Risk-Return Trade-off and Volatility Characteristics in the Indian Stock Market
Risk-Return Trade-off and Volatility Characteristics in the Indian Stock Market
Author(s): Manickam Tamilselvan, Srinivasan Palamalai, Magesh Kumar, Jayakumar Aswathaman, Manjula VeerabhadrappaSubject(s): National Economy, Economic development
Published by: UIKTEN - Association for Information Communication Technology Education and Science
Keywords: hybrid GARCH-Mean type models; asymmetric volatility; volatility clustering; risk-return trade-off;weak-form efficiency;
Summary/Abstract: The study examines the volatility characteristics of Indian stock markets and their tradeoff between the risk and return. It finds a positive but insignificant association between the risk and returns during the subsample (the pre-COVID and COVID pandemic outbreak) and whole sample periods. The study also shows that the weak form of Indian stock markets is not sustainable. Consistent with the GARCH literature, persistent and asymmetric effects are evidenced, and the magnitude of the negative shocks has a larger immediate impact than the positive shocks. These results would help measure the volatility in the Indian stock markets and provide investors and regulators with necessary information about the market efficiency, persistency (long-memory process) and asymmetric effects.
Journal: TEM Journal
- Issue Year: 11/2022
- Issue No: 1
- Page Range: 307-315
- Page Count: 9
- Language: English
