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Modeling Conditional Volatility of Indian Banking Sector’s Stock Market Returns

Author

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  • Singh Amanjot

    (Punjabi University, India)

Abstract

The study attempts to capture conditional variance of Indian banking sector’s stock market returns across the years 2005 to 2015 by employing different GARCH based symmetric and asymmetric models. The results report existence of persistency as well as leverage effects in the banking sector return volatility. On an expected note, the global financial crisis increased conditional volatility in the Indian banking sector during the years 2007 to 2009; further evidenced from Markov regime switches. The exponential GARCH (EGARCH) model is found to be the best fit model capturing time-varying variance in the banking sector. The results support strong implications for the market participants at the time of devising portfolio management strategies.

Suggested Citation

  • Singh Amanjot, 2017. "Modeling Conditional Volatility of Indian Banking Sector’s Stock Market Returns," Scientific Annals of Economics and Business, Sciendo, vol. 64(3), pages 325-338, October.
    • Handle: RePEc:vrs:aicuec:v:64:y:2017:i:3:p:325-338:n:4
    DOI: 10.1515/saeb-2017-0021
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    Cited by:

    1. Neenu C & T Mohamed Nishad, 2022. "Asymmetric Volatility and Leverage Effect in Stock Market: A Bibliometric Review," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 14(1), pages 21-34, June.
    2. Alin Marius Andries & Elena Galasan, 2020. "Measuring Financial Contagion and Spillover Effects with a State-Dependent Sensitivity Value-at-Risk Model," Risks, MDPI, vol. 8(1), pages 1-20, January.

    More about this item

    Keywords

    banking sector; conditional volatility; GARCH; sectoral indices; variances;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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