SENSEX Price Fluctuation Forecasting Comparison Between Global Indices and Companies Making It

SENSEX Price Fluctuation Forecasting Comparison Between Global Indices and Companies Making It

Aviral Sharma, Vishal Bhatnagar, Abhay Bansal
Copyright: © 2018 |Pages: 15
DOI: 10.4018/JGIM.2018070107
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Abstract

This article describes how the stock markets form the pivot point in any economy and the health of the economy is depicted by the major indices of that market. These indices tell the overall working of the markets. SENSEX of the sensitivity index of Bombay Stock Exchange (BSE) and is one of the major stock indices traded in India which is impacted by a large number of global and domestic factors. A fall in the stock market of the United States of America or any other global market triggers a change in SENSEX as well. Thus, showcasing the high-end correlation between global markets. In this article, the authors are analyze and forecast the impact of major world indices on the SENSEX using ANN's.
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Literature Review

In economics, the price volatility in the stock markets has been studied for a long time and the returns on different stocks has been debated for a long time. It was after the work on autoregressive conditional heteroscedasticity (ARCH) model by Eagle (1982) and work on generalized form of ARCH i.e. GARCH by Bollerslev (1986), that these models have strongly influenced the work on stock markets. White (1998); Christopher and William (1990), Ludger (1995), Huh et al. (2015), and many more have utilized the extensions in the GARCH models in their studies. In recent times, a lot of work is going on the stock markets in the emerging markets of pacific rim which are utilizing a set of different parametric models. The pioneers in using a changed parametric model are Talarposhti (2016), Robert (2013), Magdalena (2012) among many others.

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