Indian Stock Market Movements, Structural Breaks and Volatility
The investigation in the study discerns that there is significant volatility in the market with presence of risk premium. There is asymmetric impact. The market responds more to the negative shocks. Past volatility affects the market. While the presence of volatility is established, it remains to examine the origin of such volatility. It looks for the possible volatility transmission channel for the Indian stock market in the Indian sectors as well as in the global market.