Empirical Examination of Stock Market Volatility : An International Comparison

Abstract

This study examines the bilateral relations between three pairs of stock markets, namely India-U.S., India-China and China-U.S. We use a Fractionally Integrated Vector Error Correction Model (FIVECM) to examine the cointegration mechanism between markets. By augmenting the FIVECM with a multivariate GARCH formulation, we study the first and second moment spillover effects simultaneously. Our empirical results show that all three pairs of stock markets are fractionally cointegrated. The U.S. stock market plays a dominant role in the relations with the other two markets, whereas there is an interactive relationship between the Indian and Chinese stock markets. In particular, the Indian stock market dominates the first moment feedback with the Chinese market, while the latter dominates the second moment feedback with the former.

Empowering SHGs Women through Micro-finance in Uttar Pradesh

“…This helps to iron out existing social menaces such as dowry system, discrimination against women, restriction on their movement and education of girl child. There are many successful cases where SHG women moved collectively to shut the liquor shops in their village (Aggarwal and Khurana, 2018).…”