‘Indian Stock Market Volatility’: A Study of Inter-linkages and Spillover Effects (Record no. 52891)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 03030nam a2200253 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20191121150423.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 191121b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Nandy (Pal), Suparna |
| 9 (RLIN) | 35021 |
| 245 ## - TITLE STATEMENT | |
| Title | ‘Indian Stock Market Volatility’: A Study of Inter-linkages and Spillover Effects |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 183S-213S p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | The article attempts to examine interdependence between Indian stock market and other domestic financial markets, namely, foreign exchange market, bullion market, money market, and also Foreign Institutional Investor (FII) trade and foreign stock markets comprising one regional stock market represented by Nikkei of Japan and other stock market for the rest of the world represented by Standard & Poor’s (S&P) 500 of the USA. Attempts are also made to examine asymmetric volatility spillover, first, between the Indian stock market and other domestic financial markets and second, between the Indian stock market and global stock markets (represented by Nikkei and S&P 500) along with the foreign exchange market. To measure linear interdependence among multiple time series of financial markets multivariate Vector Autoregression (VAR) analysis, Granger causality test, impulse response function and variance decomposition techniques are used. For estima-ting the volatility spillover among the aforesaid markets Dynamic Conditional Correlation-Multivriate-Threshold Autoregressive Condi-tional Heteroscedastic (DCC-MV-TARCH) (1, 1) model is applied on daily data for a quite long period of time from 01 April 1996 to 31 March 2012. The results of multivariate VAR analysis, Granger causality test, variance decomposition analysis and impulse response function estimation establish significant interdependence between domestic stock market and different other financial markets in India and abroad. The results of DCC-MV-TARCH (1, 1) model estimation further show signi- ficant asymmetric volatility spillover between the domestic stock market and the foreign exchange market and also from the domestic stock market to bullion market and changes in gross volume of FII trade. We also find (a) both way asymmetric volatility spillover between the domestic stock market and the Asian stock market and (b) its unidirectional movement from the world stock market to the domestic stock market. The results of the study may help market regulators in setting regulatory policies considering the inter-linkages and pattern of volatility spillovers across different financial markets. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Volatility spillover |
| Uncontrolled term | asymmetric |
| Uncontrolled term | volatility spillover |
| Uncontrolled term | VAR |
| Uncontrolled term | Granger causality |
| Uncontrolled term | impulse response function |
| Uncontrolled term | variance decomposition |
| Uncontrolled term | DCC-MV-TARCH (1,1) |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Chattopadhyay, Arup Kr. |
| 9 (RLIN) | 31599 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 29445 |
| Host Itemnumber | 77278 |
| Main entry heading | GANGOPADHYAY, SHUBHASIS |
| Place, publisher, and date of publication | NEW DELHI SAGE PUBLICATION PVT. LTD. |
| Other item identifier | 55511089 |
| Title | JOURNAL OF EMERGING MARKET FINANCE |
| International Standard Serial Number | 0972-6527 |
| 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 | 21/11/2019 | Vol 18, No 2S/ 55511089JA2 | 55511089JA2 | 21/11/2019 | 21/11/2019 |