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Stream/Area:
-
Subject:
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Paper ID:
10.55041/IJSREM.GSTCOS107
Volume:
10 |
7 |
Jul 2026
Pages:
1-27
Publication Frequency:
Monthly (12 issues per year)
License:International Journal of Scientific Research in Engineering and Management follows the Creative Commons Attribution 4.0 (CC BY 4.0) License, allowing free use and distribution with proper attribution.
Student of MBA,
CMR Institute of Technology, Hyderabad, Telangana, India
Associate Professor of MBA,
CMR Institute of Technology, Hyderabad, Telangana, India
This study examines the relationship between India VIX, the BSE Sensex, and the NSE Nifty over the period 2016–2026 using secondary market data and descriptive, correlation, stationarity, Granger causality, VAR, and regression analyses. The findings indicate that India VIX has a significant predictive relationship with both Sensex and Nifty, while the reverse relationship is not significant, suggesting that market volatility acts as a leading indicator of future stock market movements. The analysis also shows that both Sensex and Nifty are non-stationary in levels but stationary in first differences, indicating that they follow an I(1) process. In addition, a bidirectional Granger causal relationship exists between Sensex and Nifty, reflecting their strong interdependence within the Indian equity market. Overall, the study concludes that India VIX is useful for forecasting market uncertainty and can support risk management and trading decisions, though its findings are limited to the Indian market and the variables included in the analysis.
KEYWORDS
The study investigated the causal relationship among BSE Sensex, NSE Nifty, and India VIX. The findings reveal that India VIX significantly influences market movements and serves as a reliable predictor of future volatility. Strong bidirectional causality exists between Sensex and Nifty, while India VIX demonstrates predictive power over both indices. The research concludes that volatility indices are essential tools for investors and policymakers. Effective utilization of India VIX can improve forecasting accuracy, risk assessment, and investment decision-making in the Indian stock market.
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Publication Date
7/4/2026
Peer Review Type
Double-Blind Peer Review
Review Rounds: 2
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Conflict of Interest
The authors declare no conflict of interest related to this research work.
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No funding information available for this research.
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