Mihir Dash,  Alliance University, Bangalore, India

Beta is the central concept in the CAPM model. If betas vary considerably across time, the CAPM model's explanatory power would be undermined. The objective of the study is to test the stationar­ity of beta for banking sector stocks in different market regimes in Indian stock markets. The study was performed using a sample of six banking sector stocks out of fourteen banking sector stocks that are part of the Nifty 50 Index, listed on the National Stock Exchange (NSE), India, over a study period of six years. The study period was sub-divided into phases based on overall market trends:Boomphase (Apr. 2005 -Dec. 2007),Recession phase (Jan. 2008 - Mar. 2009), and Recovery phase (Apr. 2009 -Mar. 2011).The analysis wasperformed through the application of panel regres­ sion analysis. The results indicate that there were significant differences in betas over the different market phases. This suggests that betas of banking sector swcks in Indian stock markets are non-stationary.

Keywords: time-varying beta, banking sector, Indian stock markets, panel regression analysis

Suggested citation: Dash, M.(2015). Testing the stationarity of beta for banking sector stocks in Indian stock markets: a panel regression analysis. Skyline Business Journal, Volume  11, No 1,pp 54-60.

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Dash, M.(2015). Testing the stationarity of beta for banking sector stocks in Indian stock markets: a panel regression analysis. Skyline Business Journal, Volume  11, No 1,pp 54-60.