Refine your search
Collections
Co-Authors
Journals
Year
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z All
Makkar, Anita
- Relationship Between Stock Prices and Financial Crises:A Case Study of Indian Commercial Banks
Abstract Views :171 |
PDF Views:0
Authors
Ranjan Aneja
1,
Anita Makkar
2
Affiliations
1 Department of Economics, Central University of Haryana, Mahendergarh, 123031, IN
2 Haryana School of Business, GJUST, Hisar, IN
1 Department of Economics, Central University of Haryana, Mahendergarh, 123031, IN
2 Haryana School of Business, GJUST, Hisar, IN
Source
Asian Journal of Management, Vol 8, No 3 (2017), Pagination: 809-814Abstract
Purpose- The purpose of this paper is to empirically examine the stock price behaviour during financial crisis for the banking sector in India. Volatility of stock prices in pre crisis period and post crisis period is also compared. The author(s) identify the significant stock price decline during this period.
Design/Methodology/Approach- To capture the behaviour of stock price and volatility in Indian commercial banks during the financial crisis, GARCH model has been used. Bankex index has been used with daily data of closing stock prices from January 1, 2004 to December 31, 2012.
Findings- The paper provides evidences of high persistence of volatility and significant negative association between stock prices and its volatility in both the sub periods.
ResearchLimitations- The paper is focused on Indian banking sector only, rest parts of the economy is excluded in this analysis.
Practical Implication- Dynamic changes in stock price behaviour during the financial crisis would help the investors, policy makers and academicians to predict stock return behaviour especially for the crashes.
Originality/Value- Majority of research work on volatility and stock price behaviour is carried out in developed economies. This is an exclusive study conducted on emerging market like India especially focused on banking sector.
Keywords
GARCH Model, Stock Prices, Volatility, Financial Crisis, Bankex and Indian Commercial Banks.
References
- Ali, R. and Afzal, M. (2012), “Impact of Global Financial Crisis on Stock Markets: Evidence From Pakistan and India”, Journal of Business Management and Economics, 3(7), 275-282.
- Al-Rjoub, S. (2010), “Business Cycles, Financial Crises And Stock Volatility In Jordan Stock Exchange”, International Journal of Economic Perspective, 5(1), 20-25.
- Al-Rjoub, S. and Azzam, H. (2012), “Financial Crisis, Stock Returns And Volatility In An Emerging Stock Market: The Case Of Jordan”, Journal of Economic Studies, 39(2), 178-211.
- Arekar, K. and Jain, R. (2011), “Financial Analysis On Indian Stock Market Volatility During Recession”, Advances in Management and Applied Economics, 1(3), 127-133.
- Baillie, R.T. and DeGennaro, R. P. (1990), “Stock Returns And Volatility”, Journal of Financial and Quantiative Analysis, 25(2), 203214.
- Bhatt, R.K. (2011), “Recent Global Meltdown and Its Impact On Indian Economy”, Paper in Proceedings of International Conference Economics, Trade and Development, IPEDR, 7, 93-97.
- Black, F. (1976), “Studies Of Stock Price Volatility Changes”, Proceedings of the 1976 Meetings of the American Statistical Association, 177-181.
- Bollerslev, T. (1986), “Genralised Autoregressive Conditional Heteroscedasticity”, Journal of Econometrics, 31 (1986), 307-327.
- Brandt, M.W. and Kang, Q. (2004), “On The Relationship Between The Conditional Mean And Volatility Of Stock Returns: A Latent VAR Approach”, Journal of Financial Economics, 72(2004), 217-257.
- Chang, H. F. (2012), “An International Comparison Of Volatility In Stock Market Returns Prior And Post Global Financial Crisis”, Paper published in Proceeding of International Conference on Economics, Business and Marketing Management, 29(2012), 270-275.
- Chaudhary, T. (1996), “Stock Market Volatility and The Crash of 1987: Evidence From Six Emerging Markets”, Journal of International Money and Finance, 15(6), 969-981.
- Cheung, Y. W. and Ng, L. (1992), “Stock Price Dynamics And Firm Size: An Empirical Investigation”, Journal of Finance XLVII (5), 1985-1997.
- Chiang, T.C. and Doong, S.C. (2001), “Empirical Analysis Of Stock Returns And Volatility: Evidence From Seven Asian Markets Based On TAR-GARCH Model”, Review of Quantitative Finance and Accounting, 17(2001), 301-318.
- Chong, D.Y. (2011), “Effect of Sub-prime Crisis on U.S. Stock Market Return and Volatility”, Global Economy and Finance Journal, 4(1), 102-111.
- Christie, A. (1982), “The Stochastic Behavior Of Common Stock Variances: Value, Leverage, And Interest Rate Effects”, Journal of Financial Economics, 10(4), 407-432.
- Das, A., Kumar, N.R., Debnath, B. & Mandal, S.C. (2012), “Global Economic Crisis: Causes, Impact On Indian Economy, Agriculture and Fisheries”, International Journal of Agriculture Sciences, 4 (4), 221-226.
- Duffee, G.R. (1995), “Stock Returns and Volatility: A Firm Level Analysis”, Journal of Financial Economics, 37(1995), 399-420.
- Eichengreen, B. and Gupta, P. (2012), “The Global Financial Crisis And Indian Banks: Survival Of The Fittest?”, Retrieved from http://mrpa.ub.uni_muenchen.do/43365/ on August 3, 2013.
- Engle, R. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroscedasticity Models”, Journal of Business & Economic Statistics, 20(3), 339–350.
- Eredem, M. S. (2010), “Turkish Banking System In The Face Of The Global Crisis”, International Journal of Islamic and Middle Eastern Finance and Management, 3(4), 351-362.
- French, K.R. and Schwert, G.W. and Stambaugh, R.F. (1987), “Expected Stock Returns And Volatility”, Journal of Financial Economics, 19 (1987), 3-29.
- Ganapure, R. D. and Gaikwad, R. D. (2011), “Global Recession And Its Impact On Indian Banking”, Journal of Social Science, 1(II), 3036.
- Goudarzi, H. and Ramanaraynan, C.S. (2011), “Modeling Asymmetric Volatility In The Indian Stock Market”, International Journal of Business and Management, 6(3), 221-231.
- Idier, J., Lame, G. and Mesonnier, J.S. (2011), “Tail Market Risk, Bank Equity volatility And Bank Financial Structure: Exploring The Missing Link”, Working Paper of Financial Economics Research Division retrieved on 17-05-2012.
- Jagajeevan, S. (2010), “Return Volatility And Asymmetric News Effect In Shri Lankan Stock Market”, Central Bank of Shri Lanka Staff Papers, 40(1&2), 37-57.
- Kumar, R. (2009), “Global Financial And Economic Crisis: Impact On India and Policy Response”, Global Financial Crisis: Impact on India’s Poor, Chapter 1, UNDP, India, 1-18.
- Li, Q., Yang, J. Hsiao, C. and Chang, Y. C, (2005), “The Relationship Between Stock Returns And Volatility In International Stock Markets”, Journal of Empirical Finance, 12(2005), 650-665.
- Louis, K., Leonce, N. and Taoufik, R. (2009), “Impact Of The Global Financial and Economic Crisis in Africa”, Working Paper Series No.96, African Development Banking Group, 1-52.
- Makkar, A. and Singh, S. (2013), “Banking Stock Price Volatility & Global Financial Crisis”, Financial and Commodities Derivatives, Luxmi Publishing House, Rohtak, 121-129.
- Shaikh, R. K. (2010), “Global Economic Recession and its Impact on Indian Economy”, International Research Journal, I (II), 61-62.
- Sharma, R.B. and Pandey, S.L. D. (2010), “Impact of Global Financial Crisis on Investors’ Psychology: An Analysis”, SMS Journal, VI (1), 1-11.
- Somoye, R., Christopher, O. and Bamidele, I.M. (2009), “The Impact of Macro-economic Instability on the Banking Sector Lending Behaviour in Nigeria”, Journal of Money, Investment and Banking, 7(X), 88-100.
- Verma, S. and Mahajan, N. (2012), “Stock Return, Volatility and The Global Financial Meltdown: The Behaviour of Indian Stock Market”, International Journal of Arts and Commerce, 1(7), 166-178.
- Wu, G. (2001), “The Determinants of Asymmetric Volatility. The Review Of Financial Studies”, 14(3), 837-859.