A Comparative Study on the Synchronicity of Indian Public Sector Banks’ Shares during the Sub-Prime Crisis Period with that of the Pre and the Post Crisis Periods

Abstract

The turmoil in the international financial markets of advanced economies that started around mid-2007 and intensified substantially since August 2008 had engulfed many developed and emerging countries within its blaze. India, a great example of an emerging economy was not far away from the heat. The present study in this context attempted to examine whether there was any significant change in the behaviour of share price synchronicity of the Indian Public Sector Banks during the crisis period in compare to pre and post crisis period or not. It was found that Indian Public Sector Banks’ stock prices were more aligned to the market during the crisis period compared to the pre crisis and the post crisis period.