Purpose: Volatility can be a risk if it results to investors generating negative returns. On the other hand, it can be an opportunity if it results in investors generating positive returns. Whether volatility generates positive returns or negative returns for investors may depend on the general volatility dynamics of a stock market. The concern is that the volatility levels of BSE stocks may not be enhancing the returns of investors. Therefore, the study investigated whether the volatility dynamics of BSE are good or bad for investors.
 Methodology: Using market data from 2011 to 2013, we employ a GARCH-M (1,1) model to find out if BSE volatility dynamics are enhancing the returns of stocks listed on the stock exchange.
 Findings: The results showed that the risk coefficient in the mean returns is significant but negative. This implied that the returns of stocks listed on the BSE are significantly, but negatively related to market volatility. Therefore, we concluded that the current market volatility dynamics of the BSE are not enhancing the returns of investors and are bad for investors in the short-term.
 Unique contribution to theory, practice and policy: We recommend that investors use a buy and hold strategy in order to realize positive returns.