Effect of Global Economic Crisis on the Price Behavior of Realty Sector Index Stocks of NSE

Abstract

This study has been conducted to understand whether the global economic crisis triggered by sub - prime crisis, which was happened due to burst in asset price of housing sector in United States have made any significant negative impact on the price behavior of the housing sector stocks of Indian equity market ? and if yes, whether this negative impact has brought volatility, more specifically asymmetric volatility (Leverage effect) to the Indian equity market?. In the process finding out the answer to these questions, we have collected data relating to the price behavior of the constituent stocks of Realty sector index of NSE for the period from 9th January 2008 to 5th November 2010, the period where the Indian equity market index -NIFTY has travelled from its peak 6287 mark to 2573 mark and bounced smartly from this low to again its previous high (around 6300) and the price behavior data were collected from the official web site of NSE. The GARCH family models viz. GARCH (1,1) and EGARCH (1,1) were employed to understand the symmetric and asymmetric volatility and found that realty sector stocks were negatively influenced by the sub-prime crisis and has triggered the volatility of both symmetric and asymmetric volatility.