TITLE

The Effect of Economic Indicators on the Volatility of Indian Stock Market: Using Independent Component Regression

AUTHOR(S)
Chakrabarty, Ranajit; Sarkar, Asima
PUB. DATE
October 2013
SOURCE
Journal of Contemporary Research in Management;Oct-Dec2013, Vol. 8 Issue 4, p1
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
This paper studies the impact of economic indicators on the volatility of the Indian stock market. Volatility of the most characterizing indicator of the Indian stock market i.e. Nifty has been calculated by using a GARCH (1,1) model. Twelve economic indicators have been taken to see the effect of them on the GARCH volatility of the Indian stock market indicator i.e. Nifty. Since for GDP, only quarterly data is available, for rest of the indicators quarterly average have been taken for the study. While using the linear regression model taking GARCH Volatility of Nifty as the dependent variable and the 12 economic indicators as the independent variables, multicollinearity among most of the economic indicators (7 out of 12) is experienced, so it is not possible to drop all of these variables. Analyzing the data it has been found that no economic indicators are following Normal distribution. To eradicate the multicollinearity, an Independent Component Analysis (ICA) has been adopted to get the independent components of those economic indicators which are showing high multicollinearity. After having the independent components of those 7 economic indicators, a linear regression model has been fitted to the data. It has also been seen that GDP is significant neither in the linear regression model before ICA nor after ICA. So, it is judicious to drop this independent variable (GDP) so as to increase the number of data points, since rest of the variables are having monthly data points. After taking the monthly data of the rest of the 11 indicators, the same set of analyses have been performed and has been seen that the result of the Independent Component Regression has been improved
ACCESSION #
94751992

 

Related Articles

  • An Evaluation Forecasting Techniques in Kuala Lumpur Stock Exchange (KLSE) Finance. Ong Tze San; Lim Hwee Chen; Teh Boon Heng // International Journal of Business Management & Economic Research;2011, Vol. 2 Issue 6, p382 

    The major conflict is regarding the quality of existing literatures in stock market. Evidence shows that some researchers' supports on incorporating complexity forecasting models while some of them support applied simple forecasting model in forecasting. Up to now the existing studies still far...

  • Noise Cancellation of Ocular and Muscular Artifacts from EEG Signals Based on Adaptive Filtering. Geetha, G.; Geethalakshmi, S. N. // International Journal of Computer & Electrical Engineering;Oct2012, Vol. 4 Issue 5, p785 

    The Electroencephalogram (EEG) is a useful tool for clinical diagnosis. Artifacts in EEG records are caused by various factors like line interference, Electro-oculogram (EOG), Electro-Cardiogram ECG, Electromyogram EMG. These noise sources increase the difficulty in analyzing the EEG and for...

  • STOCK MARKET DIFFERENCES IN CORRELATION-BASED WEIGHTED NETWORK. YOUN, JANGHYUK; LEE, JUNGHOON; CHANG, WOOJIN // International Journal of Modern Physics C: Computational Physics;Nov2011, Vol. 22 Issue 11, p1227 

    We examined the sector dynamics of Korean stock market in relation to the market volatility. The daily price data of 360 stocks for 5019 trading days (from January, 1990 to August, 2008) in Korean stock market are used. We performed the weighted network analysis and employed four measures: the...

  • Volatility Still Reigns. Larson, Paul // Morningstar StockInvestor;11/15/2008, Vol. 8 Issue 5, p26 

    The article focuses on the volatility of the U.S. stock market in which the S&P 500 was down "only" 7% for the week, putting the S&P 500 with a year-to-date negative return of close to 40%. It says the problems in economy are still building up although the meltdown in the financial system has...

  • Sector Focus: US equities: Despite market volatility last year, it is believed the US could grow at a moderate pace in 2020. Richards, Charlotte // Money Marketing (Online Edition);1/28/2020, p1 

    The article provides an outlook for U.S. equities in 2020. Topics covered include the possibility that the Federal Reserve will not make any monetary policy changes and will keep interest rates low until the November 2020 election, the potential impact of election results on equities in Great...

  • AN ANALYSIS OF THE ADVANCE-DECLINE LINE AS A STOCK MARKET INDICATOR. Zakon, Alan J.; Pennypacker, James C. // Journal of Financial & Quantitative Analysis;Sep68, Vol. 3 Issue 3, p299 

    The article presents a study on the forecasting power of the Advance - Decline line as a leading indicator of price changes in the stock market. In this study, Advance-Decline lines covering two different time periods, September 6, 1966 to October 29, 1967, and weekly data from April 11, 1963 to...

  • Long-term relationship between political behavior and stock market return: new evidence from quantile regression. Wang, Yi-Hsien; Hung, Jui-Cheng; Kao, Hsiu-Hsueh; Shih, Kuang-Hsun // Quality & Quantity;Oct2011, Vol. 45 Issue 6, p1361 

    The stock market is an extremely sensitive and comprehensive indicator of the fluctuating political climate as well as investor confidence. Therefore, in an era of fierce media competition, the long-term influence of political behaviors on the Taiwan stock market is an important issue. However,...

  • UŽSIENIO INVESTICIJŲ SÄ„SAJŲ SU EKONOMINIAIS LŪKESÄŒIAIS VERTINIMAS LIETUVOJE. Pekarskienė, Irena; Laskienė, Daiva // Economics & Management;2012, Vol. 17 Issue 4, p1390 

    Under current globalization and financial integration conditions, international capital is increasingly exported and imported in the form of foreign investments. In most cases foreign investments from one country to another are transferred by foreign direct investments. Besides foreign direct...

  • Conditional Conservatism of Aggregate Accounting Earnings. Dongkuk Lim; Kenneth Zheng // Accounting & Finance Research;Nov2014, Vol. 3 Issue 4, p115 

    Using both the Basu (1997) model and the Ball and Shivakumar (2006) models, we examine whether or not conditional conservatism is observed at the aggregate level. We find some evidence consistent with conditional accounting conservatism at the aggregate level. Our results show that the slope...

Share

Read the Article

Courtesy of THE LIBRARY OF VIRGINIA

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics