Understanding the Volatility of Interest Rates of Government Securities vis-a-vis Stock Returns of Major Stock Indices of India-A Comparative Study

Pydi, Sai Goutham (2023) Understanding the Volatility of Interest Rates of Government Securities vis-a-vis Stock Returns of Major Stock Indices of India-A Comparative Study. Masters thesis, Indian Institute of Science Education and Research Kolkata.

Text (MS dissertation of Sai Goutham Pydi (18MS068)) Thesis_18MS068.pdf - Submitted Version Restricted to Repository staff only Download (848kB)

Abstract

The aim of the project is to study and compare the Volatility of interest rates of different maturities vis-a-vis stock market monthly returns in terms of NSE NIFTY100 and BSE SENSEX in India for the period of 1996-2022. The Interest rates for the short term are the 91-day Treasury bill and 364-day Treasury bill and for the long-term is the 10-year Government Security. The Interest rate data is also for the period of 1996-2022. The 91-day, 364-day, and 10-Year G-Sec series are seen to display higher persistence than the NIFTY and BSE SENSEX. Shocks in the G-Sec series have a lasting impact, taking more time to dissipate. In contrast, the NIFTY and BSE SENSEX exhibit lower persistence, recovering quicker from shocks. This finding suggests that fluctuations in the short-term and long-term government securities have a prolonged effect, while stock market indices demonstrate a relatively faster rebound.

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