Volatility Analysis of Mutual Funds investment styles in India

Gyan Management Journal
Year: 2017(Jan-Jun), Volume: (11), Issue. (1)
First page: (50) Last page: (57)
Online ISSN: A/F
Print ISSN: 2250-348X
doi: 

Volatility Analysis of Mutual Funds investment styles in India
Saranleen Kaur1 and Dr. Rubeena Bajwa2

1Research Scholar, Sri Guru Granth Sahib World University, Fatehgarh Sahib, Punjab
2Assistant Professor, Sri Guru Granth Sahib World University, Fatehgarh Sahib, Punjab.

Corresponding author email id:

Received:
11 Feb 2017

Accepted:
12 Apr 2017

Online Published:
26 Jun 2017

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ABSTRACT

This study is on analyzing the effect of volatility on the returns of open ended equity mutual fund investment styles. The empirical methods used for analysis include unit-root tests, GARCH modelling and Granger causality tests. Volatility analysis was done among various investment styles of equity mutual funds viz. large value, large blend, large growth, mid value, mid blend, mid growth, small value, small blend and small growth. The results showed that volatility of large value, large blend, small value and small blend funds was persistent. The Granger causality test was applied to return values for the nine investment styles to analyse the causality among SENSEX and investment styles. The causality test indicated that market returns were independent variable. 

Keywords

Mutual Fund Style, Volatility, Garch; Granger Causality.