*Professor, University School of Management, Kurukshetra University, Kurukshetra, India
**Assistant professor, Department of Business Administration, National Institute of technology, Kurukshetra University, Kurukshetra, India
Online published on 11 July, 2017.
The aim of this study is to analyse the risk return relationship and compare the volatility pattern of Indian & Australian stock market. Indian economy is an emerging economy and Australian economy is one of the developed economies of the world. NSE nifty & AS 200 index have been used to proxy the Indian & the Australian stock markets respectively. Using data over 10 years period, empirical evidence indicates that volatility clusters in both the markets. Persistence in volatility is higher in Australian Stock Market as compared to Indian Stock market. Asymmetries in return are present in both the markets which means that volatility rises more in declining market. Also, risk in both the markets is not significantly related to return.
GARCH, EGARCH, ARCH-m, Volatility
