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Volatility and return: A study with special reference to the selected banking sectoral stocks of NSE

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Original Article

Author Details : M Muthukamu*

Volume : 5, Issue : 3, Year : 2018

Article Page : 285-292

https://doi.org/10.18231/2394-2770.2018.0045

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Abstract

Banking sector in India have witnessed a tremendous growth in terms of their volume of business in the recent past and contributed significantly for the growth story of Indian economy. As per the Reserve Bank of India (RBI), India’s banking sector is sufficiently capitalized and well-regulated. Credit, market and liquidity risk studies suggest that Indian banks are generally resilient and have withstood the global downturn well. Hence, an attempt has been made in this paper to understand the performance delivered by the banking sector stocks and the volatility associated with that performance during the study period. For this purpose, the daily price behavior of the selected banking stocks was considered and to understand the volatility, GARCH family model was applied. Data were collected for the period from January 2008 to June 2018, when the market has witnessed both the prolonged bear and bull phase. It was found that private sector stocks have delivered higher returns than the public sector banks and they have witnessed more volatility during the study period.

Keywords: Banking stocks, Volatility, Return, GARCH Model.

How to cite : Muthukamu M, Volatility and return: A study with special reference to the selected banking sectoral stocks of NSE. J Manag Res Anal 2018;5(3):285-292

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