VOLATILITY IN THE INDIAN STOCK MARKET: A CASE OF INDIVIDUAL SECURITIES

The present paper is an attempt to examine the volatility in the individual stocks listed at NSE using daily closing prices of 29 selected companies. The companies have been selected from the list of S&P CNX Nifty covering the period from 1996-97 to 2006-07. The data have been analyzed by working standard deviation of daily returns. The study reveals that ACC, HDFC, ITC, MTNL, SBIN and SIEMENS have been comparatively less volatile than other securities. On the other hand, the securities viz. BAJAJAUTO, DRREDDY, GLAXO GRASIM, HDFCBANK, INFOSYSTCH, M&M, ONGC, TATAPOWER and VSLN were highly volatile during the period of study. Further, the study, finds that the period after 2000-01 has registered comparatively less volatility than preceding period.Volatility, Daily Return, Inflationary Pressure, Investors, Fluctuation, Risk, Indices, Trade Size, Standard Deviation, Securities

The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk

The aim of this study is to analyze the relevance of recently developed news-based measures of economic policy and equity market uncertainty in causing and predicting the conditional quantiles of crude oil returns and risk. For this purpose, we studied both the causality relationships in quantiles through a non-parametric testing method and, building on a collection of quantiles forecasts, we estimated the conditional density of oil returns and volatility, the out-of-sample performance of which was evaluated by using suitable tests. A dynamic analysis shows that the uncertainty indexes are not always relevant in causing and forecasting oil movements. Nevertheless, the informative content of the uncertainty indexes turns out to be relevant during periods of market distress, when the role of oil risk is the predominant interest, with heterogeneous effects over the different quantiles levels.http://www.elsevier.com/locate/physa2019-10-01hj2018Economic

Barrier modification in sub-barrier fusion reactions using Wong formula with Skyrme forces in semiclassical formalism

We obtain the nuclear proximity potential by using semiclassical extended Thomas Fermi (ETF) approach in Skyrme energy density formalism (SEDF), and use it in the extended $\ell$-summed Wong formula under frozen density approximation. This method has the advantage of allowing the use of different Skyrme forces, giving different barriers. Thus, for a given reaction, we could choose a Skyrme force with proper barrier characteristics, not-requiring extra ``barrier lowering" or ``barrier narrowing" for a best fit to data. For the $^{64}$Ni+$^{100}$Mo reaction, the $\ell$-summed Wong formula, with effects of deformations and orientations of nuclei included, fits the fusion-evaporation cross section data exactly for the force GSkI, requiring additional barrier modifications for forces SIII and SV. However, the same for other similar reactions, like $^{58,64}$Ni+$^{58,64}$Ni, fits the data best for SIII force. Hence, the barrier modification effects in $\ell$-summed Wong expression depends on the choice of Skyrme force in extended ETF method.Comment: INPC2010, Vancouver, CANAD