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- Title
A study of spillovers in Banking Indices of India and the US using VAR-M-GARCH Approach.
- Authors
PANIGRAHI, TUSHAR R.; MALL, SUNITA; PATIL, PRASAD
- Abstract
This paper estimates the spillovers of return and volatility between NASDAQ, BKX, Sensex and Bankex. The study includes lognormal daily returns of four banking indices for a period of 10 years (December 2009 to April 2019). We used unit root test to check the stationarity of the indices. We employed VAR model & MGARCH-BEKK model to study the spillovers of return and volatility amongst the banking indices. The VAR model is used to estimate the return spillover whereas for estimation of volatility spillover MGARCH-BEKK model is used. The result revealed that the risk is more in Bankex. We also found that the volatility in Sensex is more sensitive to past market information. Amongst four indices, BKX shows the greatest degree of volatility clustering and thus shows a higher possibility of a relationship between its present volatility movement and its previous volatility movement.
- Subjects
INDIA; NASDAQ Stock Market; VECTOR autoregression model; VOLATILITY (Securities); BANKING industry; NASDAQ composite index
- Publication
Finance India, 2022, Vol 36, Issue 4, p1361
- ISSN
0970-3772
- Publication type
Article