Asymmetric cross-market volatility spillovers: evidence from Indian equity and foreign exchange markets

Panda, Pradiptarathi; Deo, Malabika

doi:10.1007/s40622-014-0044-2

Cited by 10 publications

(16 citation statements)

References 16 publications

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“…Their analyses show clear evidence of bidirectional flow of shocks between the currency and equity market. Recently, similar results have been reported by (Kumar 2013;Panda and Deo 2014) for India. Choi et al (2010) empirically investigated the New Zealand currency and equity market for volatility transmission mechanism.…”

Section: Review Of Literaturesupporting

confidence: 87%

Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries

Jebran

Iqbal

2016

Financ Innov

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Section: Review Of Literaturesupporting

confidence: 87%

Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries

Jebran

Iqbal

2016

Financ Innov

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“…In case of yen, same effect has been observed in both pre- and post-periods, that is, negative from yen to stock and positive from stock to yen. We also support the findings of Panda and Deo (2014) that there is a strong relationship between the Indian stock prices and USD exchange rates as compared to others. Our findings also support the view that the Indian market did not get affected by the financial crisis to a great extent.…”

Section: Resultssupporting

confidence: 90%

“…While GARCH can be used to explain the conditional variance, that is, true measure of variance. We have employed the same equation as given by Panda and Deo (2014). The spillover equation in GARCH (1,1) model can be explained as follows:…”

Section: Methodsmentioning

confidence: 99%

“…If the conditional correlation varies over time, then there is a possibility of portfolio diversification and adopting risk minimizing hedging strategies (Kumar, 2014). In the context of subprime crisis, Panda and Deo (2014) have studied the transmission of volatility between equity and foreign exchange market. The study analysed the spillover during pre and post subprime crisis and found that the evidence of bi-direction volatility spillover is more volatile during post-crisis period.…”

Section: Literature Reviewmentioning

confidence: 99%

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Asymmetric Volatility Spillover between Stock Market and Foreign Exchange Market: Instances from Indian Market from Pre-, during and Post- Subprime Crisis Periods

Bal

Manglani

Deo

2018

Global Business Review

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Modern businesses are so inter-twined that a cause in one market affects other markets throughout the Globe. The 2008 subprime crisis is one of such evidences of inter-linkage of global markets. Such type of event motivates many studies to analyse the transmission of volatility from one market to another market. The study aims to analyse the volatility spillover effect between CNX Nifty and exchange rates covering for three different currencies, that is, USD, GBP and yen. GARCH (1,1) and EGARCH (1,1) have been used to identify the spillover effect and asymmetries or leverage effect in the volatility transmission through the estimation of different parameters. The overall findings show that there is spillover between the foreign exchange and the stock market. Among the three exchange rates, the USDR is strongly co-related with the Indian stock market as compared to other rates. Our study will significantly contribute to the existing literature in this context. The findings of the study have greater implications especially for hedgers, arbitrators and other participants in this market. As such type of information regarding transmission of volatility can help them to diversify their overseas risk through an optimal portfolio selection.

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“…Panda and Deo (2014b) studied the volatility and asymmetric transformation effect in Indian stock and foreign exchange market. There are two exchange rates such as U.S. Dollar and Euro were tested with stock index (SENSEX).…”

Section: Review Of Literaturementioning

confidence: 99%

Dynamics of exchange rate and stock price volatility: Evidence from India

Vadivel

2020

Journal of Public Affairs

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The article examines causal relationship between exchange rate and stock price volatility. We use daily data from February 2, 2015 to August 30, 2019 to estimate variables employed in ARCH/GARCH, and cross correlation. It gives a feedback that effect between the conditional mean and variance of exchange rate and stock price volatility. The stock market has brought more capital inflow rupee that appreciate while capital moves out of the monetary system rupee depreciate. The Reserve Bank of India has a policy to encourage and to bring huge inflows instead of outflows.

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Asymmetric cross-market volatility spillovers: evidence from Indian equity and foreign exchange markets

Cited by 10 publications

References 16 publications

Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries

Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries

Asymmetric Volatility Spillover between Stock Market and Foreign Exchange Market: Instances from Indian Market from Pre-, during and Post- Subprime Crisis Periods

Dynamics of exchange rate and stock price volatility: Evidence from India

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