Associate Professor, Department of Commerce, University of Gour Banga, Malda, India
In post liberalisation period, the Indian equity market has become more integrated with other developed and emerging markets in the world. As a result of this increased integration among stock markets internationally, the return volatility in other markets put a significant impact on the volatility in the Indian market. The National Stock Exchange (NSE) introduced a volatility index in 2008 called the ‘India Volatility Index’ or ‘India VIX’ to measure particularly implied volatility for the Indian market. India VIX is calculated from near-term order book in ‘at-the-money options’ on the CNX Nifty 50 index. This paper is an attempt to explore the idea of Volatility Index (VIX) and India VIX on the basis of secondary data.
Integration, liberalisation, Nifty, stock market, Volatility Index (VIX)
