.

Keywords: Booms and crises in the Indian stock markets; Skewness; Kurtosis; Macroeconomic variables (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/978-3-319-99555-7_5

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