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

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  • Shveta Singh
  • Anita Makkar

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.

Suggested Citation

  • Shveta Singh & Anita Makkar, 2014. "Relationship Between Crisis and Stock Volatility: Evidence from Indian Banking Sector," The IUP Journal of Applied Finance, IUP Publications, vol. 20(2), pages 75-83, April.
    • Handle: RePEc:icf:icfjaf:v:20:y:2014:i:2:p:75-83
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    Cited by:

    1. Kolte, Ashutosh & Roy, Jewel Kumar & Vasa, László, 2023. "The impact of unpredictable resource prices and equity volatility in advanced and emerging economies: An econometric and machine learning approach," Resources Policy, Elsevier, vol. 80(C).
    2. Katircioglu, Setareh & Katircioglu, Salih, 2023. "The effects of environmental taxation on stock returns of renewable energy producers: Evidence from Turkey," Renewable Energy, Elsevier, vol. 208(C), pages 311-323.
    3. Islam , K. M. Zahidul & Ahmed, Sayed Farrukh, 2015. "Stock Market Crash and Stock Return Volatility: Empirical Evidence from Dhaka Stock Exchange," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 38(3), pages 25-34, September.

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