Lead - Lag Relationship in Indian Stock Market: Empirical Evidence

2008 ◽  
Author(s):  
Bhaskkar Sinha ◽  
Sumati Sharma
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Indian Stock Market

Day Of The Week Effect: Empirical Evidence From Indian Stock Market

Paradigm ◽  
2004 ◽  
Vol 8 (2) ◽  
pp. 9-13 ◽  
Author(s):  
Mohit Gupta ◽  
Navdeep Aggarwal
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Day Of The Week ◽  
Indian Stock Market

scholarly journals Month-of-the-Year Effect: Empirical Evidence from Indian Stock Market

2022 ◽  
Author(s):  
Rajesh Elangovan ◽  
Francis Gnanasekar Irudayasamy ◽  
Satyanarayana Parayitam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Year Effect ◽  
Indian Stock Market

scholarly journals The Volatility Effect: Evidence from India

2016 ◽  
Vol 5 (1) ◽  
pp. 12 ◽  
Author(s):  
Mayank Joshipura ◽  
Nehal Joshipura
Keyword(s):  
Standard Deviation ◽  
High Risk ◽  
Stock Market ◽  
Empirical Evidence ◽  
Risk Measures ◽  
Benchmark Portfolio ◽  
Beta Effect ◽  
High Volatility ◽  
The Difference ◽  
Indian Stock Market

We offer empirical evidence that stocks with low volatility earn higher risk-adjusted returns compared to high volatility stocks in the Indian stock market. The annualised excess returns for the low and high volatility decile portfolios amount to 11.40% and 1.30%, respectively, over the period January 2001 to June 2015. The difference of returns is statistically and economically significant for both low and high-risk stocks. Using risk measures of standard deviation and beta, the volatility effect remains after controlling for size, value and momentum. We uncover that the volatility effect is not statistically significant after controlling for beta effect. Our evidence for volatility effect is not dominated by small and illiquid stocks. Our results show that the low volatility portfolio outperforms benchmark portfolio not only in down market but also in up market conditions.

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