Год выпуска: 2012 Автор: Prawesh Singh Издательство: LAP Lambert Academic Publishing Страниц: 216 ISBN: 9783659226274
Описание
The movements of the stock prices and weather have often been clubbed together as an extreme in the field of prediction. This book attempts to study the nature and characteristics of a sample Indian stock market and the stocks that comprise it. The whole study is based on the comparative analysis of the performance of the market and the stocks during the times of economic instability with the performance during relative stability. We have made use of factor analysis in order to understand the underlying latent structure of the market. In order to study the behaviour of the individual firms we have considered two aspects – the lead-lag relationship and the volatility spillovers. We made use of the Granger Causality tests and Multivariate GARCH models, respectively, to this effect. Additionally, to study the market differences in the three phases we have made use of discriminant analysis. This is the first part of our study. In the second part, we have tried to separate a range of...
