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Asymmetric and Volatility Spillover Between Stock Market and Foreign Exchange Market: Indian Experience

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  • Pradiptarathi Panda
  • Malabika Deo

Abstract

The 2008 financial crisis created a series of setbacks in major financial institutions worldwide. This paper attempts to investigate the volatility spillover effect between foreign exchange and stock market during different periods like pre-, post- and in-crisis period in India. By applying GARCH and EGARCH models in the daily data series of both rupee- dollar exchange rate and CNX Nifty return series, we report evidence of asymmetric and volatility spillover in the three sub-periods between these two markets. The post-crisis period has higher asymmetric and volatility spillover as compared to other periods. This result may help the investors, policy makers as well as portfolio managers for taking appropriate investment decisions.

Suggested Citation

  • Pradiptarathi Panda & Malabika Deo, 2014. "Asymmetric and Volatility Spillover Between Stock Market and Foreign Exchange Market: Indian Experience," The IUP Journal of Applied Finance, IUP Publications, vol. 20(4), pages 69-82, October.
    • Handle: RePEc:icf:icfjaf:v:20:y:2014:i:4:p:69-82
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    Cited by:

    1. Bhabani Sankar Rout & Nupur Moni Das & K. Chandrasekhara Rao, 2019. "Volatility Spillover Effect in Commodity Derivatives Market: Empirical Evidence Through Generalized Impulse Response Function," Vision, , vol. 23(4), pages 374-396, December.
    2. Indranil Ghosh & Manas K. Sanyal & R. K. Jana, 2021. "Co-movement and Dynamic Correlation of Financial and Energy Markets: An Integrated Framework of Nonlinear Dynamics, Wavelet Analysis and DCC-GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 503-527, February.
    3. Agya Atabani Adi, 2017. "Returns Effect, Shocks and Volatility Transmission between Foreign Exchange-Stock Markets in Nigeria," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 3(1), pages 29-38, March.
    4. Babita Panda & Ajaya Kumar Panda & Pradiptarathi Panda, 2023. "Macroeconomic Response to BRICS Countries Stock Markets Using Panel VAR," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 259-272, March.

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