Econometric Models and Tests of Volatility, Cointegration and Randomness in Indian Equity Indices and other Vista Countries Post Global Financial Crisis

Mukherjee, Subhasree; Das, Abishanka; Sivarethinamohan, R.

doi:10.5958/2249-7323.2020.00004.8

Cited by 1 publication

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“…Domestic events like general elections and demonetization also had spillover effects on the study's analysed assets' returns. Another study on the post-financial crisis by Mukherjee et al (2020) found strong evidence of volatility and spillover effects between Indian and VISTA countries' stock markets. The study applied different GARCH models and cointegration techniques to reach this conclusion for the post-global crisis period (2008)(2009)(2010)(2011)(2012)(2013)(2014)(2015)(2016)(2017)(2018)(2019)(2020).…”

Section: Literature Reviewmentioning

confidence: 99%

Sub-prime Crisis or COVID-19: A Comparative Analysis of Volatility in Indian Banking Sectoral Indices

Bhatia

Gupta²

2020

FIIB Business Review

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Stock market volatility may be a function of company, industry, or world over information made public. The present study has investigated the volatility of Indian banking sectoral indices with the general banking index for two shocking events: the Sub-prime crisis and COVID-19. A comparative analysis of both the shocks leading to these indices’ volatility has been conducted using symmetric and asymmetric models. This study’s findings show that these indices’ volatile behaviour has been strong enough to persist in the market with the leverage effect present during the sub-prime crisis. This effect disappeared for Nifty Bank Indices and Private Sector Bank Indices as compared to Public Sector Undertaking Bank Indices during COVID-19 (probably because the pandemic is not over yet). With GARCH and EGARCH models, the study suggests that the investors may use the diversification approach, in the long run, to safeguard their portfolio values to survive from global shocks.

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Section: Literature Reviewmentioning

confidence: 99%