TAILIEUCHUNG - A study on comparitive analysis of volatility of equity share prices for selected steel companies in India

This paper explain the stock market volatility at the individual script level and at the aggregate stock price level. The empirical analysis has been done by using Generalised Autoregressive Conditional Heteroscedasticity (GARCH) model. | A study on comparitive analysis of volatility of equity share prices for selected steel companies in India INTERNATIONAL JOURNAL OF MANAGEMENT IJM ISSN 0976-6502 Print IJM ISSN 0976-6510 Online Volume 7 Issue 2 February 2016 pp. 261-265 http ijm IAEME Journal Impact Factor 2016 Calculated by GISI A STUDY ON COMPARITIVE ANALYSIS OF VOLATILITY OF EQUITY SHARE PRICES FOR SELECTED STEEL COMPANIES IN INDIA Dr. M. A. Shakila Banu Assistant Professor in Management Studies Jamal Institute of Management Jamal Mohamed College Autonomous Trichy-620007 K. Saranya Assistant Professor Department of Commerce Jamal Mohamed College Autonomous Trichy-620007 ABSTRACT This paper explain the stock market volatility at the individual script level and at the aggregate stock price level. The empirical analysis has been done by using Generalised Autoregressive Conditional Heteroscedasticity GARCH model. It is based on daily data for the time period from January 2015 to December 2015. The analysis reveals the same trend of volatility in the case of aggregate stock price and two different steel company. The GARCH 1 1 model is persistent for the two company share price. Key words GARCH Stock Market Volatility Equity Share Price. Cite this Article Dr. M. A. Shakila Banu and K. Saranya. A Study on Comparitive Analysis of Volatility of Equity Share Prices for Selected Steel Companies in India. International Journal of Management 7 2 2016 pp. 261-265 http IJM 1. INTRODUCTION Volatility is a theoretical construct. Models for volatility often use an unobservable variable that controls the degree of fluctuations of the financial return process. This variable is usually called the volatility. Generally two different volatility models will lead to different concepts of volatility. In finance volatility is a measure for variation of price of a financial instrument over time. Historic volatility is derived from time series of past

• Đầu tư Chứng khoán
• Stock market volatility
• Aggregate stock price level
• Generalised Autoregressive Conditional Heteroscedasticity
• Case of aggregate stock price
• Volatility models
• Volatility forecasts
• Forecasting performance
• Stock market
• Forecasting stock return volatility
• Monthly stock market volatility on economic growth in Nigeria
• Monthly stock market volatility
• Economic growth in Nigeria
• Non macroeconomic factors
• Investors must embrace macroeconomic
• Financial market stability
• Financial market volatility
• Stock index futures
• Stock index futures trading
• Volatility impact of stock index
• Indian stock markets
• BSE several statistical tests
• Stock Volatility in Top Industries
• He modelling of stock market volatility
• Measure of risk
• Panel data
• Several macroeconomic
• Financial variables
• Garch models
• Asymmetric variation
• Asymmetric Garch models
• Market volatility
• KLCI Futures
• Empirical approach
• GST implementation
• Malaysian stock market index volatility
• Asset price volatility
• Vietnam stock market
• Value at risk
• Estimate market risks
• Risk management models
• Oil volatility
• Oil import price
• Conditional mean
• Conditional variances
• Simultaneous equations model
• Multivariate GARCH
• Oil price
• Volatility spillover
• Stock markets in G7 countries
• Risk management
• Exchange rate
• Volatility shifts
• Spillover effects
• Bond market
• Cross listing
• Market segmentation
• Chinese stock markets
• Perfectly segmented market
• Volatility and liquidity
• Volatility transmission
• Causality in variance
• Conditional correlations
• Oil prices
• Sector indexes
• Portfolio decisions
• Ownership restriction
• Noise trading
• Price volatility
• Information and noise trading
• Doctoral thesis summary
• Research on the stock prices
• The stock prices synchronicityof listed companies
• Share price volatility
• Conditional variance covariance matrix
• Volatility timing
• Asset allocation
• Economic value
• Vietnamese stock markets
• The role analysis of accrual management
• Loss loan provision factor
• Fair value accounting to earnings volatility
• The Stock Exchange of Indonesia Website
• Indonesia Capital Market
• The accrual management role
• Stock exchange
• Conditional volatility
• Exchange rate
• Interest rate
• Monetary policy
• Information spillover effect
• GARCH model
• Rates of return
• Volatility of return rate
• Modern Jungle
• Intraday Volatility
• Action Plan
• Market Indicators
• Global Factors
• Seasonality and Cycles
• Pediatric
• Hemato Oncology
• Thalassemia Disorders
• Neuroblastoma and Whole
• Genome Searches
• Neuroblastoma
• Macroeconomic variables
• Equity returns
• Macro series announcement
• Return volatility
• Tunisian financial market
• Google trends
• Search engine
• Investor attention
• Stock illiquidity
• Stock volatility
• Share Valuation Theories
• Dividend Irrelevancy
• Dividend Policy
• Traditional Finance Theory
• Conclusions