Title: Return and volatility spillover among the PIIGS economies and India
Authors: Dilip Kumar; Srinivasan Maheswaran
Addresses: Institute for Financial Management and Research, 24, Kothari Road, Nungambakkam, Chennai 600034, India ' Centre for Advanced Financial Studies, Institute for Financial Management and Research, 24, Kothari Road, Nungambakkam, Chennai 600034, India
Abstract: This paper examines the linkages among the stock markets of Portugal, Ireland, Italy, Greece, Spain and India using the vector autoregressive multivariate exponential generalised autoregressive conditional heteroskedasticity (VAR-MVEGARCH) model. We also examine the return and volatility spillover between the Indian stock market and each market from the PIIGS economies using the VAR-bivariate-EGARCH model. We observe strong evidence of a return and volatility spillover effect from Greece to India from both the bivariate and multivariate models. Greece acts as a major source of information influencing the volatility process of the other markets.
Keywords: return spillover; volatility spillover; VAR-MVEGARCH model; PIIGS economies; India; Portugal; Ireland; Italy; Greece; Spain; stock markets; modelling.
American Journal of Finance and Accounting, 2015 Vol.4 No.1, pp.28 - 49
Received: 11 Jul 2014
Accepted: 01 Oct 2014
Published online: 05 Mar 2015 *