The main objective of this study is to evaluate the efficiency of G-securities market of India. The researcher found that there is weak form of inefficiency in G-securities market of India and this weak form of inefficiency varies with maturation period of G-securities indices. The findings clearly show that there is no randomness in yields of G-securities indices across all maturities (1-, 2-, 3-, 5-, 10-, 15 years). In other words, the G-securities market of India is inefficient. The study also reveals that the short-term G-securities indices are more efficient as compared to long-term G-securities indices of India. As it can be seen from result, that we can predict the short-term G-securities yields (1- & 2 year) for next four days, medium term G-securities yields (3- & 5year) for next 3 days and long-term G-securities yields (10-, 15year) for next two days only. The results of E. GARCH and T GARCH indicate that there is no leverage effect on G-securities yields across all maturities in India. This reveals that G-securities markets are not as sensitive or exposed to external shocks (good or bad news) as stock markets used to be.

This study evaluates the volatility behavior of sovereign bond yields of India and impact of macroeconomic factors on their yield volatility. The researcher categorized macroeconomic variables into three categories viz. Monetary, Real and Fiscal factors, and then applied Principal Component Analysis to extract variables, which are loading maximum information or act as proxy of Monetary, Real and Fiscal factors. The results in the study inferred that there is inner volatility and yield effect in sovereign bond across all maturities. The study also inferred those macroeconomic variables impact volatility of sovereign bond yields differently, based on their maturity. Monetary factors impact the volatility of both short term (1-, 2 year) and medium term (3-, 5 year) sovereign bond yields, Real factors impact the volatility of bond yields across all maturities, Fiscal factors impact volatility of long term (10-, 15- and 30 year) sovereign bond yields in India. The implications of this study are that Reserve Bank of India and other policy makers can use monetary policies to stabilize the yield fluctuations of short term and medium-term sovereign bonds, Real activities can be used to stabilize the fluctuation across all maturities of sovereign bond yields and Fiscal policies can be used to stabilize the fluctuations of long-term sovereign bond yields in India.