Dynamic Connectedness and Volatility Spillover Effects of Indian Stock Market with International Stock Markets: An Empirical Investigation Using DCC GARCH
Contagion effects; DCC-GARCH; Dynamic connectedness; Emerging economies; Indian stock market; Interdependence; International stock market; Volatility spillover
This study employs the DCC-GARCH model to investigate the dynamic connectedness between the Indian and significant global stock markets. Specifically, we examine daily log returns data of the National Stock Exchange (NSE) index and several international indices, including the United States, Australia, China, Germany, England, Japan, and Taiwan. Our analysis indicates a significant level of volatility spillover between the Indian stock market and the international stock market. Notably, we observe a significant positive spillover effect from the S&P 500 and FTSE 100 to the Indian stock market, suggesting contagion effects. Additionally, we find bidirectional spillover between the Indian stock market and the Nikkei 225 and Hang Seng, indicating a high level of interdependence between these markets. Our research contributes to the growing literature on the dynamic connectedness of stock markets and has important implications for policymakers and investors in emerging economies such as India. Overall, this study provides valuable insights into the nature and extent of spillover effects between the Indian and international stock markets. 2023 University of Pardubice. All rights reserved.
Sainath A.R.; Gnanendra M.; Mohanasundaram T.; James L.; Misra S.
Scientific Papers of the University of Pardubice, Series D: Faculty of Economics and Administration, Vol-31, No. 1
https://doi.org/10.46585/sp31011691 https://www.scopus.com/inward/record.uri?eid=2-s2.0-85171669332&doi=10.46585%2fsp31011691&partnerID=40&md5=4aaaf0236a4c44a7e740d864a2c602e4
Sainath A.R., New Horizon College of Engineering, Department of Management Studies, Centre for Research, Bangalore, India; Gnanendra M., New Horizon College of Engineering, Department of Management Studies, Centre for Research, Bangalore, India; Mohanasundaram T., Ramiah Institute of Technology, Department of Management Studies, Bangalore, India; James L., CHRIST, School of Business and Management, Bangalore, India; Misra S., New Horizon College of Engineering, Department of Management Studies, Centre for Research, Bangalore, India