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Research Journal of Humanities and Social Sciences
Year : 2019, Volume : 10, Issue : 2
First page : ( 479) Last page : ( 483)
Print ISSN : 0975-6795. Online ISSN : 2321-5828.
Article DOI : 10.5958/2321-5828.2019.00079.2

Measurement of time varying Volatility and its relation with noise Trading: A Study on Indian Stock Market using Garch Model

Ms. Savita1,*, Dr. Dhameja Suresh Kumar2

1Research Scholar, IKG-Punjab Technical University, Kapurthala

2Dean, Academics and International Affairs, Head, Department of Entrepreneurship Development and Industrial Coordination, (National Institute of Technical Teachers Training and Research), Chandigarh

*Corresponding Author Email: 102savita@gmail.com

Online published on 25 July, 2019.


Indian stock market has seen so many changes during last two decades. The role of behavioural finance has also emerged in the last few years. Thus, keeping in view the importance of behavioral finance the impact of noise trading has been checked. The present study is conducted to examine the impact of noise trading on volatility of Indian stock market specifically in equity market and has considered Nifty 50, Nifty 100 and Nifty 100 Liquid 15 indices of NSE (National Stock Exchange) for a period of approximately a decade, i.e., January 2007 to December 2017. For the alleged purpose, a total of 2501 daily observations of closing value of banking companies of Nifty 50 have been considered for all empirical tests for the study period. GARCH model has been applied to study the impact of noise trading on banking stocks of Nifty 50. The results indicate that the behaviour is not found to be same for all the companies. These results will be helpful for traders in identifying the stocks which are popular among the noise traders. The price movement in these stocks is not efficient due to the involvement of noise traders.



Noise trading, ARCH, GARCH, Indian Stock Market, Volatility.


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