The Dynamic Connectedness between Risk and Return in the Fintech Market of India: Evidence Using the GARCH-M Approach

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Bhatnagar M., ÖZEN E., Taneja S., Grima S., Rupeika-Apoga R.

Risks, cilt.10, sa.11, 2022 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 10 Sayı: 11
  • Basım Tarihi: 2022
  • Doi Numarası: 10.3390/risks10110209
  • Dergi Adı: Risks
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, ABI/INFORM, EconLit, Directory of Open Access Journals
  • Anahtar Kelimeler: dynamic connectedness, fintech, investments, return, risk, variance-based Mean-GARCH (GARCH-M) model
  • Uşak Üniversitesi Adresli: Evet

Özet

Fintech allows investors to explore previously unavailable investment opportunities; it provides new return opportunities while also introducing new risks. The aim of this study is to investigate the relationship between risk and return in the fintech industry in the Indian stock market. This article is based on market-based research that focuses on demonstrating the volatility in the fintech market’s prices and demystifying the opportunities. Secondary data were collected from the Bombay Stock Exchange’s official fintech industry website from January 2017 to July 2022 to determine whether there is any dynamic link between risk and return in the Indian fintech market. The variance-based Mean-GARCH (GARCH-M) model was used to determine whether there is a dynamic link between risk and return in the Indian fintech market. The findings emphasize the importance of taking the risk of investing in India’s fintech industry. The implications for stock investors’ and fund managers’ portfolio composition and holding periods of equities or market exposure are significant. Finally, depending on their investment horizons, the Indian fintech industry may yield significant profits for risk-taking individuals.