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Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] Scientific Papers of the University of Pardubice, Series D: Faculty of Economics and Administration [ISSN:] 1804-8048 [Volume:] 31 [Issue:] 1 [Article No.:] 1691 [Year:] 2023 [Pages:] 1-10
Verlag: 
University of Pardubice, Pardubice
Zusammenfassung: 
This study employs the DCC-GARCH model to investigate the dynamic connectedness between the Indian stock market and major global stock markets. Specifically, we examine daily log returns data of the National Stock Exchange (NSE) index and several international indices, including the United States, Australia, China, Germany, England, Japan, and Taiwan. Our analysis indicates a significant level of volatility spillover between the Indian stock market and the international stock market. Notably, we observe a significant positive spillover effect from the S&P 500 and FTSE 100 to the Indian stock market, suggesting the presence of contagion effects. Additionally, we find bidirectional spillover between the Indian stock market and the Nikkei 225 and Hang Seng, indicating a high level of interdependence between these markets. Our research contributes to the growing literature on the dynamic connectedness of stock markets and has important implications for policymakers and investors in emerging economies such as India. Overall, this study provides valuable insights into the nature and extent of spillover effects between the Indian and international stock markets.
Schlagwörter: 
Dynamic connectedness
Volatility spillover
Indian stock market
International stock market
DCC-GARCH
Contagion ffects
Interdependence
Emerging economies
JEL: 
G01
G15
G17
G18
G32
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