UNVEILING VOLATILITY AND LONG-TERM DRIFTS – A STUDY OF BSE SENSEX

Abstract

This paper examines the long-term behaviour of the Bombay Stock Exchange (BSE) Sensex over 15 years, from 2010 to 2024, to understand its volatility and distributional features using statistical tools. The data was collected from the BSE official website and analysed to measure the comprehensive pattern and variability of index performance. The result shows a moderately right-skewed distribution, indicating that the Sensex tends to experience exceptional index values more frequently, while the negative kurtosis suggests a flatter-than-normal distribution, implying fewer extreme variations. To gauge the reliability of the figures over time, the Augmented Dickey-Fuller (ADF) test has been done to check for stationarity. The outcomes of the ADF test discovered a non-stationary time series, indicating that the statistical characteristics of the Sensex such as its mean and variance, have altered across the observed period, making long-term prediction less reliable without changes. This study contributes to a better knowledge of market behaviour in the framework of a developing economy and delivers insights into the Sensex’s reaction to macroeconomic and basic developments over time. The findings of the study are assumed to help various stakeholders in order to take decisions regarding savings and investments.