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BSE SME equity financing platform: A study of index risk return paradox

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Amanjot Singh and Parneet Kaur

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Indian Journal of Economics and Development
Year : 2016, Volume : 12, Issue : 2
First page : ( 273) Last page : ( 282)
Print ISSN : 2277-5412. Online ISSN : 2322-0430.
Article DOI : 10.5958/2322-0430.2016.00136.0

BSE SME Equity Financing Platform: A study of Index Risk-Return Paradox

Singh Amanjot*, Kaur Parneet
University School of Applied Management, Punjabi University, Patiala-147002, India

*Corresponding author’s email: amanjot_42@yahoo.com

JEL Codes: C10, C58, G12

Online published on 13 June, 2016.

Abstract
The study attempts to introduce an innovative initiative of the BSE’s SME equity financing segment and explore the time varying risk-return relationship of the BSE SME IPO index by employing GARCH-M, TGARCH-M, EGARCH-M and Asymmetric CGARCH models. The results spotlight the existence of a positive risk-return relationship between short run volatility component and the actual returns, whereas a negative relationship has been observed between the long run volatility and index returns. The results reported by the GARCH-M, EGARCH-M and TGARCH-M model in the context of the BSE SME IPO index shows insignificant, but a positive relationship between the risk and return. A positive shock has a more pronounced impact on volatility in case of the BSE SME IPO segment. A study relating to the relationship between the index risk and returns is an imperative task to be performed by the existing and prospective investors.

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