| Variable | Definition | Data Source |
| Ri,t | ith bank stock returns at time t | PROWESS |
| Rm,t | Market index returns (CNX Nifty index) at time t | www.nseindia.com |
| Rb,t | Interest rate returns at time t | www.nseindia.com |
| Rbn,t | Bank nifty index returns at time t | www.nseindia.com |
| Re,t | Equally weighted returns of all banks at time t12 | Based on equally weighted calculation |