Price volatility spillover of Indian onion markets: A comparative study

Sinha, Kishore; Panwar, Sanjeev; Alam, Wasi; Singh, K. N.; Gurung, Bishal; Paul, Ranjit Kumar; Mukherjee, Anirban

doi:10.56093/ijas.v88i1.79636

Cited by 6 publications

(3 citation statements)

References 18 publications

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“…E ( i , j ) represents the effect of shock from market i to market j . It indicates the impact on market j due to any news prevailing in market i (Sinha, 2012; Mohammadi and Tan, 2015; Sinha et al. , 2017; Rastogi and Agarwal, 2020).…”

Section: Resultsmentioning

confidence: 99%

The volatility spillover effect of macroeconomic indicators and strategic commodities on inflation: evidence from India

Rastogi

Kanoujiya

2022

SAJBS

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Purpose This study aims to analyze the volatility spillover effects of crude oil, gold price, interest rate (yield) and the exchange rate (USD (United States Dollar)/INR (Indian National Rupee)) on inflation volatility in India.Design/methodology/approach This study uses the multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models (Baba, Engle, Kraft and Kroner [BEKK]-GARCH and dynamic conditional correlation [DCC]-GARCH) to examine the volatility spillover effect of macroeconomic indicators and strategic commodities on inflation in India. The monthly data are collected from January 2000 till December 2020 for the crude oil price, gold price, interest rate (5-year Indian bond yield), exchange rate (USD/INR) and inflation (wholesale price index [WPI] and consumer price index [CPI]).Findings In BEKK-GARCH, the results reveal that crude oil price volatility has a long time spillover effect on inflation (WPI). Furthermore, no significant short-term volatility effect exists from crude oil market to inflation (WPI). However, the short-term volatility effect exists from crude oil to inflation while considering CPI as inflation. Gold price volatility has a bidirectional and negative spillover effect on inflation in the case of WPI. However, there is no price volatility spillover effect from gold to inflation in the case of CPI. The price volatility in the exchange rate also has a negative spillover effect on inflation (but only on CPI). Furthermore, volatility of interest rates has no spillover effect on inflation in WPI or CPI. In DCC-GARCH, a short-term volatility impact from all four macroeconomic indicators to inflation is found. Only crude oil and exchange rate have long-term volatility effect on inflation (CPI).Practical implications In an economy, inflation management is an essential task. The findings of the current study can be beneficial in this endeavor. The knowledge of the volatility spillover effect of all the four markets undertaken in the study can be significantly helpful in inflation management, especially for inflation-targeting policy.Originality/value It is observed that no other study has addressed this issue. We do not find any other research which studies the volatility spillover effect of gold, crude oil, interest rate and exchange rate on the inflation volatility. The current study is novel with a significant contribution to the vast knowledge in this context.

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Section: Resultsmentioning

confidence: 99%

The volatility spillover effect of macroeconomic indicators and strategic commodities on inflation: evidence from India

Rastogi

Kanoujiya

2022

SAJBS

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“…E ( i , j ) represents the spillover effect of shock volatility from the market i to market j . It indicates the impact on the prices of market j due to any negative news prevailing in the market i (Sinha et al , 2012; Mohammadi and Tan, 2015; Sinha et al , 2017; Rastogi and Agarwal, 2020). F ( i , j ) reflects the spillover effect of price volatility from market i to market j .…”

Section: Resultsmentioning

confidence: 99%

“…F (i, j) reflects the spillover effect of price volatility from market i to market j. It indicates the impact on the prices of market j due to price changes in the market i (Sinha et al, 2012;Mohammadi and Tan, 2015;Sinha et al, 2017;Rastogi and Agarwal, 2020). 4.1.1 Ethereum and inflation.…”

Section: Bekk-garch Estimationmentioning

confidence: 99%

Impact of cryptos on the inflation volatility in India: an application of bivariate BEKK-GARCH models

Rastogi

Kanoujiya

2022

JEAS

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Purpose The main aim of the study is to explore the volatility spillover effect of cryptocurrencies (Bitcoin, Ethereum and Litecoin) on inflation volatility in India.Design/methodology/approach A popular tool, the Bivariate GARCH model (BEKK-GARCH), to study the volatility spillover effect, is applied in the study. Monthly data of cryptocurrencies and inflation (WPI and CPI indices) are gathered from 2015 to 2021.Findings Significant short-term responsiveness of volatility of cryptocurrencies on the inflation volatility is found. In addition to this, the significant volatility spillover effect from the cryptocurrencies to the inflation volatility is found.Practical implications The findings of the current paper can be of use for inflation management, target inflation policies and policies to contain the volatility of cryptocurrencies. The significance of the current paper is relevant as governments worldwide are officially recognizing cryptocurrencies and starting the process of launching their official virtual currency.Originality/value No other study is observed on the topic. Hence, the contribution and novelty of the findings of the current paper are very high and add value to the nonexistent literature on the topic. Lack of the number of inflation observations (data of CPI and WPI are available only in monthly frequency) crimps the model estimation. As the cryptocurrencies become old, more data points will be available by design, and such problems can be resolved, and better model estimation may be possible.

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Lan truyền rủi ro từ thị trường chứng khoán Mỹ vào thị trường chứng khoán Việt Nam: Bằng chứng thực nghiệm từ VAR-DCC-GARCH và hồi quy phân vị

Tuấn¹

2023

JEDVI

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Bài viết sử dụng tỷ suất sinh lợi theo tuần của các chỉ số chứng khoán để khảo sát hiệu ứng lan truyền độ biến động từ thị trường chứng khoán Mỹ vào thị trường chứng khoán Việt Nam bằng mô hình VAR-DCC-GARCH kết hợp với hồi quy phân vị. Kết quả nghiên cứu của bài viết cho thấy tỷ suất sinh lợi trên thị trường chứng khoán Mỹ có tác động dương đến thị trường chứng khoán Việt Nam. Thị trường chứng khoán Mỹ không giúp phòng hộ rủi ro cho thị trường chứng khoán Việt Nam, và càng không phải là tài sản trú ẩn an toàn cho những biến động lên xuống của thị trường. Ngoài ra, sự lan truyền độ biến động từ thị trường chứng khoán Mỹ vào Việt Nam mang dấu dương và sẽ khác nhau trên từng phân vị. Kết quả này mang lại hàm ý chính sách quan trọng cho việc quản lý rủi ro, xây dựng danh mục hợp lý của nhà đầu tư cũng như việc hoạch định chính sách của những nhà quản lý thị trường. Bên cạnh đó, nhà đầu tư trên thị trường chứng khoán Việt Nam có thể đối mặt với các mức độ rủi ro khác nhau tùy thuộc vào mức độ biến động của thị trường chứng khoán Mỹ. Điều này hàm ý rằng các nhà đầu tư cần điều chỉnh chiến lược đầu tư theo các mức độ rủi ro khác nhau, nghĩa là cần đa dạng hóa danh mục đầu tư dựa trên nhóm phân vị.

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Price volatility spillover of Indian onion markets: A comparative study

Cited by 6 publications

References 18 publications

The volatility spillover effect of macroeconomic indicators and strategic commodities on inflation: evidence from India

The volatility spillover effect of macroeconomic indicators and strategic commodities on inflation: evidence from India

Impact of cryptos on the inflation volatility in India: an application of bivariate BEKK-GARCH models

Lan truyền rủi ro từ thị trường chứng khoán Mỹ vào thị trường chứng khoán Việt Nam: Bằng chứng thực nghiệm từ VAR-DCC-GARCH và hồi quy phân vị

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