PAPERS- VOLUME 2, ISSUE 1 (March-2017)

Difference in fragility pattern in Indian & US stock marke during sub-prime crisis

Authors
Sangeeta Rani

Abstract:

Abstract: The present paper proposes to analyze the fragility pattern in U.S. and Indian stock market. The descriptive statistics for both countries indices have been calculated individually. The returns from the Indian Stock market with reference to the previous day’s return of the US stock market shows lot of feedback effect from US to India. Volatility Models such as ARCH (1), GARCH (1, 1) and EGARCH (1, 1) has been applied on major indices ndexes and on selected sectoral indices. Some pre - tests, for example, the unit root test and the ARCH LM test to check whether there was ARCH impact or not are utilized. The result shows that there was difference in the fragility pattern of U .S. and Indian Stock market. U.S. market was more volatile than Indian market.



Keywords: stock markets, subprime crisis, fragility, volatility

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