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Return and volatility spillover among the PIIGS economies and India

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  • Dilip Kumar
  • Srinivasan Maheswaran

Abstract

This paper examines the linkages among the stock markets of Portugal, Ireland, Italy, Greece, Spain and India using the vector autoregressive multivariate exponential generalised autoregressive conditional heteroskedasticity (VAR-MVEGARCH) model. We also examine the return and volatility spillover between the Indian stock market and each market from the PIIGS economies using the VAR-bivariate-EGARCH model. We observe strong evidence of a return and volatility spillover effect from Greece to India from both the bivariate and multivariate models. Greece acts as a major source of information influencing the volatility process of the other markets.

Suggested Citation

  • Dilip Kumar & Srinivasan Maheswaran, 2015. "Return and volatility spillover among the PIIGS economies and India," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(1), pages 28-49.
    • Handle: RePEc:ids:amerfa:v:4:y:2015:i:1:p:28-49
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    Cited by:

    1. Dilip Kumar, 2019. "Structural Breaks in Volatility Transmission from Developed Markets to Major Asian Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2), pages 172-209, August.
    2. Babajide Fowowe & Mohammed Shuaibu, 2016. "Dynamic spillovers between Nigerian, South African and international equity markets," International Economics, CEPII research center, issue 148, pages 59-80.
    3. Kumar, Dilip, 2017. "Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 149-167.

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