Investors’ fear and stock returns: Evidence from National Stock Exchange of India


  • IMLAK SHAIKH Management Development Institute Gurgaon, MDI Gurgaon, Haryana 122007, India



implied volatility, India NVIX, S&P CNX Nifty, inter-temporal, asymmetric, stock returns, emerging markets, market efficiency


This study examines the asymmetric inter-temporal relationship between India volatility index (NVIX) and stock market returns (Nifty S&P 50, 100, 200 and 500) in the Indian securities markets. The work is based on the daily prices of volatility index and stock indices for the period ranging from 2009–2015. Our results suggest a strong negative correlation between daily change in the NVIX and stock returns. This relation is more prominent when NVIX is higher and more volatile. The results show that there is an asymmetry among India NVIX and the stock returns and the magnitude of asymmetry is not identical. Due to this asymmetry NVIX is more of a gauge of investors’ fear, and portfolio insurance price than investor positive sentiment. The impact of changes in the stock returns on India NVIX is more when there are negative returns as compared to positive returns. These results have potential implications for the portfolio diversification, volatility traders and options trading-timing in the equity markets.


Author Biography

IMLAK SHAIKH, Management Development Institute Gurgaon, MDI Gurgaon, Haryana 122007, India

Imlak Shaikh is an assistant professor of accounting and finance at MDI Gurgaon. Previously, he served as an assistant professor at the Birla Institute of Technology & Science, BITS Pilani. Shaikh has also taught at IIM Rohtak as an adjunct faculty in FPM program.

Shaikh received his post graduation degree in commerce from the Veer Narmad South Gujarat University Surat; his Ph.D from Indian Institute of Technology Bombay (IIT-Bombay). Shaikh has been awarded with ‘Ph.D Theses Excellence Award’ from IIT-Bombay.

He has published several papers in national and international journals of repute. His area of teaching and research: Teaching Interest: Financial Management; Financial and Management Accounting; Risk Management and Insurance; Research Interest: Banking and Finance; Financial markets; Accounting and Control; Management Accounting.

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