The Indian Stock Market and the Great Recession

The Indian Stock Market and the Great Recession

This study analyzes the impact of the outbreak of the Great Recession of 2007 on the behavior of the Indian stock market. The SENSEX index of the Bombay Stock Exchange is analyzed for the prerecession period of January 2002 – November 2007 and the postrecession outbreak period of December 2007 – Jul...

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Bibliographic Details
Main Authors: Arindam MANDAL, Prasun BHATTACHARJEE
Format: Article
Language:English
Published: General Association of Economists from Romania 2012-03-01
Series:Theoretical and Applied Economics
Subjects:
great recession
SENSEX
contagion
volatility
daily returns
Online Access: http://store.ectap.ro/articole/698.pdf
Description
Summary:This study analyzes the impact of the outbreak of the Great Recession of 2007 on the behavior of the Indian stock market. The SENSEX index of the Bombay Stock Exchange is analyzed for the prerecession period of January 2002 – November 2007 and the postrecession outbreak period of December 2007 – July 2010. Substantial increase in SENSEX return volatility observed during the post-recession outbreak period, whereas no substantial difference in returns between two periods is found. Also strong co-movements in returns and volatility are observed between the SENSEX and other major stock indexes during the post-recession period. Our results establish the dominance of global factors in influencing Indian stock market behavior during periods of economic turmoil.
ISSN:1841-8678
1844-0029

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