A Study On Stock Market Return, Volatility And Correlation Analysis Among Indian & Asian Stock Markets

A Study on S&P 500 Index Stock Return and Volatility using ARIMA and GARCH Modeling

Since the great depression, the global economy has been facing a number of ups and downs. With the markets being built rapidly and crashing down in the other instant, elements that actually make up the skeleton of the international economy seems to have correlated variables. These variables seems to have been correlated with each other in numerous combinations and their correlation is what makes the market fluctuate. The volatility of the global market becomes more apparent in times of recession when the correlation between variables like stocks, bonds, US dollar, Euro, gold and oil becomes more apparent. Therefore, it is of paramount importance that these correlated variables should be studied with a very keen eye. Since the link between currencies, commodities, stocks an bonds runs very deep, change in any one of them seems to have a profound impact on the rest hence changing the face of the market.

As indicated by the case study S&P 500 index was use as a measure of the total return for the stock market. Our standard deviation of the total return was used as a one measure of the risk of an individual stock. Also betas for individual stocks are determined by simple linear regression. The variables were: total return for the stock as the dependent variable and independent variable is the total return for the stock. Since the descriptive statistics were a lot, only the necessary data was selected (below table.)

Some studies do examine the portfolio management along with the market volatility, impact however; the scope is often limited to a Bangalore. This study takes a look at the awareness of Mutual fund industries its growth in India. If one considers the transactions by domestic mutual funds (MFs) in the equity market an indicator of domestic investor participation in the stock market, domestic investors have been active participants in recent times. But the common perception that domestic investors lack market-moving influence is not entirely based on fact.

Fama and French employ the one month NYSE stocks between 1926 and 1885 from the CRSP database. They rebalance ten decile portfolios based on the market value, price per share times share outstanding. One-month equal weighted portfolio returns are calculated and compounded continuously. The nominal returns ae adjusted by the CPI, and then summed on long rum returns. The estimation method for the regressions of r(t, t+T) on r(t-T, t) is the OLS.

The analysis of this paper will derive the validity of the Fama and French (FF) model and the efficiency of the Capital Asset Pricing Model (CAPM). The comparison of the Fama and French Model and CAPM (Sharpe, 1964 & Lintner, 1965) uses real time data of stock market to practise its efficacy. The implication of the function in realistic conditions would justify the utility of the CAPM theory. The theory suggests that the expected return demanded by investors on a risky asset depends on the risk-free rate of interest, the expected return on the market portfolio, the variance of the return on the market portfolio, and

Mukhejee and Naka (1995): Author in his article says that relationship between Tokyo stock prices and six macroeconomic variables using a vector error correction model (VECM). Their study covered 240 monthly observations for each variable in the period from January 1971 to December 1990. The results of the study showed that the relationship between Tokyo stock prices, the exchanges rate, money supply and industrial production is positive, whereas the relationship between Tokyo stock price and inflation and interest rates is mixed.

The paper examines the emerging stock markets in BRICS countries based on the existing dependence structure and other global factors such as S&P index and the security prices

Investing in emerging markets offer tempting advantages to investors. The volatile economies of countries considered to be in this category have a potential for extraordinary returns. A caveat to investors considering opportunities in emerging markets are the presence of unstable governments, the chance of nationalization, poor property rights protection, and large swings in prices. Emerging markets are far from a sure thing. But, despite high individual risk, emerging markets can reduce portfolio risk. The volatile economies of these countries have such low correlations compared to the domestic market that they actually provide the greatest degree of diversification.

There is a long list of developed countries just as developing countries, but we will focus on England, Pakistan and their respective Stock Exchanges. The sole purpose of the report is to compare and contrast the stock

In the Stock Market, More number of efficiency is studied. Weak form efficiency of Indian capital market studies are supported.(Prusty , 2007 ; Mittal and Jain , 2009).Weak form efficiency of Indian capital market do not support by researcher (Pandey , 2003 ; Mishra , 2009). Weak form of efficiency does not rejected. In the Financial System stock market is very important Factor. In stock index future ,there is no significant volatility effect. A volatility index is for very short term volatility.

Behavior analysis of stock return attain more stockholder attention in the market research than any other factor. Among many other factors which are associated with stock return capital gain and dividend yield can be at higher significance level because it is often said that the survival of short term investment is due the capital gain factor and the long term investment is done for the sake of dividend yield.

Using a Capital Asset Pricing Model (CAPM), this research showed that stock price indices in the two countries indeed have a long-term and stable relationship with a clear causality going from the U.S. to Vietnam. Surprisingly, after augmenting the traditional theory with the exchange-rate volatility and applying a newly developed time-series econometric technique, Vietnamese stock market has been proved to be also affected by the foreign exchange market. This is a new transmission mechanism through which financial markets between the two countries are connected. The finding also hopes to redefine the famous Efficient Market Hypothesis (EMH), a cornerstone in finance.

3. The data for three stocks are given. The data are obtained from correlating returns on these stocks with the returns on these stocks with the return on the market index.

The Indian stock market is the vast and enormous marketplace for the institutional investors. The investment made by Foreign institutional investors paves a way for the growth and development of Indian stock market. The Indian stock market attains its new peak position by Foreign Institutional Investors. Hence this make the researcher to investigates the relationship between net investments by FIIs and return on BSE Index for the period from 1st Jan 2010 to 31st July, 2014 using monthly data. The results shows that there is a significant positive correlations between FIIs and return on BSE Index during the study period.