Please use this identifier to cite or link to this item: http://103.65.197.75:8080/jspui/handle/123456789/116
Title: Global Stock Market Volatility and Its Spillover on the Indian Stock Market: A Study Before and During the COVID-19 Period
Authors: Prasad, Shantanu
Keywords: COVID-19, diagonal-BEKK model, spillover, TGARCH model, volatility
Issue Date: 2023
Publisher: Sage
Abstract: This study investigates the impact of global stock market volatility on the Indian stock markets before and during the COVID-19 pandemic period. The study focuses on 11 stock markets, including Brazil, Canada, China, France, Hong Kong, India, Japan, Russia, Turkey, the UK, and the US, and applies the threshold generalized autoregressive conditional heteroskedasticity (TGARCH) model to capture the current asymmetry in returns influenced by past negative/positive shocks, and the diagonal Baba Engle Kraft Kroner (BEKK) model to examine the cohesion of the Indian equity market with global markets. The importance of the Indian stock market lies in its ability to provide capital to companies, attract foreign investment, and provide investment opportunities for both domestic and international investors. Data for the study was sourced from https://www.investing.com for the period September 2019 to September 2021 and Stata software was used for data analysis. The study finds that Brazil, Canada, France, Russia, UK, and the USA are the primary sources of financial weight on India’s stock returns. The results suggest that Indian investors can diversify their funds into other asset classes while restricting investments in these markets, particularly during downturns. Investors can make informed decisions to diversify their portfolio and minimize risk. The results can also benefit society by promoting a more stable and resilient financial system. The study can also be expanded to include other financial and economic indicators such as inflation and interest rates to provide a more comprehensive analysis of the impact of global market volatility on Indian equity markets.
URI: 10.1177/23197145231189600
http://103.65.197.75:8080/jspui/handle/123456789/116
Appears in Collections:Journal Articles



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