Published Online:October 2025
Product Name:The IUP Journal of Accounting Research & Audit Practices
Product Type:Article
Product Code:IJARAP011025
DOI:10.71329/IUPJARAP/2025.24.4.7-32
Author Name:Satishkumar
Availability:YES
Subject/Domain:Finance
Download Format:PDF
Pages:7-32
This study investigates the phenomenon of mean reversion and the speed at which it occurs in India’s public and private sector banks, through the GARCH model and the halflife volatility method. The analysis includes daily stock price data from April 1, 2008, to March 31, 2024, for a diverse set of public and private banks. The findings indicate that Citibank exhibits the highest volatility among the banks examined, while the Central Bank of India (CBI) demonstrates the lowest volatility. Furthermore, CBI is identified as the one showing the fastest mean reversion speed; yet it also exhibits the slowest comparative volatility among all the banks sampled. In contrast, Citibank exhibits the slowest mean reversion speed, while demonstrating the highest comparative volatility. Overall, public sector banks return to their average levels more quickly than private banks, indicating a faster stabilization of their stock prices.
Researchers in finance have long been interested in understanding specific questions about stock price behavior over time, such as whether stock prices exhibit predictable patterns or random behavior.