IMPACT OF VOLATILITY ON THE INDIAN STOCK MARKET WITH REFERENCE TO BANKRUPTCY OF LEHMAN BROTHERS HOLDINGS INC.

M. Deivanai, S. Vanitha

Abstract


The Global financial Crisis originated in the developed economy- The United States has spread its effect across the globe. Bankruptcy of Lehman Brothers Holdings Inc. during the financial crisis created a major impact on the economy of the nations.  During that period though India was also affected by the crisis it was able to withstand and manage the impact of the Global Financial Crisis. In this paper NSE NIFTY return has been used to identify the volatility in the NSE after the collapse of Lehman Brothers Holdings Inc. by taking Dow Jones Industrial Average return as an independent variable by the application of GARCH(1,1) model. High volatility has been witnessed during the study period.

Keywords


Dow Jones Industrial Average, Global Financial Crisis, NSE Nifty, Stock Return, Volatility, Lehman Brothers Holding Inc.

References


Aka Brou Emmanuel. (2009). "Subprime Crisis and Contagion: Evidence from the BRVM", African Review of Money Finance and Banking, Vol.33 (3), pp.51-71

Kanokwan Chancharoenchai and Sel Dibooglu. (2006). "Volatility spillovers and Contagion during the Asian Crisis:Evidence from Six South East Asian Stock Markets", Emerging Markets Finance and Trade, Vol. 42( 2), pp. 4-17.

Kate Phylaktis and Lichuan Xia. (2009). "Equity Market Comovement and Contagion: A Sectoral Perspective", Financial Management, Vol.38 (2), pp.381-409.

Matthew S. Yiu, Wai-Yip Alex Ho and Daniel F.Choi. (2010). "Dynamic Correlation Analysis of Financial Contagion in Asian Markets in Global Financial Turmoil", Applied Financial Economics, Vol.20(4), pp.345-354

Paulo Horta, Carlos Mendes and Isabel Vieira. (2010). "Contagion Effects of the Subprime Crisis in the European NYSE Euronext Markets", Port Econ J. Published Online, Vol.9, pp.115-140.

Sivagowry Sriananthakumar and Param Silvapulle. (2008). "Multivariate Conditional Heteroscedasticity Models with Dynamic Correlation for Testing Contagion", Applied Financial Economics. Taylor & Francis Journals, Vol. 18(4), pp. 267-273.

Wajih Khallouli and Rene Sandretto. (2012). "Testing for Contagion of the Subprime Crisis on the Middle East and North African Stock Markets: A Markov EGARCH Approach", Journal of Economic Integration. Vol.27(1), pp.134-166.


Refbacks

  • There are currently no refbacks.


Send mail to ijmss@ijmss.com with questions or comments about this web site. 

International Journal of Management and Social Sciences, All rights reserved.