Open AccessRISK-RETURN TRADEOFFS IN INDIAN STOCK MARKET: EVIDENCE FROM GARCH MODEL APPROACH
Author(s) -
Riteshbhai Patel
Publication year - 2021
Publication title -
towards excellence
Language(s) - English
Resource type - Journals
ISSN - 0974-035X
DOI - 10.37867/te130149
Subject(s) - risk–return spectrum , economics , volatility (finance) , holding period return , stock market , autoregressive conditional heteroskedasticity , investment performance , econometrics , financial economics , expected return , rate of return , stock (firearms) , absolute return , market risk , return on investment , finance , geography , portfolio , context (archaeology) , archaeology , production (economics) , macroeconomics
The objective is to examine the risk-return tradeoff in the Indian stock market. The sampleperiod of study is from January 4, 2000 to December 31, 2020. The empirical resultsshows existence of risk-return tradeoff in the BSE. A positive risk-return tradeoff is foundfor monthly & annual return series. The market has weak risk-return relationship in dailyreturn series. The CGARCH (1,1) captures the asymmetric volatility effect for all thedifferent frequency based returns. The study has implications for the investors. The riskreturn relationship is stronger and significant in longer duration of investment. The marketgives higher return when there is a high risk.