CONTAGION AND GLOBAL FINANCIAL CRISIS: IMPACT ON THE INDIAN STOCK MARKETS

Abstract

Global Financial Crisis is one of the worst crisis that the economies met during 2008.  During the crisis period there was a severe contagion in the banking sector of the United States later which spread to other economies. During the evolution of the crisis, the developing nations like Indian stock market was also affected to an extent. In this paper the existence of contagion in the BSE Sensex Index and Nifty 50of India considering Dow Jones Industrial Average Index of the United States as independent variable for the period of 5 years before and 10years after the collapse of the Lehman Brothers Holdings Inc. was studied. GARCH(1,1) model was used to analyse the presence of contagion in the Indian Stock Market.

Key Words: Contagion, Financial Crisis, Nifty 50, S&P BSE Sensex, Stock Market.