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Joshi, Nisarg A.
- Volatility Analysis and Volatility Spillover across Equity Markets between India and Selected Global Indices
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Authors
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1 Assistant Professor, B. K. School of Business Management, Gujarat University, Ahmedabad, Gujarat, IN
2 Associate Professor, Shanti Business School, Ahmedabad, Gujarat, IN
1 Assistant Professor, B. K. School of Business Management, Gujarat University, Ahmedabad, Gujarat, IN
2 Associate Professor, Shanti Business School, Ahmedabad, Gujarat, IN
Source
Journal of Commerce and Accounting Research, Vol 10, No 4 (2021), Pagination: 96-103Abstract
The purpose of this paper is to study the volatility comparison and volatility spillover effects in India and major global indices. The analysis used a vector autoregression model with various GARCH models in order to measure conditional volatility (GARCH), asymmetric effect in the conditional volatility (T-GARCH), volatility persistence in conditional volatility (E-GARCH), impact of conditional volatility on conditional returns (M-GARCH), and volatility spillover (GARCH (1, 1) with exogenous variable) for the period 2005 to 2018. The major results regarding volatility spillover posit that the Indian stock market had a strong impact on selected global indices. Volatility spillover was found to be in existence from the Indian stock market to the global indices, and vice-versa. These findings have substantial inferences and repercussions for portfolio managers, analysts, and investors for investment assessments and decisions regarding asset allocations. Higher volatility will lead to higher level of fretfulness among market participants and investors, which will push them to be more risk-averse. The results of the study also have pertinent effects for policy makers with respect to the Indian stock market and the global countries. This paper would support the existing literature by studying how the Indian index has an impact on global indices like the USA, Brazil, Japan, Russia, China, Hong Kong, South Korea, France, Germany, the United Kingdom, and Eurozone. The author considers that these results would magnify the volatility comparisons and volatility spillovers between the Indian index and global indices.Keywords
Volatility Spillover, Garch, Co-integration, E-GARCH, Asymmetric Volatility
References
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- Relation between Open Interest and Volatility in Commodities Markets.
Abstract Views :138 |
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Authors
Affiliations
1 Assistant Professor, Institute of Management, Nirma University, Ahmedabad, Gujarat, IN
2 Director, Shanti Business School, Ahmedabad, Gujarat, IN
3 Assistant Professor, Shanti Business School, Ahmedabad, Gujarat, IN
1 Assistant Professor, Institute of Management, Nirma University, Ahmedabad, Gujarat, IN
2 Director, Shanti Business School, Ahmedabad, Gujarat, IN
3 Assistant Professor, Shanti Business School, Ahmedabad, Gujarat, IN
Source
Journal of Commerce and Accounting Research, Vol 11, No 3 (2022), Pagination: 10-16Abstract
The purpose of this paper is to examine the consequence of open interest on volatility of futures markets. This paper emphasises on investigating the relation between open interest and the commodities futures. An effort was made to capture the size and change in speculative behaviour in futures markets by examining the behaviour of futures prices due to open interest. The findings show that the depth of market has an effect on the futures market’s volatility, but the direction of this effect depends on the type of contract. The sample includes daily data covering the period 2010-2020 from the Indian commodities futures markets (including crude oil futures). A two-stage methodology was employed by the authors: first, the authors investigate the relation between open interest and volatility. Next, the authors employ the E-GARCH model and considers the asymmetric response of volatility to shocks of different signs. Finally, the authors consider a regression framework to scrutinise the contemporaneous relationships between open interest and futures prices (volatility).Keywords
Futures, Commodities, E-GARCH, Volatility, Open InterestReferences
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