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Advances in Decision Sciences (ADS)

Advances in Decision Sciences (ADS)

Published by Asia University, Taiwan; Scientific and Business World

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Tail Behaviour of the Nifty-50 Stocks during Crises Periods

Tail Behaviour of the Nifty-50 Stocks during Crises Periods

Title

Tail Behaviour of the Nifty-50 Stocks during Crises Periods

Authors

  • Srilakshminarayana G
    (Department of Quantitative Methods, Shri Dharmasthala Manjunatheshwara Institute for Management Development, India)

Abstract

This paper examines the behaviour of the NIFTY 50 stocks during the crisis periods by estimating the tail index for each of the stocks.The time horizon between 2007 to 2020 was considered and was divided into six periods, at the time points where a crisis had occurred. During each period the behaviour of the stocks was observed and the tail index was estimated using the weighted least squares (WLS) estimator, proposed by Nair et.al. (2019).The study finds that the crisis events have changed the tail behaviour of a few stocks, and did not impact the behaviour of other stocks. Also, that these stocks could sustain the change caused by the crisis events during a few periods and could not during other periods. The study finds the periods that are severe and not severe using the tail index values. Towards the end, a classification table that divides the stocks into high risk, moderate risk and low risk, was presented based on the findings.We suggest the practitioners and researchers estimate the tail index of the stocks before taking any decision on its probability structure or decisions related to investments etc. This process can be adopted along with other processes. It helps in identifying the stocks that are riskier for investment. Also, identify the periods that are sensitive to the crisis events. The study also recommends estimating the tail index and then deciding upon any other methodology for analyzing the data.

Keywords

COVID-19, Extreme events, Crisis events, Classification, Nifty 50, Tail behaviour

Classification-JEL

C0, G0

Pages

115-151

https://doi.org/10.47654/v25y2021i4p115-151

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ISSN 2090-3359 (Print)
ISSN 2090-3367 (Online)

Asia University, Taiwan

Scientific and Business World

4.7
2023CiteScore
 
86th percentile
Powered by  Scopus
SCImago Journal & Country Rank
Q2 in Scopus
CiteScore 2023 = 4.7
CiteScoreTracker 2024 = 8.5
SNIP 2023 = 0.799
SJR Quartile = Q1
SJR 2024 = 0.814
H-Index = 20

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