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- W3108870856 abstract "The present study is an attempt to investigate the linkage between the financial markets of developing and developed economies. For the purpose, the interdependence between Indian implied volatility index and six international indices (VIX, VCAC, VDAX-NEW, VSMI, VXJ and VSTOXX) is investigated in the framework of the volatility transmission and spillover mechanism. The bivariate [VAR(p)] system and BEKK-GARCH model are employed to quantify the given phenomenon of interdependence. The results indicate that there is a significant relationship between IVIX and VIX, as IVIX responds strongly to a shock in VIX index and this effect continues for about six days, post which it tapers off and vice versa. Granger causality test confirms bidirectional causality between the two volatility indices. At individual level, it is found that there are bidirectional crossshock spillover effects between India-America, India-Germany, India-Switzerland and India- Eurozone markets and bidirectional volatility linkages between IVIX and other indices, namely, VIX, VCAC and VSTOXX. The importance and implication of the study lies in the usefulness of the measurement of second moment and its behaviors which has been an important input in financial decision making. For instance, it can provide valuable input for developing better portfolio diversification strategies." @default.
- W3108870856 created "2020-12-07" @default.
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- W3108870856 date "2017-01-01" @default.
- W3108870856 modified "2023-09-28" @default.
- W3108870856 title "Volatility Contagion Between India and Selected Stock Markets" @default.
- W3108870856 hasPublicationYear "2017" @default.
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