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DECISION : Volume 40

Asymmetric cross-market volatility spillovers: evidence from Indian equity and foreign exchange markets

Content Provider	Springer Nature Link
Author	Panda, Pradiptarathi Deo, Malabika
Copyright Year	2014
Abstract	In order to capture the volatility and asymmetric transformation effect in Indian stock and foreign exchange market, two exchange rates [US Dollar (USD) and Euro] were tested with stock index (SENSEX). The study focused on the 2008 US subprime financial crisis period and analyzed data for the two sub periods like pre subprime and post subprime crisis period. The whole of the study period covers from 2nd April 2004 to 30th March 2012 with total of 1,930 daily observations. Descriptive statistics were drawn from the data series to know the nature of the data. All return series were found to be stationary at level. To proceed, for examining the volatility spillover between the variables generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) models was used. The benefit of using EGARCH model is that, it is able to capture the asymmetric nature or the impact of good and bad news separately. The inferences drawn by applying these models in the two sub periods revealed that post crisis period comprised highest bidirectional volatility and asymmetric spillover effect between these two markets compared to pre-crisis period. The study observed that unlike volatility in Euro currency, volatility in Indian stock market was more caused by volatility in USD. Likewise post crisis period is pronouncing more volatility compared to pre-crisis period. This kind of research is of higher relevance in present day context because it allows the players of the financial markets to hedge their risk accordingly.
Starting Page	261
Ending Page	270
Page Count	10
File Format	PDF
ISSN	03040941
Journal	DECISION
Volume Number	41
Issue Number	3
e-ISSN	21971722
Language	English
Publisher	Springer India
Publisher Date	2014-05-23
Publisher Institution	Indian Institute of Management Calcutta
Publisher Place	India
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Exchange rates Volatility spillover effect GARCH Stock indices EGARCH Asymmetric effect Management/Business for Professionals
Content Type	Text
Resource Type	Article

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