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The Indian Stock Market and the Great Recession

Author

Listed:
  • Arindam MANDAL

    (Siena College, Loudonville, USA)

  • Prasun BHATTACHARJEE

    (East Tennessee State University, Johnson City, SUA)

Abstract

This study analyzes the impact of the outbreak of the Great Recession of 2007 on the behavior of the Indian stock market. The SENSEX index of the Bombay Stock Exchange is analyzed for the prerecession period of January 2002 – November 2007 and the postrecession outbreak period of December 2007 – July 2010. Substantial increase in SENSEX return volatility observed during the post-recession outbreak period, whereas no substantial difference in returns between two periods is found. Also strong co-movements in returns and volatility are observed between the SENSEX and other major stock indexes during the post-recession period. Our results establish the dominance of global factors in influencing Indian stock market behavior during periods of economic turmoil.

Suggested Citation

  • Arindam MANDAL & Prasun BHATTACHARJEE, 2012. "The Indian Stock Market and the Great Recession," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(568)), pages 51-76, March.
    • Handle: RePEc:agr:journl:v:3(568):y:2012:i:3(568):p:51-76
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    Cited by:

    1. Srilakshminarayana G, 2021. "Tail Behaviour of the Nifty-50 Stocks during Crises Periods," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(4), pages 115-151, December.

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