An Empirical Investigation on the Stock Market Volatility using TGARCH Model with Special Reference to BRIC Countries

Abstract

Investors in the BRIC countries have found the tough line of attack that economic development may not convert into stock market gains, and several analysts criticize problems with corporate governance in Russian and Chinese markets. Against this milieu, the purpose of this paper is to develop and examine the conditional volatility models in an attempt to confine the prominent features of volatility in stock markets in BRIC countries. A popular econometric technique namely TGARCH models has been employed to study the behavior of volatility of Stock markets in BRIC Countries. Results reveal that India reflects a high degree of volatility of series returns among the BRIC countries. Although the Indian stock market has extended its operation in the post-liberalization era, about volatility the market has not established any significant transform. This long-lasting volatility in the stock market has been a disappointing issue for retail investors to invest in equity markets. Due to high volatility, new clients are afraid to burn their fingers and existing investors are uncomfortable in roiling their portfolio in India. The social cost connected with high volatility was heavy. Authentic investors lost buoyancy and departed from the market. Credit rating agencies act as a driver of stock market volatility.