Risk and Volatility of Indian and Chinese stock markets

Abstract

The volatility of a return does not necessarily have to equatewith its risk, also an investment which is more volatile does notalways mean it is riskier in the long term. The study aimed atmeasuring risk and volatility of Indian and Chinese stock marketindices for the period 01/01/1992 to 1/12/2015. Among Chineseindices, Shenzhen composite is found to be a risky one with thehighest coefficient and significant p-value. The GARCH (1, 1)reveals that all the variables in the GARCH (1, 1) reported highsignificance which articulates the influence of current volatility by the past volatility of all the Indian and Chinese stock market.