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Asian Journal of Management
Year : 2018, Volume : 9, Issue : 1
First page : ( 80) Last page : ( 86)
Print ISSN : 0976-495X. Online ISSN : 2321-5763.
Article DOI : 10.5958/2321-5763.2018.00012.4

Corporate Governance and Indian Stock Market: A Study with Asymmetric Conditional Volatility Models

Kaushik Nikhil*

Research Scholar, Fellow Programme Management, Indian Institute of Forest Management, Bhopal, 462003

*Corresponding Author E-mail: nikhil.iifm14@gmail.com

JEL Classification: C22, C58, G34

Online published on 2 June, 2018.

Abstract

An efficient capital market needs improved quality as well as the quantity of information available to investors, which is possible by raising the principles of good corporate governance. Numerous studies showed its importance in the development of the stock market. To strengthen the trust of investors in companies Securities Exchange Board of India (SEBI) revised Clause 49 of the Listing Agreement of the Indian Stock Market which gets operationalized in October 2014. This study investigates the impact of revised Clause 49 on Indian stock market volatility using asymmetric conditional volatility models. For analysis, author considered return pattern of five indexes; S &P BSE SENSEX, S&P BSE AllCap, S &P BSE LargeCap, S&P BSE MidCap and S&P BSE SmallCap. The study is divided into two phases keeping revised Clause 49, 2014 as a benchmark; Pre-CG regulation period from January 1st, 2006 to September 30th, 2014 and Post-CG regulation period from October 1st, 2014 to March 31st, 2017. Results show that the revised Clause 49, 2013 helps to build the trust of investors for Small-Cap companies in Indian Stock Market.

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Keywords

Corporate Governance, Indian Stock Market, Asymmetric Conditional Volatility Model, Stock Market Volatility.

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