EconPapers    
Economics at your fingertips  
 

Return and Volatility Spillover among Commodity Futures, Stock Market and Exchange Rate: Evidence from India

Debasish Maitra and Varun Dawar

Global Business Review, 2019, vol. 20, issue 1, 214-237

Abstract: This article aims to investigate return and volatility spillover among commodity, stock and exchange rate markets. The article further looks into whether there is any change in return and volatility spillover during the crisis and post-crisis periods and whether there is any in the behaviour of spillover changes between agro and non-agro based commodities. The study uses Vector Auto Regression followed along with by Granger causality are to understand the causality of returns. We have performed multivariate volatility model to study the volatility co-movement of different assets. Unidirectional return spillover from the Multi Commodity Exchange (non-agro commodity) to stock indices and exchange rates is found. Stock indices are found to influence exchange rates to return; whereas the only dollar explains the return in stock indices. Equity markets have been found to have a return spillover on NCDEX (agro commodity) during the post-crisis period. However, each asset market is found to have volatility spillover effects on the other asset market. Commodity indices have more spillover effects on stocks.

Keywords: Return; volatility; spillover; asset markets; India (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0972150918803801 (text/html)

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:sae:globus:v:20:y:2019:i:1:p:214-237

DOI: 10.1177/0972150918803801

Access Statistics for this article

More articles in Global Business Review from International Management Institute
Bibliographic data for series maintained by SAGE Publications ().

 
Page updated 2025-03-19
Handle: RePEc:sae:globus:v:20:y:2019:i:1:p:214-237