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

Pradiptarathi Panda and Malabika Deo

The IUP Journal of Applied Finance, 2014, vol. 20, issue 4, 69-82

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.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjaf:v:20:y:2014:i:4:p:69-82

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