Published Online:January 2025
Product Name:The IUP Journal of Accounting Research & Audit Practices
Product Type:Article
Product Code:IJARAP030125
DOI:10.71329/IUPJARAP/2025.24.1.41-53
Author Name:Maithili S Naik and Namrata S Wagle
Availability:YES
Subject/Domain:Finance
Download Format:PDF
Pages:41-53
This study investigates the relationship between implied volatility and sustainability index returns in the Indian stock market. India VIX index and Nifty 100 ESG index are used as proxies for implied volatility and sustainability index, respectively. The paper uses the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family of models to analyze the impact of India VIX index on Nifty 100 ESG index and study the conditional volatility from January 2016 to June 2023. The findings indicate a statistically significant negative relationship between India VIX index and Nifty 100 ESG index returns, suggesting that rising fear in the Indian market negatively affects sustainability index. It is recommended that investors in Nifty 100 ESG index closely observe VIX index before making investment decisions. The variance equation helps to understand the volatility dynamics of Nifty 100 ESG series, with positive, significant ARCH and GARCH terms, indicating volatility persistence in the series. The study contributes to the existing literature by shedding light on the dynamics of the relationship between implied volatility and sustainability index in the Indian stock market, providing valuable insights for investors to make informed decisions and manage portfolio risk.
The theme of India’s G20 Presidency spotlights Lifestyle for Environment (LiFE), associated with environmentally sustainable and responsible choices both at the individual level and the national level, thus leading to globally transformative actions, resulting in a cleaner, greener and bluer future.