Risk-return dynamics: evidence from the energy and utilities sector in India

• Autores: Karunanithy Banumathy, Ramachandran Azhagaiah
• Localización: Aestimatio: The IEB International Journal of Finance, ISSN 2173-0164, Nº. 11, 2015, págs. 106-123
• Idioma: inglés
• DOI: 10.5605/IEB.11.5
• Títulos paralelos:
  • La dinámica riesgo-rendimiento: evidencia desde los sectores de la energía y los servicios públicos
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    El objetivo del trabajo es examinar la dinámica riesgo-rendimiento en el mercado de valores indio, así como también identificar el comportamiento de los rendimientos tanto en el largo como en el corto plazo, utilizando para ello el precio de cierre diario de la Bolsa de Valores de Bombay 500 para el período comprendido entre el 1 de enero de 2003 y el 31 de diciembre de 2012. De las 500 empresas, este artículo se centra en doce empresas del sector de la Energía y los Servicios Públicos. El resultado de los análisis llevados a cabo, utilizando un modelo autorregresivo generalizado de heteroscedasticidad condicional en media (GARCH-M (1,1)), indica que la hipótesis nula de inexistencia de relación significativa entre el riesgo en el sector Energía y Servicios Públicos es rechazada para Chennai Petróleo Corporation Ltd., pero aceptada para las otras once empresas del sector consideradas en este artículo

  • English

    The objective of the paper is to examine the risk and return dynamics of Indian stock returns and also to identify both the long-run and the short-run behaviour of stock returns using the daily closing price of the Bombay Stock Exchange 500 companies for a 10-year period from 1st January 2003 to 31st December 2012. Of the 500 companies, the study focuses on 12 companies from the Energy and Utilities sector. The results of the analyses of the relationship between stock returns and volatility based on daily data and using a Generalised Autoregressive Conditional Heteroscedasticity (GARCH-M (1,1)) model allows us to reject the null hypothesis of no significant relationship between risk and return of Chennai Petroleum Corporation Ltd. However, this hypothesis is accepted for all the other selected companies of the Indian Energy and Utilities sector

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