International Events & Volatility in Indian Stock Markets: A GARCH Model Study

Abstract

A very crucial role is played by the stock markets in the financial system of a country. Stock markets somewhere represent the health of the economy. There are various factors which fluctuate the stock markets. The Indian economy plays an important role in the global economy.  In the present era Foreign Institutional Investors (FIIs), Foreign Direct Investment (FDI) & reforms in the market are increasing the market inflows and outflows. The international funds move from one market to another market. The stock markets are affected to a large extent by the global factors and events. The stock markets are represented in the present analysis by BSE Sensex. The paper explores the impact of international events on the stock market volatility in India. The various GARCH models have been used in the research work of the paper to analyze the impact of international events on the stock market volatility in India.