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

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

Sangeeta Rani


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

Prabandhotsav 2016more_vert

Prabandhotsav 2016

Prabandhotsav 2016close

The Management Fest for giving a platform to students to showcase their knowledge, skill and capability..

Emanation 2016more_vert

Emanation 2016

Emanation 2016close

Baddi University Tech Fest 2016.

Baddi Universitymore_vert

Baddi University

Baddi Universityclose

The Society named Center for Advanced Studies in Engineering (CASE) was established on 2nd May, 2000 with a deep commitment to promote and propagate quality technical education. The commitment was translated into reality with the establishment of School of Engineering & Emerging Technologies (SEET) at Baddi in the year 2002.
The Society, through this institute, has been Providing B.Tech. engineering (CSE, IT, ECE, ME, EE, Civil Engg.Applied Sciences & Humanities),BCA, MCA, BBA, B.Com, B. Pharma and MBA courses to the youth of Himachal Pradesh and other states of India.