Return and volatility spillover among the PIIGS economies and India
by Dilip Kumar; Srinivasan Maheswaran
American J. of Finance and Accounting (AJFA), Vol. 4, No. 1, 2015

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.

Online publication date: Thu, 05-Mar-2015

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