Extant research has explored numerous ideal approaches to predict and anticipate the unpredictability in stocks to mitigate business risks. This article attempts to offer an important insight on creating values in terms of financial returns dodging the risks associated with the market volatility in emerging market economies by exploring the context of National Stock Exchange (NSE), India. The study establishes that Small-cap companies, which are included in NSE Small 100 index, are less inclined to be impacted by the market volatility index (NVIX) compared to the Large-cap companies and Mid-cap companies that are under respective Broad Market Indices. Furthermore, this article examines 64 Small-cap companies, belonging to nine different sectors, to investigate the sector-wise impact of market volatility on Small-cap businesses in India.
AndersenTorben G., & BollerslevT. (1998). Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. International Economic Review, 39(4), 885–905.
2.
BagchiD. (2014). Application of the concept of dissonance to explain the phenomenon of return-volatility relationship. IUP Journal of Applied Finance, 20(2), 5–17.
3.
BrennerMenachem, & GalaiD. (1989). New financial instruments for hedging changes in volatility. Financial Analysts Journal, 45(4), 63.
4.
Bushee BrianJ., & Noe ChristopherF. (2000). Accounting information and the economics of the firm. Journal of Accounting Research, 38(1), 171–202.
5.
CaprioG., & HonohanP. (1999). Restoring banking stability: Beyond supervised capital requirements. The Journal of Economic Perspectives, 13(4), 43–64.
6.
ChakravartyS., GulenH., & MayhewS. (2004). Informed trading in stock and option markets. The Journal of Finance, 59(3), 1235–1257.
7.
ClementeL. (1994). Investing in Asia’s emerging equity markets. The Columbia Journal of World Business, 29(2), 92–111.
8.
CumbyR., FiglewskiS., & HasbrouckJ. (1993). Forecasting volatility and correlations with EGARCH models. Journal of Derivatives, 1(2), 51–63.
9.
DhaeneJ., DonyJ., ForysM. B., LindersD., & SchoutensW. (2012). FIX: The fear index—measuring market fear. Topics in numerical methods for finance (Vol. 19, pp. 37–55). Boston, MA: Springer Proceedings in Mathematics & Statistics.
10.
DhirS. (2017). Flexibility in modification and termination of cross-border joint ventures. Global Journal of Flexible Systems Management, 18(2), 139–151.
11.
DhirS., & DhirS. (2015). Diversification: Literature review and issues. Strategic Change, 24(6), 569–588.
12.
DhirS., & MitalA. (2012). Decision-making for mergers and acquisitions: The role of agency issues and behavioral biases. Strategic Change, 21(1/2), 59–69.
13.
EasleyD., & O’HaraM. (1992). Adverse selection and large trade volume: The implications for market efficiency. Journal of Financial and Quantitative Analysis, 27(2), 185–208.
14.
EdwardsF. R. (1988). Does futures trading increase stock market volatility?Financial Analysts Journal, 44(1), 63.
15.
FlemingJ., OstdiekB., & WhaleyR. E. (1995). Predicting stock market volatility: A new measure. Journal of Future Markets, 15(3), 265–302.
16.
GlostenL. R., & MilgromP. R. (1985). Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics, 14(1), 71–100.
17.
GuillaumeF., & SchoutensW. (2012). Calibration risk: Illustrating the impact of calibration risk under the Heston model. Review of Derivatives Research, 15(1), 57–79.
18.
HaugenR. A., TalmorE., & TorousW. A. (1991). The effect of volatility changes on the level of stock prices and subsequent expected returns. The Journal of Finance, 46(3), 985–1007.
19.
IllingM., & LiuY. (2006). Measuring financial stress in a developed country: An application to Canada. Journal of Financial Stability, 2(3), 243–265.
20.
KumarA. V., & JaiswalS. (2013). The information content of alternate implied volatility models: Case of Indian markets. Journal of Emerging Market Finance, 12(3), 293–321.
21.
MarianaM., & SemmlerW. (2002). Market share instability and stock price volatility during the industry life cycle: The US automobile industry. In Economic evolution, learning, and complexity (pp. 97–126). Berlin and Heidelberg: Springer-Verlag.
22.
Marianne SensierM., & Van DijkD. (2004). Testing for volatility changes in U.S. macroeconomic time series. The Review of Economics and Statistics, 86(3), 833–839.
23.
MorckR., YeungB., & YuW. (2000). The information content of stock markets: Why do emerging markets have synchronous stock price movements?Journal of Financial Economics, 58(1), 215–260.
24.
MorauxF., NavatteP., & VillaC. (1999). The predictive power of the French market volatility index: A multi horizons study. European Finance Review, 2(3), 303–320.
25.
PoonSer-Huang, & GrangerClive W. J. (2003). Forecasting volatility in financial markets: A review. Journal of Economic Literature, 41(2), 478–539.
26.
PouzolsF. M. & LendasseA. (2010). Effect of different detrending approaches on computational intelligence models of time series. Barcelona: IEEE World Congress on Computational Intelligence.
27.
RollR. (1984). A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance, 39(4), 1127–1139.
28.
RousseauP. L., & SyllaR. (2003). Financial systems, economic growth, and globalization (Globalization in Historical Perspective). National Bureau of Economic Research. Chicago: University of Chicago Press.
29.
SandåsP. (2001). Adverse selection and competitive market making: Empirical evidence from a limit order market. The Review of Financial Studies, 14(3), 705–734.
30.
SiriopoulosC., & FassasA. (2012). The efficiency of VIX futures market—A panel data approach. Journal of Alternative Investments, 14(3), 55–65.
31.
SchnablG., & HoffmannA. (2008). Monetary policy, vagabonding liquidity and bursting bubbles in new and emerging markets: An overinvestment view. The World Economy, 31(9), 1226–1252.
32.
TabachnickB. G., & FidellL. S. (2007). Using multivariate statistics. Boston: Pearson/Allyn & Bacon.
33.
WangP., & MooreT. (2009). Sudden changes in volatility: The case of five Central European stock markets. Journal of International Financial Markets, Institutions and Money, 19(1), 33–46.
34.
WhaleyR. E. (2000). The investor fear gauges. Journal of Portfolio Management, 26(3), 12–17.
35.
YangM. J., & LiuM. Y. (2012). The forecasting power of the volatility index in emerging markets: Evidence from the Taiwan stock market. International Journal Economics and Finance, 4(2), 217–231.
