Sectoral Indices Movement: A Study of Financial Crisis ERA

Dr. Yash Pal Taneja and Prof. Shipra Bansal

Paradigm, 2013, vol. 17, issue 1-2, 67-80

Abstract: The paper attempts to examine the movement of sectoral Indices of India before, after and during the era of global financial crisis 2007-09. It is intended to examine the changing risk-return dynamics of Indian economy especially for the above discussed period. Changing risk-return dynamics will reveal the impact of global financial crisis on Indian economy and result thereof in the after crisis period. It covers daily return data of ten sectoral indices and S&P CNX Nifty for the period 2005 to 2011 which is further sub-divided into three periods; before crisis (April 2005 to November 2007), during crisis (December 2007 to June 2009) and after crisis (July 2009 to March 2011). Descriptive statistics, paired t-test and stepwise regression have been used for data analysis and presentation. The results indicate that the major impact is on sectors such as IT and Infra structure taking economy to restrictive growth run.

Keywords: Risk-return Dynamics; Sectoral Indices Movement; Global Financial Crisis (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:sae:padigm:v:17:y:2013:i:1-2:p:67-80

DOI: 10.1177/0971890720130108

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