Risk-Return Trade-off and Volatility Characteristics in the Indian Stock Market
TEM Journal
; 11(1):307-315, 2022.
Article
in English
| Scopus | ID: covidwho-1743068
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. © 2022 Manickam Tamilselvan et al;published by UIKTEN. This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivs 4.0 License
Full text:
Available
Collection:
Databases of international organizations
Database:
Scopus
Type of study:
Prognostic study
Language:
English
Journal:
TEM Journal
Year:
2022
Document Type:
Article
Similar
MEDLINE
...
LILACS
LIS