Dataset 1 — NSE Nifty 50 Daily Closing Prices

Description

The dataset includes observations of the closing prices for the Nifty 50 Index of the National Stock Exchange of India over a contiguous twenty-year span, starting from April 2004 to April 2024. The Nifty 50 is a benchmark index used to reflect the performance of the stock market of India. It consists of the fifty biggest and most actively traded companies listed in the NSE of India and is used as a measure of performance for the large caps in the Indian market. The dataset was created with the aim of conducting research on volatility regime transmission in the Indo-Nepal financial corridor, yet can be used for any Indian stock market analysis involving time series or regime-switching methods.

Steps to reproduce

The dataset was obtained from the website of NSE India (www.nseindia.com), specifically from the Historical Data menu option, which provides historical values for the Nifty 50 index. The date interval was selected as from April 1, 2004, to April 30, 2024. Then, the series was cleaned by deleting all non-date and non-closing data (Open, High, Low, Volume, and Turnover) to leave only the Date and Close columns since other columns would not be needed in the volatility regime analysis.

Institutions

• London Metropolitan University

  England, London

Categories

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