Stock Price Volatility in NSE Indices: Post Finance Crisis

The extent of the global financial crisis during 2008 was hasty, and wedged the functioning and the enactment of financial markets. After the financial crisis markets were recovering and reckoning its pace in development. Due to the importance of this phenomenon, this study aims to explain the impact of the crisis on stock market behaviour through the study of the price volatility in various sectoral indices in NSE (National Stock Exchange). This paper investigates the patterns of linkage dynamics among three sectoral indices of NSE - CNX Auto, CNX Bank, CNX Pharma and NSE index -Nifty 50 between 2009 and 2015, by analysing the equity returns and price volatility in these indices post financial crisis using daily closure price. We apply the GARCH (1, 1), EGARCH (1, 1) and TGARCH (1, 1) framework to selected representative stock indices. The analysis indicates a long persistence of volatility in selected indices after the financial crisis in 2008. As a result of the analysis, the selected indices are modelled using TGARCH, which will be eventually used for forecasting the progress of the selected indices in the upcoming years. These findings have significant indications for both policymakers and investors by contributing to better insight the volatility of financial stocks in India especially NSE.