Browsing by Subject "Volatility spillover"

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    Information Flows between Sectors in Indian Stock Markets
    (University of North Bengal, 2015-03) Karmakar, Madhusudan
    The paper investigates return and volatility spillover mechanism between ten sectors of the Bombay Stock Exchange in India. The study uses cointegration analysis to examine the co-movements between different sectors prices and VAR analysis to investigate the transmission of shocks between different sector returns. A bivariate GARCH model is also used to estimate the volatility spillover mechanism. The findings of the study indicate that there are strong information flows between sectors. The findings have significant implications for investors as well as policymakers.