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Stock Market Asymmetry and Investors’ Sensation on Prime Minister: Indian Evidence

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  • Subrata Roy

Abstract

This study empirically examines the growth of return, volatility shocks, market efficiency and investors’ sentiment on prime ministers during their administration as a prime minister. Thus, various volatility forecasting measures are applied. It is observed that BSE return does not follow a random walk and inefficient during their tenures as a prime minister. ARCH measure confirms about volatility clustering. According to the EGARCH measure leverage effect does not exist, but the presence of this effect based on TARCH during the tenure of few prime ministers. Finally, the investors are trustful to those prime ministers who are elected from the Indian National Congress according to the growth of return.

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  • Subrata Roy, 2020. "Stock Market Asymmetry and Investors’ Sensation on Prime Minister: Indian Evidence," Jindal Journal of Business Research, , vol. 9(2), pages 148-161, December.
    • Handle: RePEc:sae:jjlobr:v:9:y:2020:i:2:p:148-161
    DOI: 10.1177/2278682120968970
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