Equity Market Excessively Went Up In Jan According To RBI
The Reserve Bank of India (RBI) in its monetary policy report said a sharp rise in domestic equity indices in the second half of January and the dramatic correction in the first half of February were both associated with heightened volatility.
The domestic stock market and volatility both moved in tandem during the second half of January 2018 ,with the correlation co-efficient being 0.88.
US markets witnessed a similar aberration as the S&P500 and VIX moved together with a correlation co-efficient of 0.70, RBI said in its April policy report. India VIX generally has inverse correlation with equities.
“The increase in volatility during the first week of February resulted from spillover of enhanced volatility in global markets, as rising bond yields triggered sell-off in stocks, which was exacerbated by collapse of several complex volatility-linked funds and algorithmic tra ..