Dynamics of stock volatility and opportunity for returns in Indian Mid-Cap stocks

Jatin Trivedi; Amol Gawande

Volume : VI, Issue : IV, April - 2017

Dynamics of stock volatility and opportunity for returns in Indian Mid-Cap stocks

Jatin Trivedi, Amol Gawande

Abstract :

Mid-cap stocks represent the company structure which established well and performing at steady and standard level towards growth. In general, Mid-cap covers the companies with market capitalization from $2 billion to $10 billion. Such stocks assumed to be more volatile and riskier compared with large-cap stocks. This research work investigates the volatility, risk and investment prospects by forecasting volatility, presence of leverage effects and forecasting impact of news on stock market. We select NIFTY Midcap 50 index for computing process and employ exponential generalized autoregressive conditionally heteroskedasticity model (EGARCH) and GJR-GARCH. Main results indicates presence of strong and persistent volatility, presence of leverage effects and financial asset returns of NIFTY Midcap 50 captures strong impact of negative news at greater magnitudes.