RISK-RETURN TRADEOFFS IN INDIAN STOCK MARKET: EVIDENCE FROM GARCH MODEL APPROACH

Abstract

The objective is to examine the risk-return tradeoff in the Indian stock market. The sample period of study is from January 4, 2000 to December 31, 2020. The empirical results shows existence of risk-return tradeoff in the BSE. A positive risk-return tradeoff is found for monthly & annual return series. The market has weak risk-return relationship in daily return series. The CGARCH (1,1) captures the asymmetric volatility effect for all the different frequency based returns. The study has implications for the investors. The riskreturn relationship is stronger and significant in longer duration of investment. The market gives higher return when there is a high risk.