Relationship Between Crisis and Stock Volatility: Evidence from Indian Banking Sector

Shveta Singh and Anita Makkar

The IUP Journal of Applied Finance, 2014, vol. 20, issue 2, 75-83

Abstract: The present study empirically examines the relationship between the crisis and stock returns volatility in the Indian banking sector. Bankex stock index is used as a proxy of stock prices of Indian commercial banks. The time series data of closing stock prices for nine years was collected on daily basis from January 1, 2004 to December 31, 2012. GARCH model is used to capture the impact of crisis on stock volatility of banks. The results reveal a high persistence of volatility and significant negative association between stock returns and their volatility during both subperiods of crisis. The study concludes that the crisis has a significant impact on the stock volatility of the Indian banking sector. The stock returns volatility has significantly changed during the pre- and post-crisis time periods.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjaf:v:20:y:2014:i:2:p:75-83

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