Abstract
This study examines volatility persistence and time-varying volatility behaviour in momentum, winners' and losers' portfolio returns in the Indian stock market. The study reveals that the volatility persistence is more prominent with the losers' portfolio returns compared with the winners' portfolio returns as the volatility half-life for the losers is relatively higher than the winners. Furthermore, the asymmetric time-varying volatility model better explains the momentum returns over and above the symmetric time-varying volatility models. The study concludes that the announcement of bad news has noticeable negative effect on the losers' portfolio returns compared with the winners' portfolio returns.
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