Returns, volatility and spillover – A paradigm shift in India?

Shubhasis Dey and Aravind Sampath

The North American Journal of Economics and Finance, 2020, vol. 52, issue C

Abstract: We investigate spillovers in returns and volatility among five major financial assets in India. Spillovers account for more than 25 percent of the forecast error variance in all the five markets. Banking, real estate and gold matter the most for India. Shocks from US economy to India arrive via Gold and forex markets. Events including the general elections and demonetization were contemporaneous to major episodes of return and volatility spillovers in the analyzed assets. Demonetization policy and President Trump’s election have increased regulatory risk for the Indian IT sector outlining its importance for gold and banking sector volatility shock transmission.

Keywords: Demonetization; Return; Volatility; Spillover; Asset (search for similar items in EconPapers)
JEL-codes: C32 G12 G17 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819304061

DOI: 10.1016/j.najef.2019.101110

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