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• W3122156954 abstract "(ProQuest: ... denotes formulae omitted.)IntroductionFinancial crises are part and parcel of financial sector development. The gap between risk- bearing capacity and search for higher returns is the common aspect of almost all crises (Das et al., 2012). Crisis that originated from developed market not only affects the country of its origin but also spills over to affect the world economy (Goudarzi and Ramanarayanan, 2011). During a crisis, the stock market registers additional movements that are more than during the normal time and stock prices fall strongly in both developed and developing nations. In stock markets of emerging economies like India, the effects of crisis are rapid and stretched.A lot of work has been carried out to analyze the relationship between stock returns and volatility, but only a few studies have been carried out to examine the behavior of stock returns during a financial crisis. A majority of this type of research is done in the context of the developed countries. The presence of volatility is most evident during the stock market crashes when a huge turndown in stock prices is associated with a significant increase in market volatility (Wu, 2001).For instance, the Indian economy has been badly affected by the recent US financial crisis. Following the news of the recession in the US market, Indian financial markets showed a near 60% decline in the index and wiping off of about US$1.3 tn in market capitalization since January 2008 when the Sensex peaked at about 21,000 (Kumar, 2009). The Indian stock market was also affected by earlier crises that occurred elsewhere, but a majority of these crises were not as serious as the recent one that originated from the US.Given this, it is relevant to measure the impact of the recent crisis on the stock volatility of Indian commercial banks and compare the stock volatility of Indian commercial banks during pre- and post-crisis periods.Literature ReviewThere are a number of studies that have analyzed the relationship between stock prices and their volatility; but the studies that have examined stock price behavior and changes in volatility during financial crisis are very few. In what follows, we provide a review, first, of studies relating to stock prices and volatility and, second, of studies which examined the impact of crisis on banking sector stock performance.French et al. (1987) evaluated the relationship between stock returns and stock market volatility of NYSE common stocks for 1928 to 1984 and found that positive unexpected change in volatility had increased future expected risk premiums and lowered the current stock prices. Baillie and DeGennaro (1990) analyzed the expected return on stock portfolio and risk using the GARCH model. The study found a weak relationship between mean returns and volatility of stock prices. Duffee (1995) evaluated the stock returns of 2,617 firms with stock return data of 1977 to 1995 on a daily basis in CRSP Amex/NYSE to find out the relationship between stock returns and volatility at firm level. The study found a strong positive contemporaneous relationship between stock returns and their volatility. The results of this study were largely supported by the existing studies of Black (1976), Christie (1982) and Cheung and Ng (1992) that the firm's stock returns and changes in volatility had a negative relationship.Brandt and Kang (2004) examined the relationship between the conditional mean and volatility of stock returns using VAR model and found a negative relationship between conditional mean and volatility of stock returns. Li et al. (2005) assessed the relationship between the expected stock returns and volatility of 12 largest international stock markets for the period 1980 to 2001 using EGARCH-M model and found a negative relationship between stock returns and volatility.Somoye et al. (2009) assessed the impact of macroeconomic instability on the banking sector in Nigeria and concluded that bank lending has a long-run relationship with the macroeconomic instability. …" @default.
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• W3122156954 date "2014-04-01" @default.
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• W3122156954 title "Relationship between Crisis and Stock Volatility: Evidence from Indian Banking Sector" @default.
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