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Modeling conditional volatility of Indian banking sector's stock market returns

Singh, Amanjot 2017, Modeling conditional volatility of Indian banking sector's stock market returns, Scientific Annals of Economics and Business, vol. 64, no. 3, pp. 325-338, doi: 10.1515/saeb-2017-0021.

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Title Modeling conditional volatility of Indian banking sector's stock market returns
Author(s) Singh, AmanjotORCID iD for Singh, Amanjot orcid.org/0000-0003-3575-4382
Journal name Scientific Annals of Economics and Business
Volume number 64
Issue number 3
Start page 325
End page 338
Total pages 14
Publisher Dept. of Mathematics, Budapest University of Economics
Place of publication Budapest, Hungary
Publication date 2017
ISSN 2501-1960
2501-3165
Keyword(s) banking sector
conditional volatility
GARCH
sectoral indices
variances
Summary 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.
Language eng
DOI 10.1515/saeb-2017-0021
Indigenous content off
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Free to Read? Yes
Persistent URL http://hdl.handle.net/10536/DRO/DU:30150396

Document type: Journal Article
Collections: Faculty of Business and Law
Open Access Collection
Department of Finance
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Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.