IMPACT OF CRISES ON INDIAN FINANCIAL MARKETS

Pami Dua and Divya Tuteja

Bulletin of Monetary Economics and Banking, 2024, vol. 27, issue 3, 557-572

Abstract: We investigate the effect of crises on Indian financial markets including the shortterm and medium-term money, government securities segments, equity and currency markets. Specifically, we study the effects of the COVID-19 pandemic, the Eurozone Sovereign Debt Crisis and the Global Financial Crisis on market returns, volatility and cross-correlations. We employ a (a) vector autoregressive model to analyse the effects of those shocks on returns and (b) multivariate ADCC-GARCH specification to examine the impact on conditional volatility and dynamic conditional correlation in the markets. We find significant effect of the Global Financial Crisis and the pandemic on the dynamics of the Indian financial markets.

Keywords: Financial markets, India; COVID-19 pandemic, Eurozone debt crisis, Global financial crisis (search for similar items in EconPapers)
JEL-codes: F30 G01 G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:27:y:2024:i:3g:p:557-572

DOI: 10.59091/2460-9196.2284

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