Pattern, Source, Destination of Volatilities in Financial Market and Policy Lessons

Prabhas Kumar Rath ()
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Prabhas Kumar Rath: Securities and Exchange Board of India (SEBI), Mumbai 400051, Maharashtra, India

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2023, vol. 26, issue 04, 1-28

Abstract: This paper studies patterns of volatilities and their spillovers across six major segments of Indian financial market applying univariate GARCH model and estimating the Diebold and Yilmaz (DY) volatility spillover index. The study found increasing integration of financial market segments over time and that equity, bank index and corporate bond segments are net contributors while money, gsec and forex segments are net receivers of volatility. The study highlights the need for a healthy banking sector and the increasing significance of corporate bond market volatility and suggests segment specific policy responses to tackle financial market volatilities.

Keywords: Financial stability; financial market regulation; volatility; GARCH; spillover index (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1142/S0219091523500273

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