Return and Volatility Spillover among Commodity Futures, Stock Market and Exchange Rate: Evidence from India (Record no. 52369)
[ view plain ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 01793nam a2200205 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20190806174857.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 190806b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Maitra,Debasish |
| 9 (RLIN) | 34079 |
| 245 ## - TITLE STATEMENT | |
| Title | Return and Volatility Spillover among Commodity Futures, Stock Market and Exchange Rate: Evidence from India |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 214–237 p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | This article aims to investigate return and volatility spillover among commodity, stock and exchange rate markets. The article further looks into whether there is any change in return and volatility spillover during the crisis and post-crisis periods and whether there is any in the behaviour of spillover changes between agro and non-agro based commodities. The study uses Vector Auto Regression followed along with by Granger causality are to understand the causality of returns. We have performed multivariate volatility model to study the volatility co-movement of different assets. Unidirectional return spillover from the Multi Commodity Exchange (non-agro commodity) to stock indices and exchange rates is found. Stock indices are found to influence exchange rates to return; whereas the only dollar explains the return in stock indices. Equity markets have been found to have a return spillover on NCDEX (agro commodity) during the post-crisis period. However, each asset market is found to have volatility spillover effects on the other asset market. Commodity indices have more spillover effects on stocks. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Return |
| Uncontrolled term | Volatility |
| Uncontrolled term | Spillover, |
| Uncontrolled term | Asset markets, |
| -- | India |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Dawar, Varun |
| 9 (RLIN) | 5618 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 29349 |
| Host Itemnumber | 74523 |
| Main entry heading | BANIK, ARINDAM |
| Place, publisher, and date of publication | NEW DELHI SAGE PUBLISHING PVT. LTD. |
| Other item identifier | 55510282 |
| Title | GLOBAL BUSINESS REVIEW |
| International Standard Serial Number | 0972-1509 |
| 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 | 06/08/2019 | Vol 20, No 1/ 55510282JA15 | 55510282JA15 | 06/08/2019 | 06/08/2019 |