ISSN (Print) - 0012-9976 | ISSN (Online) - 2349-8846

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Stock Market VolatilitySubscribe to Stock Market Volatility

Impact of State Intervention in Oil Pricing on Stock Market Volatility

Vol. 57, Issue No. 6, 05 Feb, 2022
Vaibhav Aggarwal, Mrityunjay Kumar Tiwary

The Indian economy deregulated its oil price regime and moved from state-administered to market-linked pricing. This study examines the impact of deregulation on volatility transmission between international oil prices and Indian stock markets. The findings show that due to continual interventions in the form of taxation changes and price freeze during elections, not only did the short-term spillover of oil prices on stock markets strengthen, but the long-term spillover also continues to remain, despite oil price deregulation. This implies that after moving to market-determined pricing, there should be no tinkering with the oil-pricing mechanism by policymakers to ensure the desired stability in stock markets.

 

FII Trading Activity and Intraday Volatility

Vol. 51, Issue No. 12, 19 Mar, 2016
V Ravi Anshuman, Rajesh Chakrabarti, K Kiran Kumar

This paper investigates whether the trading activity of foreign institutional investors adversely affects (intraday) volatility in the Indian stock markets. It reports that aggregate trading activity of FIIs dampens market volatility whereas aggregate trading activity of domestic investors exacerbates volatility. Further, the paper finds that positive shocks in aggregate trading activity have a greater impact than negative shocks; this asymmetry is stronger for aggregate domestic trades. Using a proprietary data set, the paper also relates individual stock volatility to tick-by-tick transaction volume, conditional on trader type and transaction type. The intraday results show that trading among FIIs does not increase stock volatility, but when FIIs sell to domestic clients or when domestic clients trade amongst themselves, volatility increases.

Stock Market Development in India

Vol. 36, Issue No. 04, 27 Jan, 2001
B Kamaiah, Pratap Chandra Biswal

This paper addresses an important question of what happened to the Indian stock market following financial liberalisation. Considering three stock market indicators, viz, size, liquidity and volatility, and applying two time series trend break techniques of Perron on monthly data of Bombay Stock Exchange, it has been found that the Indian stock market grew and became more liquid after liberalisation. However, in respect of volatility the market had not exhibited any significant changes.

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