Return and volatility spillovers: evidence from Indian exchange rates

Manish Kumar

International Journal of Economics and Business Research, 2011, vol. 3, issue 4, 371-387

Abstract: This study examines the nature of interdependence, and return and volatility spillovers, for three Indian exchange rates: US dollar (USD), Euro and British Pound. We use the spillover index methodology of Diebold and Yilmaz (2009) to analyse precisely and independently the returns and volatility spillovers. We also computed the return and volatility spillover indices over the 100-days rolling sub-sample windows. The empirical evidence suggests that there is a significant contemporaneous relationships among the three exchange rate returns series and the three conditional volatility series. Spillover results suggest that the INR-Euro exchange rate contributes to INR-Pound rates, in terms of both return and volatility spillovers. INR-USD rates are largely unaffected by innovations in other exchange rates. The results of spillover index reveal that a shock in the economy (high foreign institutional flows, foreign direct investment, recession, etc.) is reflected in returns as well as volatility of the index.

Keywords: exchange rates; return spillovers; volatility spillovers; spillover indices; India; interdependence; dollars; USA; United States; euro area; eurozone; European Union; EU; single currency; currencies; UK; United Kingdom; pound sterling; Francis Diebold; Kamil Yilmaz; sub-sample windows; contemporaneous relationships; conditional volatility; rupees; high institutional flows; foreign institutional flows; foreign direct investments; recessions; economics; business research. (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.inderscience.com/link.php?id=40950 (text/html)
Access to full text is restricted to subscribers.

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:ids:ijecbr:v:3:y:2011:i:4:p:371-387

Access Statistics for this article

More articles in International Journal of Economics and Business Research from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().