A Comparative Analysis of BSE and NSE Indices During Major Economic Crisis: A Study of the 2008 Financial Crisis and the COVID-19 Shock

With India continuing to be one of the fastest-growing economies, rapidly approaching the $5 trillion GDP target, total savings and investment in stock markets are expected to increase. Stock market Indices reflect the overall market sentiment and play a vital role in influencing investments. They are used as benchmarks against which funds are evaluated. In this study, we compared the performance of three Bombay Stock Exchange (BSE) Indices and three National Stock Exchange (NSE) indices regarding volatility and returns during the two major economic shocks of the Global Financial Crisis and the COVID-19 pandemic. High contemporaneous correlation, similar central tendencies, and absence of Granger causality between indices with similar composition indicate that the two major domestic stock exchanges, namely the Bombay Stock Exchange and the National Stock Exchange, are well integrated. There was no significant lead-lag relationship observed between the indices during the period March 2019 to March 2023, except between Sensex and Nifty 50. This indicates that stocks on both exchanges generally responded to common market-wide information simultaneously. The possibility of gains for investors, through arbitrage and diversification between the two stock exchanges, was therefore limited.