Do spillover effects exist in Indian markets?

Anshuman Kamila, M. Sreeramulu and Aniket Ranjan

International Journal of Economic Policy in Emerging Economies, 2023, vol. 17, issue 4, 556-570

Abstract: Using forecast error variance (FEV) decomposition technique of a generalised VAR model of Diebold and Yilmaz (2012), this study is an inquiry into the return and volatility spillovers across various market segments in India viz., stock, bond, money and currency markets over the period July 2005 to August 2020. The empirical results confirm the spillover effects among the above stated markets; however, the degree of spillovers is very low (at around 5%) when compared with advanced economies. Further, our results reveal that stock and bond markets are the contributors of spillovers to other markets, while currency and money markets are receivers of spillovers from other markets.

Keywords: market spillovers; FEV decomposition; VAR. (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=132535 (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:ijepee:v:17:y:2023:i:4:p:556-570

Access Statistics for this article

More articles in International Journal of Economic Policy in Emerging Economies from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().