ABSTRACT:
Thecurrent study scrutinizes the influence of interest rate changes on the unpredictability of stock returns and type of association between interest rate movements and stock returns of banking sector in India by applying the methodology of GARCH (1, 1) model, Correlation test and Johansen's Cointegration Test. The study considers the period from April 2000 toMarch, 2018. 11 banks that are listed in the S and P BSE 500 index is taken as sample for the study. Returns of banking sector stocks in India are found to highly sensitive and volatile to interest rate changes. Results of the present study have a great importance for policy regulators and investment community at large.
Cite this article:
Neetu Chadha. Interest Rate Sensitivity of Banking Sector Stock Returns. Res. J. Humanities and Social Sciences. 2019; 10(2): 359-370. doi: 10.5958/2321-5828.2019.00062.7
Cite(Electronic):
Neetu Chadha. Interest Rate Sensitivity of Banking Sector Stock Returns. Res. J. Humanities and Social Sciences. 2019; 10(2): 359-370. doi: 10.5958/2321-5828.2019.00062.7 Available on: https://www.rjhssonline.com/AbstractView.aspx?PID=2019-10-2-15