Return and volatility spillovers between currency and bond markets in India

Sudarsana Sahoo, Harendra Behera and Pushpa Trivedi

Macroeconomics and Finance in Emerging Market Economies, 2019, vol. 12, issue 2, 155-173

Abstract: This paper examines the return and volatility spillovers between the foreign exchange and bond markets of India using a bivariate asymmetric BEKK-GARCH (1,1) model for the period 4 April 2005 to 31 March 2017. We find the evidence of bidirectional return and volatility spillovers with asymmetric effects between these two markets. The spillovers are evidenced even during the periods when foreign portfolio investments in the Indian bond markets were relatively low suggests the existence of strong inter-linkages between both the markets.

Date: 2019
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DOI: 10.1080/17520843.2018.1512509

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