文章基本信息

标题：Rolling Returns: A better measure of volatility and returns with reference to Sensex
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作者：Aparna Puranik ; Ashvin Dave
期刊名称：Ilköğretim Online/Elementary Education Online
印刷版ISSN：1305-3515
电子版ISSN：1305-3515
出版年度：2021
卷号：20
期号：5
页码：5507-5517
DOI：10.17051/ilkonline.2021.05.620
语种：English
出版社：Öğretmen Eğitimi Akademisi
摘要：The Bombay Stock Exchange’s (BSE) Sensitive Index popularly known as Sensex is market weighted index of 30 financially sound and established companies. It started its journey in year 1979 with base value of 100. Equity being a volatile asset tends to deliver positive as well as negative returns.The main aim of this research paper is to check the volatility of BSE Sensex vis-à-vis to the returns variation over various periods with rolling returns performance of 1 to 40 years. The study considered the daily closing of S&P BSE Sensex and calculated the returns on a daily basis for various time frames. The study checks the highest, lowest and mean returns across each span in last 41 years with respect to the volatility in returns. We also checked the frequency of negative returns and subsequently the probability of loss in each time frame. The result of the study indicates that in shorter periods like 1, 3, 5 and 7 years the volatility is higher and variation of returns also ranges from very low negative to very high returns. It has also been observed that volatility also reduces with increasing rolled returns of holding periods. It has also been observed that if an investor invested for more than 15 years period at any day without looking at Sensexhe had not had a single instance of negative return. The returns for 25 to 40 years rolled period had a very low deviation from the mean returns and the average returns delivered are in the range of 14.5% to 15.3% which were impressive..
关键词：Performance;volatility;Sensex;Index;Daily Returns;rolling returns;long term;standard deviatio