An analytical study on return and volatility of Indian stock market
Mehul Chandnani, Nisarg Shah
The current study has analyzed the volatility in the return of BSE sensex for period of 7 years from 1 November 2011 to 31 October 2018. It aims at describing the extent of volatility of BSE sensex and companies from specific indices. Statistical tools used for the purpose of study are written in the context of daily return on closing price and measure of volatility of intraday by mention open to open and close to close volatility and measure of intraday volatility. As index gives the idea of the aggregate performances of number of companies representing the market. The BSE sensex is considered for the study an individual stock of IT sector are also taken into the consideration. From the study it was found that highest volatility in BSE sensex was during 2011-12 with standard deviation of 1.06 constant from year 2012-13. The intraday stocks were found more volatile than the market index BSE sensex. However, intraday trading stocks are found less volatile in comparison with sensex. Stocks of IT sector were relatively less risky than Index and highest volatility was observed during the year 2011-12.