The current study makes an attempt to investigate the month-wise seasonal variation in returns (& also volatility of returns) of four sector specific indices viz. Nifty Auto, Nifty FMCG, Nifty Pharma and Nifty Real Estate of National Stock Exchange for the ten year period April 2009 to March 2019. Besides this, the study would also investigate spill-over of volatility from one sector specific index to another and also ascertain asymmetries in their return and return volatility. The data for the purpose of the study includes log transformed monthly returns of the four sampled sector specific indices. The methodology employed for this purpose include OLS (NW) Regression for testing seasonal impact in returns and GARCH(1,1) framework for ascertaining seasonal impact in return volatility. Further for asymmetry of returns, ‘T’ GARCH Model has been employed & for spill-over impact, residual squared error terms has been included in the GARCH Model. The results of the study showed that seasonal variation in returns did exist in some of the sector specific indices. In terms of results of asymmetry in volatility, only one index Nifty Auto was found to have asymmetric returns , on the other hand the spill-over impact from one sector to another was not visible from the results. The data was also tested for stationarity using DF-GLS test & all sector specific indices were found to be I(1) stationary.