| 000 | 03030nam a2200253 4500 | ||
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| 999 |
_c52891 _d52891 |
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| 003 | OSt | ||
| 005 | 20191121150423.0 | ||
| 008 | 191121b ||||| |||| 00| 0 eng d | ||
| 100 |
_aNandy (Pal), Suparna _935021 |
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| 245 | _a‘Indian Stock Market Volatility’: A Study of Inter-linkages and Spillover Effects | ||
| 300 | _a183S-213S p. | ||
| 520 | _aThe 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 | _aVolatility spillover | ||
| 653 | _aasymmetric | ||
| 653 | _avolatility spillover | ||
| 653 | _aVAR | ||
| 653 | _aGranger causality | ||
| 653 | _aimpulse response function | ||
| 653 | _avariance decomposition | ||
| 653 | _aDCC-MV-TARCH (1,1) | ||
| 700 |
_aChattopadhyay, Arup Kr. _931599 |
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| 773 | 0 |
_029445 _977278 _aGANGOPADHYAY, SHUBHASIS _dNEW DELHI SAGE PUBLICATION PVT. LTD. _o55511089 _tJOURNAL OF EMERGING MARKET FINANCE _x0972-6527 |
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| 942 |
_2ddc _cJA-ARTICLE |
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