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VOL. 11, ISSUE 6 (2025)
Stock returns volatility of select nse – Listed automobile and engineering sector Stocks: An empirical study
Authors
Dr. Siddhartha Sankar Saha, Tapas Kumar Tripathy
Abstract
Stock returns volatility is a key factor influencing investment
decisions, portfolio management, and risk assessment in financial markets.
Global financial meltdowns have massive shock on different sectors as well as
on scripts returns. The study examines the volatility of stock returns for
selected automobile and engineering sector stocks listed on the National Stock
Exchange (NSE) of India based on time series dataset taking into consideration
of daily closing adjusted stock price from 2001-02 to 2015-16. The objective of
this paper is to study volatility design of daily stock returns. These sectors
play a crucial role in India’s economic development and are highly sensitive to
macroeconomic changes, policy decisions, and global market trends. The study
employs statistical and econometric models, including Descriptive
statistics, Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
models, T-GARCH and E-GARCH to examine historical stock price data of
selected NSE-listed companies. Main findings suggest that time varying
volatility behavior of Indian stock market may be due to recent global
financial meltdown which is originated from US sub-prime crisis. Also effect
captured by different models show that negative shocks have significant effect
on conditional volatility. Findings from this research will provide valuable
insights for investors, financial analysts, and policymakers by highlighting
risk factors and volatility trends within these key sectors.
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Pages:18-24
How to cite this article:
Dr. Siddhartha Sankar Saha, Tapas Kumar Tripathy "Stock returns volatility of select nse – Listed automobile and engineering sector Stocks: An empirical study". International Journal of Commerce and Management Research, Vol 11, Issue 6, 2025, Pages 18-24
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