Published Online:July 2026
Product Name:The IUP Journal of Accounting Research & Audit Practices
Product Type:Article
Product Code:IJARAP030726
DOI:10.71329/IUPJARAP/2026.25.3.42-59
Author Name:Satish Kumar, Devinder Sharma, Sunil Kumar and Vishal Kaushal
Availability:YES
Subject/Domain:Finance
Download Format:PDF
Pages:42-59
The study investigates the volatility characteristics in the Indian and Chinese stock markets, assesses the risk-return tradeoff, and determines the most suitable volatility model. It uses the daily closing prices of National Stock Exchange (NSE) and Shanghai Stock Exchange (SSE) from April 1, 2014 to March 31, 2025. The symmetric and asymmetric GARCH models are used to achieve the objectives. The results indicate that SSE has a lower mean return than NSE. Besides, the Indian market is more sensitive to bad news than the Chinese market, which is more responsive to good shocks. The findings also indicate that EGARCH (1,1) is most appropriate for NSE, whereas GARCH (1,1) is more appropriate for SSE. The implications of these findings for investors, policymakers, and researchers are significant, underscoring the need for market-specific investment plans, improved risk management practices, and policy responses to optimize long-term market stability and efficiency, thereby supporting economic growth.
Capital accumulation is a crucial driver of economic development, enhancing industry productivity through investments, with stock markets playing a crucial role in contemporary economies (Mallikarjuna & Rao, 2017). It facilitates resource allocation over different time horizons, with stock returns that significantly influence investment decisions (Mir & Bhutta, 2022).