EXPLORING THE RELATIONSHIP OF MULTIPLE TIME DURATION RETURNS, AND ANNUAL VOLATILITY INTER SE FOR VARIOUS INDICES ON THE NATIONAL STOCK EXCHANGE
DOI:
https://doi.org/10.47413/vidya.v3i1.341Keywords:
NIFTY-50, NSE Indices, Stock Market Volatility, Index ReturnsAbstract
Stock exchanges are the epicenter of any capitalistic and free market model economy and the variety of indices maintained by them serve as the barometer. NSE, the largest stock exchange in India maintains and publishes prices changes data for 87 stock indices constituted based on different themes, strategy, and sectors including the benchmark NIFTY-50. The main objective of this study is to understand relationship for returns of 1 month, 3 months, 1 year, 3 years, 5 years and 1-year volatility inter se. The study interestingly reveals that there is impact of quarterly returns of the indices on annual returns. On the contrary it is unaffected by monthly returns. On the volatility front short term returns were seen affected by annual volatility while long term returns did not with exception of 5 year figures.
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