Time - Varying Correlations, Causality, and Volatility Linkages of Indian Commodity and Equity Markets : Evidence from DCC - GARCH (Record no. 50465)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01890nam a2200229 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20181120145736.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 181120b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Perumandla, Swamy |
| 9 (RLIN) | 32503 |
| 245 ## - TITLE STATEMENT | |
| Title | Time - Varying Correlations, Causality, and Volatility Linkages of Indian Commodity and Equity Markets : Evidence from DCC - GARCH |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 21-40 p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | This empirical study explored and examined the dynamic conditional correlations, causality, and volatility linkages between the commodity and equity markets in India. In this study, we utilized the DCC-GARCH framework. The symmetric and asymmetric versions of DCC-GARCH, DCC-GJR GARCH, and DCC-EGARCH were used. Our study incorporated the major Indian equity market indices, BSE Sensex and Nifty 50 and commodity market indices, MCX Comdex and Dhaanya. Our results revealed that a mixed portfolio of commodity - equity had low and negative correlations compared to only equity or only commodity portfolios. We deployed the Granger causality test which indicated the short term integration of returns among the markets. We found a bidirectional causal relation between BSE Sensex and Nifty 50 indices. However, we noticed unidirectional causality between MCX Comdex index to Dhaanya index and Dhaanya to Nifty 50 index. The empirical evidence obtained from this study will be useful for the institutional investors, policymakers, investors, and government while framing strategies for portfolio risk diversification and hedging. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Time-Varying Correlations |
| Uncontrolled term | Causality |
| Uncontrolled term | Volatility |
| Uncontrolled term | Indian Commodity and Equity |
| Uncontrolled term | Portfolio Risk Management, |
| Uncontrolled term | Dynamic Correlations, |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Kurisetti, Padma |
| 9 (RLIN) | 32504 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 29384 |
| Host Itemnumber | 72772 |
| Main entry heading | GILANI,S. |
| Other item identifier | 5559447 |
| Title | INDIAN JOURNAL OF FINANCE |
| International Standard Serial Number | 0973-8711 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 20/11/2018 | Vol 12, Issue 9/ 5559447JA2 | 5559447JA2 | 20/11/2018 | 20/11/2018 |