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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.

DOI: 10.1504/AJFA.2015.067811

American Journal of Finance and Accounting, 2015 Vol.4 No.1, pp.28 - 49

Available online: 21 Feb 2015 *

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