Causality and volatility spillovers of banks' stock price returns on BSE Bankex returns
- Title
- Causality and volatility spillovers of banks' stock price returns on BSE Bankex returns
- Creator
- Subburayan B.
- Description
- This paper investigates the causal relationships and volatility spillovers between the BSE Bankex index and the stock prices of five major Indian banks (Axis Bank, HDFC Bank, ICICI Bank, Kotak Bank, and SBI). Daily data from January 2, 2018 to March 8, 2023 are used, and statistical techniques such as descriptive statistics, Unit Root test, Cointegration test, Ganger Causality test, OLS regression, and GARCH model are employed. The study finds bidirectional causal relationships between the bank stocks and BSE Bankex returns, suggesting that the movement of the bank stocks significantly affects the overall market returns and vice versa. The study also finds significant volatility spillovers between the bank stocks and BSE Bankex returns, implying that the shocks in the bank stocks affect the market returns and vice versa. The study's outcomes have practical implications for investors and policymakers. Investors can use the results to make informed investment decisions in the Indian stock market, while policymakers can use the findings to monitor the financial stability of the banking sector and design appropriate policy interventions to address any potential financial crises. Overall, the study's findings suggest that policymakers should proactively monitor and manage market risks to safeguard overall financial stability. 2023 Wiley Periodicals LLC.
- Source
- Journal of Corporate Accounting and Finance, Vol-35, No. 1, pp. 59-75.
- Date
- 2024-01-01
- Publisher
- John Wiley and Sons Inc
- Subject
- bank stocks; BSE Bankex; causality; GARCH; volatility spillover
- Coverage
- Subburayan B., Christ University School of Business and Management, Karnataka, Bangalore, India
- Rights
- Restricted Access
- Relation
- ISSN: 10448136
- Format
- Online
- Language
- English
- Type
- Article
Collection
Citation
Subburayan B., “Causality and volatility spillovers of banks' stock price returns on BSE Bankex returns,” CHRIST (Deemed To Be University) Institutional Repository, accessed February 24, 2025, https://archives.christuniversity.in/items/show/13862.