Interest Rate Sensitivity Of Stock Returns: A Case Study Of Textile Sector In India
The present study examines the relationship between interest rate movements and stock returns of textile sector in India by using the methodology of GARCH (1, 1) model. The study spans the period from 1st April 1996- 30th August 2014. Sample used in the study consists of all textile sector companies listed in the S&P CNX 500 index which has continuous availability of share prices over the study period. Textile companies stock returns exhibits significant positive relationship with market returns, whereas this relationship was negative with interest rate changes. Stock returns of textile sector in India are found to have significant exposure with interest rate volatility. Results of the present study have important implications for textile industry entrepreneurs, policy regulators and investment community at large.
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