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

Abstract

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.

Trends in Multidiscipline Management Research: Past, Present and Future of FIIB Business Review

“…Figure 7 shows the co-occurrence analysis of author keywords between 2011 and 2022. The figure shows that some themes emerge through the graphical mapping, such as COVID-19 (Bhatia & Gupta, 2020), pandemic, entrepreneurship, attitude, trust, emotional intelligence, sustainable intelligence, corporate governance, etc. The figure demonstrates the interdisciplinary focus of the journal.…”

“…Figure 7 shows the co-occurrence analysis of author keywords between 2011 and 2022. The figure shows that some themes emerge through the graphical mapping, such as COVID-19 (Bhatia & Gupta, 2020), pandemic, entrepreneurship, attitude, trust, The co-citation analysis of the authors has been done to understand the most cited authors in FBR. The network diagram has been developed with a threshold of 20 papers with 29 connections.…”

An Analysis on Stock Market Volatility in an Emerging and Developing Economy During Global Pandemic

“…As per the study by Bhatia and Gupta (2020), Indian banking sector oral indicators were compared to the overall banking index using asymmetric and symmetric models, taking into account the Sub-prime crisis and COVID-19. Researchers found that despite the leverage impact that occurred during the sub-prime crisis, these indexes' volatility characteristics were sufficient to maintain their market presence.…”

Stock Market Volatility in Zimbabwe Stock Exchange During Pandemic Period

“…A higher degree of uncertainty can cause financial volatility, a measure of dispersion around the mean return of a financial asset (Bonga, 2014). As Bhatia and Gupta (2020) indicate, stock market volatility may be a composite of companies, industries, or the world over information that has been made public. In support, Alqaralleh and Canepa (2021) narrate that the COVID-19 outbreak triggered massive spikes in uncertainty in world financial markets.…”

“…A health crisis like the current pandemic can alter and change the nature of a stock return's volatility and hence has to be verified for investment decisions and policy. As Bhatia and Gupta (2020) argue, stock returns may have turned volatile due to panics brought by the pandemic stock, and the volatility may be country-specific. A study by Mahonye and Mandishara (2014) shows that both global and local economic factors determine stock market returns.…”