Title: Time-varying momentum return in Indian stock market

Authors: Trilochan Tripathy; Ranajee ; Ajay Kumar Mishra

Addresses: XLRI – Xavier School of Management, C.H Area, Jamshedpur, Jharkhand, 831 001, India ' IBS Hyderabad, The IFHE Deemed to be University, Hyderabad TS-501203, India ' IBS Hyderabad, The IFHE Deemed to be University, Hyderabad TS-501203, India

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.

Keywords: momentum returns; volatility persistence; asymmetric volatility; metadata; India; stock markets; time-varying volatility; portfolio returns; modelling; bad news.

DOI: 10.1504/IJBAF.2015.075330

International Journal of Behavioural Accounting and Finance, 2015 Vol.5 No.3/4, pp.203 - 241

Received: 29 Mar 2015
Accepted: 30 Jul 2015
Published online: 15 Mar 2016 *

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