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Market Volatility and Equity Risk Factors: Dynamic Interac‎tions, Implications, and Evidence from India

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Significant interconnectedness exists between market volatility and key risk factors in the Indian stock market.
Granger causality tests show directional relationships between the India VIX and various equity risk premia, particularly during crises.
The analysis utilized Impulse Response Functions and Variance Decomposition to assess shock transmission and volatility influences.
Findings suggest tracking market volatility can improve portfolio adjustment strategies in turbulent financial conditions.

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Research reveals how investor sentiment influences equity risk premia in Indian markets, highlighting significant interactions.

Dutta et al. (2025) studied this question.

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