Market Infrastructure, Volatility Dynamics, and Investor Protection in India's Evolving Capital Markets: An Integrated Empirical Assessment

Abstract

India's stock exchanges have grown from regional trading floors into some of the busiest markets in the world. Earlier work by the authors examined retail losses and regulatory reform; this paper turns to the infrastructure underneath. It uses the initial public offering of the National Stock Exchange (NSE), completed on 24 September 2026 after a ten-year delay linked to the co-location case, to examine a tension in exchange governance: a for-profit, listed exchange that also supervises the brokers who trade on it. Because the listing is days old, the paper treats it as a pre-listing baseline and sets out a post-listing research agenda. It then reviews broking, margining and corporate-action processing, and two fast-growing segments, Real Estate Investment Trusts (REITs) and mandatory sustainability reporting. Its quantitative core re-estimates asymmetric GARCH models on 4,553 daily Nifty returns from 2007 to 2026. Persistence is 0.984, a half-life of about 42 trading days, against 0.991 and 79 days in a published benchmark, and falls to 0.930 and about 10 days once nine variance breaks are allowed for. A fat-tailed Monte Carlo simulation puts the 99 percent one-day value-at-risk 7 percent, and expected shortfall 16 percent, above the normal approximation, and in a walk-forward backtest over 3,053 days only the fat-tailed GARCH model passes the coverage and independence tests at both the 95 and 99 percent levels. The NSE's investor compensation ceiling of ₹35 lakh is lower in dollars than the limits of the United States' SIPC and the United Kingdom's FSCS but higher as a multiple of GDP per head. Infrastructure has advanced quickly, while compensation ceilings have lagged participation and exchange governance remains less settled. Every figure comes from a named source or is calculated from one, and the qualitative ratings are marked as the authors' judgement.