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Returns, volatility and spillover – A paradigm shift in India?

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  • Dey, Shubhasis
  • Sampath, Aravind

Abstract

We investigate spillovers in returns and volatility among five major financial assets in India. Spillovers account for more than 25 percent of the forecast error variance in all the five markets. Banking, real estate and gold matter the most for India. Shocks from US economy to India arrive via Gold and forex markets. Events including the general elections and demonetization were contemporaneous to major episodes of return and volatility spillovers in the analyzed assets. Demonetization policy and President Trump’s election have increased regulatory risk for the Indian IT sector outlining its importance for gold and banking sector volatility shock transmission.

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  • Dey, Shubhasis & Sampath, Aravind, 2020. "Returns, volatility and spillover – A paradigm shift in India?," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    • Handle: RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819304061
    DOI: 10.1016/j.najef.2019.101110
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    Cited by:

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    2. Pinto-Ávalos, Francisco & Bowe, Michael & Hyde, Stuart, 2024. "Revisiting the pricing impact of commodity market spillovers on equity markets," Journal of Commodity Markets, Elsevier, vol. 33(C).
    3. Sun, Qingru & Gao, Xiangyun & An, Haizhong & Guo, Sui & Liu, Xueyong & Wang, Ze, 2021. "Which time-frequency domain dominates spillover in the Chinese energy stock market?," International Review of Financial Analysis, Elsevier, vol. 73(C).

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    More about this item

    Keywords

    Demonetization; Return; Volatility; Spillover; Asset;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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