In this research paper, attempt has been made to explore the relation especially the causal relation between stock market index i.e. BSE Sensex and three key macro economic variables of Indian economy by using correlation, unit root stationarity tests and Granger causality test. Monthly data has been used from April,1995 to March, 2009 for all the variables, like, BSE Sensex, wholesale price in...

The present study aims at applying different methods i.e GARCH, EGARCH, GJRGARCH, IGARCH & ANN models for calculating the volatilities of Indian stock markets. Fourteen years of data of BSE Sensex & NSE Nifty are used to calculate the volatilities. The performance of data exhibits that, there is no difference in the volatilities of Sensex, & Nifty estimated under the GARCH, EGARCH, GJR GARCH, I...

Environmental concern is becoming an important invest theme for progressive investors the world over. Investors are opting to invest in organizations which utilize environmentfriendly technologies and business practices to reduce their carbon footprint. Such businesses are known as green businesses. Investors are preferring organizations which have environmental concerns built into their vision...

The present study is being contemplated with the objective of studying the degree of stock market integration. In this study, month-wise average prices of BSE-Sensex, NYSE, NASDAQ, S&P500, HangSeng, Nikkei225, SSE Composite index and FTSE100 have been selected. Multiple Correlations has been computed for the select stock market indices. Statistical Significance of the correlation has been teste...

The prime objective of the study is to identify the long-run and short-run relationship between Indian stock price viz., BSE SENSEX (hereafter named as BSE) and gold price (GOLD) in India. The daily closing price data were collected for the period of ten years ranging from 1st April 2004 to 31st March 2014 with 2490 observations. The study employed two models: Model one us...

the prime objective of the study is to identify the long-run and short-run relationship between indian stock price viz., bse sensex (hereafter named as bse) and gold price (gold) in india. the daily closing price data were collected for the period of ten years ranging from 1st april 2004 to 31st march 2014 with 2490 observations. the study employed two models: model one used gold as dependent v...

The present study emphasizes on a comparison study among the Mathematical modelsGARCH, Parkinson, Roger Sactchell & Artificial Neural Network models for calculating the volatilities of NSE & BSE. The performance of data exhibits that, there is no significant difference in the volatilities of Nifty & Sensex estimated under the Mathematical models & ANN models. Hence ANN model can be used more th...

The selection of a proxy for market portfolio in CAPM model remains one the most crucial steps its empirical use. This paper aims to check validity Indian and identify efficient portfolio. Incorrect this may lead inaccurate result even rejection when tested empirically. further emphasises importance selecting correct reviews why standard cap-weighted indices can be used as then which ofsuch ind...

We apply a recently developed wavelet based approach to characterize the correlation and scaling properties of non-stationary financial time series. This approach is local in nature and it makes use of wavelets from the Daubechies family for detrending purpose. The built-in variable windows in wavelet transform makes this procedure well suited for the non-stationary data. We analyze daily price...