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Theoretical and Applied Economics
No. 3 / 2012 (568)

The Indian Stock Market and the Great Recession

Arindam MANDAL
Siena College, Loudonville, USA
Prasun BHATTACHARJEE
East Tennessee State University, Johnson City, USA

Abstract. This study analyzes the impact of the outbreak of the Great Recession of 2007 on the behavior of the Indian stock market. The SENSEX index of the Bombay Stock Exchange is analyzed for the prerecession period of January 2002 – November 2007 and the postrecession outbreak period of December 2007 – July 2010. Substantial increase in SENSEX return volatility observed during the post-recession outbreak period, whereas no substantial difference in returns between two periods is found. Also strong co-movements in returns and volatility are observed between the SENSEX and other major stock indexes during the post-recession period. Our results establish the dominance of global factors in influencing Indian stock market behavior during periods of economic turmoil.

Keywords: great recession; SENSEX; contagion; volatility; daily returns.

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