Unveiling asymmetric return spillovers with portfolio implications among Indian stock sectors during Covid-19 pandemic

Aswini Kumar Mishra, Kamesh Anand K and Akhil Venkatasai Kappagantula

The North American Journal of Economics and Finance, 2025, vol. 75, issue PA

Abstract: This paper aims to provide a systematic inquiry into the return spillover dynamics between a network of Indian sectoral indices during the pre- and post-pandemic periods. To analyze the same, this paper uses the asymmetric time-varying parameter vector autoregressions (TVP-VAR) framework. Furthermore, in the spirit of Broadstock et al. (2020), we perform dynamic portfolio exercises based on common hedging techniques and the minimum connectedness portfolio approach to determine what better captures asymmetry. Our daily dataset includes 12 sectoral stocks spanning from January 01, 2017, to May 5, 2023. The findings reveal that negative connectedness dominates throughout the sample period, demonstrating that profit-maximizing agents and risk-averse investors are more likely to react negatively to news. We also show that in the network, the average net transmitters are the banking and other financial service sectors, whereas the net receivers are the information technology, pharmaceutical, and fast-moving consumer goods sectors throughout the period under consideration. Our results show that the minimum connectedness portfolio (MCoP) approach is a very useful method based on Sharpe ratios, as it is either the first or second most profitable among these three competing methods. These results, therefore, yield valuable insights for policymakers and investors.

Keywords: COVID-19; TVP-VAR; Asymmetric connectedness; Portfolio management; Hedging effectiveness; India (search for similar items in EconPapers)
JEL-codes: C32 C51 G15 (search for similar items in EconPapers)
Date: 2025
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940824002225
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002225

DOI: 10.1016/j.najef.2024.102297

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().