Vol. 7, Issue 2, Part J (2025)

This study investigates the dynamic impact of news shocks on the Nifty 50 index using a mixed-methods approach. Econometric analysis employing asymmetric Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) models on daily return data (2005-2024) confirms a significant leverage effect: negative news shocks induce greater and more persistent conditional volatility than positive news of equivalent magnitude. This result supports the Adaptive Market Hypothesis (AMH), indicating time-varying market efficiency. To contextualize these macro-volatility findings, a primary cross-sectional survey (N=100) of Indian retail investors was conducted. The survey data show a strong correlation between reliance on major news cues (e.g., FII flows and US Federal Reserve decisions) and investor behaviour, including self-assessed risk appetite. These results suggest that the dominant retail investor cohort disproportionately amplifies both global and domestic negative news shocks, accelerating the translation of uncertainty into domestic market volatility. The findings underscore the necessity of integrating behavioural factors specifically sentiment-driven biases into risk management practices for emerging markets like India.