Vol.11, No.1, February 2022.                                                                                                                                                                           ISSN: 2217-8309

                                                                                                                                                                                                                        eISSN: 2217-8333


TEM Journal



Association for Information Communication Technology Education and Science

Risk-Return Trade-off and Volatility Characteristics in the Indian Stock Market


Manickam Tamilselvan, Srinivasan Palamalai, Magesh Kumar, Jayakumar Aswathaman, Manjula Veerabhadrappa


© 2022 Srinivasan Palamalai, published by UIKTEN. This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License. (CC BY-NC-ND 4.0)


Citation Information: TEM Journal. Volume 11, Issue 1, Pages 307-315, ISSN 2217-8309, DOI: 10.18421/TEM111-38, February 2022.


Received: 13 December 2021.

Revised:   05 February 2022.
Accepted: 10 February 2022.
Published: 28 February 2022.




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.


Keywords – hybrid GARCH-Mean type models, asymmetric volatility, volatility clustering, risk-return trade-off, weak-form efficiency.




Full text PDF >  



Copyright © 2022 UIKTEN
Copyright licence: All articles are licenced via Creative Commons CC BY-NC-ND 4.0 licence