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Volatility In The Indian Stock Market: A Case Of Individual Securities

Author

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  • Raj Kumar
  • Kariom Gupta

Abstract

The present paper is an attempt to examine the volatility in the individual stocks listed at NSE using daily closing prices of 29 selected companies. The companies have been selected from the list of S&P CNX Nifty covering the period from 1996-97 to 2006-07. The data have been analyzed by working standard deviation of daily returns. The study reveals that ACC, HDFC, ITC, MTNL, SBIN and SIEMENS have been comparatively less volatile than other securities. On the other hand, the securities viz. BAJAJAUTO, DRREDDY, GLAXO GRASIM, HDFCBANK, INFOSYSTCH, M&M, ONGC, TATAPOWER and VSLN were highly volatile during the period of study. Further, the study, finds that the period after 2000-01 has registered comparatively less volatility than preceding period.

Suggested Citation

  • Raj Kumar & Kariom Gupta, 2009. "Volatility In The Indian Stock Market: A Case Of Individual Securities," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, vol. 1(1 (June)), pages 34-45.
    • Handle: RePEc:shc:jaresh:v:1:y:2009:i:1:p:34-45
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    More about this item

    Keywords

    Volatility; Daily Return; Inflationary Pressure; Investors; Fluctuation; Risk; Indices; Trade Size; Standard Deviation; Securities;
    All these keywords.

    JEL classification:

    • N75 - Economic History - - Economic History: Transport, International and Domestic Trade, Energy, and Other Services - - - Asia including Middle East

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