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- Publisher
- de Gruyter
- Copyright
- © 2017 Amanjot Singh, published by De Gruyter Open
- eISSN
- 2501-3165
- DOI
- 10.1515/saeb-2017-0021
- Publisher site
- See Article on Publisher Site
Abstract
AbstractThe 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.
Journal
Scientific Annals of Economics and Business – de Gruyter
Published: Oct 1, 2017