Indian stock market volatility in recent years: Transmission from global market, regional market and traditional domestic sectors

Amitava Sarkar (), Gagari Chakrabarti and Chitrakalpa Sen
Additional contact information
Amitava Sarkar: School of Management, West Bengal University of Technology

Journal of Asset Management, 2009, vol. 10, issue 1, No 5, 63-71

Abstract: Abstract This study investigates volatility in Indian stock markets. Specifically, it looks for the possible volatility transmission channel for the Indian stock market from among Indian sectoral developments as well as developments in the global market. The SENSEX is used as the Indian market index and its response to overseas market indices such as Dow Jones, FTSE, BVSP, MerVal and JKSE is examined. The relationship between the SENSEX and domestic sectoral indices has also been examined. It has been found that the volatility in the developed market indices Granger causes SENSEX volatility, showing strong proof of a global contagion. SENSEX volatility is also related to some extent to the volatility of the Jakarta Stock index, hinting towards some kind of regional contagion. Moreover, as the impulse-response function shows, a shock in Dow Jones, the Jakarta stock index and BVSP has a profound effect on the SENSEX (Dow Jones having the most important one). As for sources from its domestic sectors, capital goods and consumer durables are the most prominent contributors to the volatility of the SENSEX.

Keywords: stock prices; volatility; contagion (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://link.springer.com/10.1057/jam.2008.29 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:pal:assmgt:v:10:y:2009:i:1:d:10.1057_jam.2008.29

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/jam.2008.29

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().