Title: Dynamic volatility spillover across stock markets of India and its trading partners - an empirical investigation

Authors: Ruchika Kaura; Namita Rajput

Addresses: Atma Ram Sanatan Dharma College, University of Delhi, India ' Sri Aurobindo College, University of Delhi, India

Abstract: This study investigates the nature of volatility transmissions between India and its 14 major trading partners based on their benchmark stock market indices covering time period from January 2013 to May 2020. The results of EGARCH model provide that significant bi-directional volatility spillover exists between India and four of its trading partners; unidirectional volatility spillover exists from six of its trading partners towards India; unidirectional volatility spillover exists from India towards three of its trading partners; and volatility spillover between India and one trading partner is not found significant. The results of DCC-GARCH model reveal that time-varying/dynamic nature of the conditional correlation exists for all the pairs of stock market indices. The findings of the study have useful implications for portfolio managers, international investors and regulators for devising diversification strategies and for policy arrangements to bring stability of an economy from international financial shocks and crisis.

Keywords: volatility spillover; financial markets; DCC-GARCH model; India; EGARCH model.

DOI: 10.1504/IJEBR.2023.131784

International Journal of Economics and Business Research, 2023 Vol.26 No.1, pp.84 - 109

Received: 26 Jan 2021
Accepted: 24 Jun 2021
Published online: 03 Jul 2023 *