Comparative Analysis of Return, Volatility, and Market Capitalization: Public vs. Private Sector Banks

The Return, volatility, and market capitalization of two indices of the NSE public and private sector banks are studied.Daily closing prices of both indices are used for analysis from 1 January 2018 to 31 December 2019.In this study, several tools are employed such as Descriptive statistics, ADF test, and ARCH-LM test.The study reveals that the Nifty public sector bank index is highly volatile when compared with the Nifty private sector bank index.The results of the ARCH -LM test indicate that the return series of private sector banks show heteroskedasticity but in the case of public sector banks, it is found homoskedasticity which indicates that variance remains constant over the period.Additionally, analysis reveals that the overall market capitalization of HDFC Bank is more than all public sector banks which means that the stock of HDFC Bank is safer than the other banks.