How much does volatility influence stock market returns? Empirical evidence from India
The purpose of this paper is to establish and estimate the extent of the volatility anomaly (VA). We examine the impact of the beta, variance, relative-beta, and relative-variance measures on the stock returns for NIFTY500 companies, for the 10-year period 2010-2020. Our empirical findings suggest t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Elsevier
2023-06-01
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| Series: | IIMB Management Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S0970389623000538 |
| _version_ | 1797783600096083968 |
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| author | Malvika Saraf Parthajit Kayal |
| author_facet | Malvika Saraf Parthajit Kayal |
| author_sort | Malvika Saraf |
| collection | DOAJ |
| description | The purpose of this paper is to establish and estimate the extent of the volatility anomaly (VA). We examine the impact of the beta, variance, relative-beta, and relative-variance measures on the stock returns for NIFTY500 companies, for the 10-year period 2010-2020. Our empirical findings suggest that the VA is predominant in the medium to long-term, but seems to be negligible in the ultra-short and short time frames. The overall findings suggest that the VA is most significant when the time period considered is three years or more. These results can be highly useful for investors as well as portfolio managers. |
| first_indexed | 2024-03-13T00:28:11Z |
| format | Article |
| id | doaj.art-8631dacc27684825a39f9b38f19b643f |
| institution | Directory Open Access Journal |
| issn | 0970-3896 |
| language | English |
| last_indexed | 2024-03-13T00:28:11Z |
| publishDate | 2023-06-01 |
| publisher | Elsevier |
| record_format | Article |
| series | IIMB Management Review |
| spelling | doaj.art-8631dacc27684825a39f9b38f19b643f2023-07-11T04:06:16ZengElsevierIIMB Management Review0970-38962023-06-01352108123How much does volatility influence stock market returns? Empirical evidence from IndiaMalvika Saraf0Parthajit Kayal1Madras School of Economics (MSE), Kottur, Chennai, Tamil Nadu, IndiaCorresponding author: Tel. No. (91) 044 - 22300304; Madras School of Economics (MSE), Kottur, Chennai, Tamil Nadu, IndiaThe purpose of this paper is to establish and estimate the extent of the volatility anomaly (VA). We examine the impact of the beta, variance, relative-beta, and relative-variance measures on the stock returns for NIFTY500 companies, for the 10-year period 2010-2020. Our empirical findings suggest that the VA is predominant in the medium to long-term, but seems to be negligible in the ultra-short and short time frames. The overall findings suggest that the VA is most significant when the time period considered is three years or more. These results can be highly useful for investors as well as portfolio managers.http://www.sciencedirect.com/science/article/pii/S0970389623000538Volatility anomalyInvestingAlphaEmerging marketsRelative beta |
| spellingShingle | Malvika Saraf Parthajit Kayal How much does volatility influence stock market returns? Empirical evidence from India IIMB Management Review Volatility anomaly Investing Alpha Emerging markets Relative beta |
| title | How much does volatility influence stock market returns? Empirical evidence from India |
| title_full | How much does volatility influence stock market returns? Empirical evidence from India |
| title_fullStr | How much does volatility influence stock market returns? Empirical evidence from India |
| title_full_unstemmed | How much does volatility influence stock market returns? Empirical evidence from India |
| title_short | How much does volatility influence stock market returns? Empirical evidence from India |
| title_sort | how much does volatility influence stock market returns empirical evidence from india |
| topic | Volatility anomaly Investing Alpha Emerging markets Relative beta |
| url | http://www.sciencedirect.com/science/article/pii/S0970389623000538 |
| work_keys_str_mv | AT malvikasaraf howmuchdoesvolatilityinfluencestockmarketreturnsempiricalevidencefromindia AT parthajitkayal howmuchdoesvolatilityinfluencestockmarketreturnsempiricalevidencefromindia |