Open Access
Article
SciPap-1691
Dynamic Connectedness and Volatility Spillover Effects of Indian Stock Market with International Stock Markets: An Empirical Investigation using DCC GARCH
1 Department of Management Studies and Centre for Research, New Horizon College of Engineering, Outer Ring Rd, near Marathalli, Kaverappa Layout, Kadubeesanahalli, Kadabeesanahalli, Bengaluru,, Bangalore 560103, India
2 School of Business and Management, CHRIST (Deemed to be University), Hosur Road, Dairy Circle, SG Palya, Bangalore 560029, India
3 Department of Management Studies, Ramiah Institute of Technology, MSRIT Post, M S Ramaiah Nagar, MSR Nagar, Bengaluru, Karnataka, Bangalore 560054, India
4 School of Business and Management, CHRIST (Deemed to be University), Hosur Road, Dairy Circle, SG Palya, Bangalore 560029, India
5 Department of Management Studies and Centre for Research, New Horizon College of Engineering, Outer Ring Rd, near Marathalli, Kaverappa Layout, Kadubeesanahalli, Kadabeesanahalli, Bengaluru,, Bangalore 560103, India
* Authors to whom correspondence should be addressed.
Abstract: 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.
Keywords: Dynamic Connectedness, Volatility Spillover, Indian Stock Market, International Stock Market, Dcc-Garch, Contagion Effects, Interdependence, Emerging Economies.
JEL classification: G01 - Financial Crises, G15 - International Financial Markets, G17 - Financial Forecasting and Simulation, G18 - Government Policy and Regulation, G32 - Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • Goodwill
Received: 18 May 2023 / Revised: 24 July 2023 / Accepted: 28 July 2023 / Published: 14 August 2023
