Volatility Behaviour in selected Sectoral Indices of Indian Stock Markets Mallikarjuna M.*, Rao R. Prabhakara** *Doctoral Research Scholar, Department of Economics, Sri Sathya Sai Institute of Higher Learning, Prashanthi Nilayam, Andhra Pradesh, India **Professor and Head, Department of Economics, Sri Sathya Sai Institute of Higher Learning, Prashanthi Nilayam, Andhra Pradesh, India Online published on 13 February, 2017. Abstract Behavior of stock market volatility is one of the important research areas in financial studies. Several studies have been conducted by researchers, financial analysts and academicians to model the volatility. However, Uncertainty in financial markets makes the policy decisions challenging to the policy makers. Moreover, the knowledge of sectoral characteristics is much useful for investment decision making. The objective of this study is to understand the volatility behavior of sectoral indices of Indian stock markets, using daily data of selected sectoral indices of the BSE viz. AUTO, BANKEX, FMCG, IT, HEALTHCARE and ENERGY for the period, 4th January, 2010 to 30th October, 2015. These indices were modeled under the GARCH framework. This analysis reveals the presence of characteristic features of asset returns such as volatility persistence in all the indices. The study also divulges the presence of asymmetries in volatility in four sectors namely, AUTO, BANKEX, IT and ENERGY. The leverage effects were found in three sectors namely, AUTO, BANKEX and ENERGY. Top Keywords Stock volatility, Sectoral Indices, Asset returns, GARCH models. Top |