| Article ID: | iaor19961512 |
| Country: | India |
| Volume: | 20 |
| Issue: | 3 |
| Start Page Number: | 43 |
| End Page Number: | 51 |
| Publication Date: | Jul 1995 |
| Journal: | Vikalpa |
| Authors: | Broca Dilbagh S. |
| Keywords: | statistics: sampling |
A control chart approach is developed for dynamically monitoring changes in the volatility of aggregate share prices on the Bombay Stock Exchange (BSE) as measured by the BSE Sensitive Index of Equity Prices. This approach is tested on daily Sensex movements from 1990 through 1992 and the results show that several volatility changes may have taken place many of which either signal the onset/decline of speculative manias witnessed in recent years or broadly corrleate with release of extraordinary information.