Examining the Distributional Characteristics of Daily Returns of Nifty 50: Normality Assessment and Implications
Journal Title: International Journal of Current Science Research and Review - Year 2024, Vol 7, Issue 05
Abstract
This paper investigates the distributional characteristics of daily returns of the Nifty 50 index, a benchmark index comprising 50 large-cap stocks traded on the National Stock Exchange of India. Utilizing historical data spanning a specified time period, we conduct normality testing to assess the adequacy of the normal distribution assumption underlying many financial models. Our analysis provides insights into the departure from normality. As a result of departure from Normality, it may affect the tail behaviour, and volatility dynamics of Nifty 50 daily returns, offering implications for risk management, option pricing, portfolio management, and market efficiency. By synthesizing empirical findings with theoretical considerations, this research contributes to a deeper understanding of the statistical properties of Nifty 50 daily returns and informs practitioners in finance about the challenges associated with Modeling and analysing stock market data.
Authors and Affiliations
Sujata Suvarnapathaki,
Keywords
Related Articles
- EP ID EP735200
- DOI 10.47191/ijcsrr/V7-i5-38
- Views 65
- Downloads 0
Design of Constant Time Overcurrent Relay Single Phase Based on Arduino Uno
This research aiming for build and design a single phase constant time overcurrent relay (COTR) system based on Arduino Uno. COTR is a device protection used for protect equipment electricity from overcurrent. This syste...
Review of the Benefits of Green Roofs
Green roofs installed on rooftop of buildings in urban communities have multiple environmental, economic, energy and social benefits. They promote the urban sustainability and the well-being of the local residents. The i...
Toponym Typology of Temples in Tourist Destinations in Bali
This research analyzed the toponym categories utilized in naming temples and the variability in language employed in the process within tourist destinations in Bali. Through a comprehensive analysis of temple names, it e...
Overview of Strategic Supply Management of Oxygen for COVID- 19 Pandemic Patient Care in Sri Lanka
The immensurable COVID-19 pandemic has a ceaseless destabilizing effects on health systems, economies, and societies around the world. Total number of 671,756 positive cases have been reported in the country and 654,910...
Taxes and Unemployment in the Asean Countries
This study has inspired us to understand the relationship between taxes and unemployment in ASEAN countries. Taxes are one of the sources of government development funding, including human development. The purpose of thi...