Year: 2026
Type: article
Abstract: This study investigates the volatility dynamics and the conditional risk–return trade-off within the Indian equity market, utilizing data from the BSE Sensex and NSE Nifty 50 indices. Given that financial returns exhibit time-varying patterns, this research employs ARCH/GARCH family models to analyze market volatility behavior, persistence, and asymmetric responses to shocks. Empirical findings reveal that Indian equity markets exhibit significant volatility clustering and high volatility persistence. Furthermore, the study confirms an asymmetric leverage effect, wherein negative market shocks exert a greater influence on volatility than positive shocks of a similar magnitude. Regression analysis of the conditional risk–return relationship suggests that while traditional theories imply a positive risk-return link, the relationship in the Indian context is dynamic and influenced by changing market conditions, behavioral biases, and economic uncertainties. The results provide critical insights for investors, portfolio managers, and policymakers, emphasizing the necessity of advanced risk management techniques that account for time-varying volatility in emerging markets.
Authors: Umamaheswararao Gobbilla, Gajje Nikitha
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W7166315795