Nexus Between Stock Return and Market Volatility in Indian Perspective
This research seeks to explore the volatility patterns for the SENSEX index to figure out the characteristics of volatility in Indian stock trading and to investigate the relationship between returns and volatility of the Indian market for the last ten years. The research adds to the existing knowledge about stock market fluctuations, their implications for investors, and their impact on developing the country's economy. The study involves using daily returns data from BSE SENSEX from 01 Jan 2014 to 31 Dec 2023. Daily closing prices are obtained from the official website of BSE, and returns are calculated based on these prices. The Dickey-Fuller and Phillips-perron are taken to make the time series static. ARCH, GARCH, and GARCH-M tests are utilized to capture volatility clustering, return and volatility relationship. The results reveal that Fluctuations in the Indian stock market, particularly shown in the SENSEX index of the BSE, were highest in the year 2020. Findings suggest that GARCH-M does not show any relation between expected returns and market volatility. The risk-premium parameter is positive but statistically insignificant. If you want to hedge against risk, the risk premium is not very high. It means that taking risks does not give you more returns. Durbin Watson's value of 1.981401 further supports the model's suitability.
Copyright© 2024 The Author(s). This article is distributed under the terms of the license CC-BY 4.0., which permits any further distribution in any medium, provided the original work is properly cited.
Mishra, R.R., & Mishra, S. (2024). Nexus between stock return and market volatility in Indian perspective. Journal of Applied Economic Sciences, Volume XIX, Winter, 4(86), 417 – 425. https://doi.org/10.57017/jaes.v19.4(86).05
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