IDEAS home Printed from https://ideas.repec.org/a/ddj/fseeai/y2024i3p102-118.html
   My bibliography  Save this article

Examining Volatility Spillover between India and Global Emerging Stock Markets during COVID 19 and Russia-Ukraine War Crisis

Author

Listed:
  • Veerendra Anchan

    (Anil Surendra Modi School of Commerce, NMIMS University, Mumbai)

  • Harshita Maurya

    (Anil Surendra Modi School of Commerce, NMIMS University, Mumbai)

  • Aastha Panchamia

    (Anil Surendra Modi School of Commerce, NMIMS University, Mumbai)

  • Aakriti Lakhanpal

    (Anil Surendra Modi School of Commerce, NMIMS University, Mumbai)

Abstract

The objective of this research is to examine the dynamic volatility spillover effects that occurred during two significant worldwide crises—the COVID-19 pandemic and the Russia-Ukraine war—between the Indian stock market and six growing global stock markets: Brazil, Argentina, Indonesia, South Africa, Saudi Arabia, and Taiwan. The data for each index has been taken for 10 years from 2014-2024 and has been divided into three parts: before COVID-19 and Russia-Ukraine war (Nov 2014-March 2020), during COVID-19 (Mar 2020-Dec 2021), and during Russia-Ukraine war (Feb 2022-Sep 2024). The Granger causality test and DCC-GARCH model are used to analyse the time-varying correlations. The results reveal significant spillover effects, with Brazil and South Africa consistently influencing India, particularly during periods of heightened uncertainty. Brazil's continuous volatility spillover highlights its crucial role in influencing India's market behaviour during crises, even though markets like Argentina and Taiwan showed weaker connections. The study provides valuable insights for portfolio managers and policymakers to optimize global diversification strategies amid emerging market volatility and crisis-driven spillovers.

Suggested Citation

  • Veerendra Anchan & Harshita Maurya & Aastha Panchamia & Aakriti Lakhanpal, 2024. "Examining Volatility Spillover between India and Global Emerging Stock Markets during COVID 19 and Russia-Ukraine War Crisis," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 3, pages 102-118.
    • Handle: RePEc:ddj:fseeai:y:2024:i:3:p:102-118
    DOI: https://doi.org/10.35219/eai15840409434
    as

    Download full text from publisher

    File URL: http://eia.feaa.ugal.ro/images/eia/2024_3/Veerendra_et_al.pdf
    Download Restriction: no
    File URL: https://libkey.io/https://doi.org/10.35219/eai15840409434?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Raddant, Matthias & Kenett, Dror Y., 2021. "Interconnectedness in the global financial market," Journal of International Money and Finance, Elsevier, vol. 110(C).
    2. Singhal, Shelly & Ghosh, Sajal, 2016. "Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models," Resources Policy, Elsevier, vol. 50(C), pages 276-288.
    3. Withanage, Yeshan & Jayasinghe, Prabhath, 2017. "Volatility Spillovers between South Asian Stock Markets: Evidence from Sri Lanka, India and Pakistan," MPRA Paper 82782, University Library of Munich, Germany, revised Nov 2017.
    4. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(1), pages 122-150, February.
    5. Marc Busse & Michel Dacorogna & Marie Kratz, 2014. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Risks, MDPI, vol. 2(3), pages 1-17, July.
    6. Sophie Brana & Stéphanie Prat & Marie-Louise Djibenou, 2012. "Global excess liquidity and asset prices in emerging countries: a pvar approach Abstract : The overly accommodating monetary policy is often accused of creating surplus liquidity and bubbles on the as," Larefi Working Papers 201203, Larefi, Université Bordeaux 4.
    7. Maaz Khan & Mrestyal Khan & Umar Nawaz Kayani & Khurrum Shahzad Mughal & Roohi Mumtaz, 2023. "Unveiling Market Connectedness: Dynamic Returns Spillovers in Asian Emerging Stock Markets," IJFS, MDPI, vol. 11(3), pages 1-21, September.
    8. Baele, Lieven, 2005. "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(2), pages 373-401, June.
    9. Miklesh Prasad Yadav & Sudhi Sharma & Indira Bhardwaj, 2023. "Volatility Spillover Between Chinese Stock Market and Selected Emerging Economies: A Dynamic Conditional Correlation and Portfolio Optimization Perspective," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(2), pages 427-444, June.
    10. Ngo Thai Hung, 2019. "Return and volatility spillover across equity markets between China and Southeast Asian countries," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, vol. 24(47), pages 66-81, February.
    11. Miyakoshi, Tatsuyoshi, 2003. "Spillovers of stock return volatility to Asian equity markets from Japan and the US," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 383-399, October.
    12. Ben Rejeb, Aymen & Boughrara, Adel, 2013. "Financial liberalization and stock markets efficiency: New evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 17(C), pages 186-208.
    13. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2013. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," Review of International Economics, Wiley Blackwell, vol. 21(5), pages 1060-1075, November.
    14. Krishna Reddy Chittedi, 2015. "Financial Crisis and Contagion Effects to Indian Stock Market: ‘DCC–GARCH’ Analysis," Global Business Review, International Management Institute, vol. 16(1), pages 50-60, February.
    15. Eman F. Attia & Sharihan Mohamed Aly & Ahmed said ElRawas & Ebtehal Orabi Awad, 2023. "Portfolio diversification benefits before and during the times of COVID-19: evidence from USA," Future Business Journal, Springer, vol. 9(1), pages 1-15, December.
    16. Brana, Sophie & Djigbenou, Marie-Louise & Prat, Stéphanie, 2012. "Global excess liquidity and asset prices in emerging countries: A PVAR approach," Emerging Markets Review, Elsevier, vol. 13(3), pages 256-267.
    17. Wang, Ping & Wang, Peijie, 2010. "Price and volatility spillovers between the Greater China Markets and the developed markets of US and Japan," Global Finance Journal, Elsevier, vol. 21(3), pages 304-317.
    18. Julija Cerović Smolović & Milena Lipovina-Božović & Saša Vujošević, 2017. "GARCH models in value at risk estimation: empirical evidence from the Montenegrin stock exchange," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 30(1), pages 477-498, January.
    19. Martin S. Feldstein, 1999. "Introduction: International Capital Flows," NBER Chapters, in: International Capital Flows, pages 1-4, National Bureau of Economic Research, Inc.
    20. Driessen, Joost & Laeven, Luc, 2007. "International portfolio diversification benefits: Cross-country evidence from a local perspective," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1693-1712, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Fahad Waqas Mir & Nousheen Tariq Bhutta, 2024. "Impact of return and volatility spillover from banking industry to other industries: An evidence from Pakistan," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1680-1695, April.
    2. Huo, Rui & Ahmed, Abdullahi D., 2017. "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, vol. 61(C), pages 260-272.
    3. Imran Yousaf & Shoaib Ali & Wing-Keung Wong, 2020. "An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management," JRFM, MDPI, vol. 13(10), pages 1-28, September.
    4. Ahmed, Abdullahi D. & Huo, Rui, 2021. "Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China," Energy Economics, Elsevier, vol. 93(C).
    5. Jung-Bin Su, 2022. "The Research on the Interactions between the Emerging and Developed Markets: From Region and Structural Break Perspectives," Mathematics, MDPI, vol. 10(8), pages 1-38, April.
    6. Vuong, Giang Thi Huong & Nguyen, Manh Huu & Huynh, Anh Ngoc Quang, 2022. "Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    7. Ekaterini Panopoulou & Theologos Pantelidis, 2009. "Integration at a cost: evidence from volatility impulse response functions," Applied Financial Economics, Taylor & Francis Journals, vol. 19(11), pages 917-933.
    8. Andreou, Elena & Matsi, Maria & Savvides, Andreas, 2013. "Stock and foreign exchange market linkages in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 248-268.
    9. Withanage, Yeshan & Jayasinghe, Prabhath, 2017. "Volatility Spillovers between South Asian Stock Markets: Evidence from Sri Lanka, India and Pakistan," MPRA Paper 82782, University Library of Munich, Germany, revised Nov 2017.
    10. Miklesh Prasad Yadav & Sudhi Sharma & Indira Bhardwaj, 2023. "Volatility Spillover Between Chinese Stock Market and Selected Emerging Economies: A Dynamic Conditional Correlation and Portfolio Optimization Perspective," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(2), pages 427-444, June.
    11. Sanjay Sehgal & Payal Jain & Florent Deisting, 2018. "Information Transmission between Mature and Emerging Equity Markets During Normal and Crisis Periods: An Empirical Examination," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 185-225, March.
    12. Kundu, Srikanta & Sarkar, Nityananda, 2016. "Return and volatility interdependences in up and down markets across developed and emerging countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 297-311.
    13. Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol & Kurowski, Łukasz & Smaga, Paweł, 2021. "Two decades of contagion effect on stock markets: Which events are more contagious?," Journal of Financial Stability, Elsevier, vol. 55(C).
    14. Gilenko, Evgenii & Fedorova, Elena, 2014. "Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 32-45.
    15. Abu S. Amin & Lucjan T. Orlowski, 2014. "Returns, Volatilities, and Correlations Across Mature, Regional, and Frontier Markets: Evidence from South Asia," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(3), pages 5-27, May.
    16. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
    17. Ponomarenko, Alexey, 2013. "Early warning indicators of asset price boom/bust cycles in emerging markets," Emerging Markets Review, Elsevier, vol. 15(C), pages 92-106.
    18. Long Chen & Nan Wang & Qiyun Li & Wenjun Zhou, 2023. "Environmental regulation, foreign direct investment and China’s economic development under the new normal: restrain or promote?," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 25(5), pages 4195-4216, May.
    19. Yang, Lu & Hamori, Shigeyuki, 2014. "Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 145-155.
    20. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2013. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," Review of International Economics, Wiley Blackwell, vol. 21(5), pages 1060-1075, November.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ddj:fseeai:y:2024:i:3:p:102-118. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gianina Mihai (email available below). General contact details of provider: https://edirc.repec.org/data/fegalro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.