Volatility spillover impact of FII and MF net equity flows on the Indian sectoral stock indices: recent evidence using BEKK-GARCH

Aggarwal, Vaibhav; Doifode, Adesh; Tiwary, Mrityunjay Kumar

doi:10.1504/ijicbm.2021.114084

Cited by 4 publications

(2 citation statements)

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“…This study examines the time-varying volatility linkages between the three emerging cryptocurrencies by using the BEKK–GARCH model (Engle and Kroner, 1995). BEKK–GARCH model is popularly used to investigate the volatility linkages among different financial time series data (Aggarwal et al , 2020, 2021).…”

Section: Methodsmentioning

confidence: 99%

Optimum investor portfolio allocation in new age digital assets

Aggarwal¹

2021

IJIS

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Purpose Bitcoin and Ethereum, although the most prominent cryptocurrencies, carry a high ticker price. Many investors carry an inherent bias against high price ticker securities and prefer only low prices securities. This paper aims to help market players generate adequate risk-adjusted returns by investing in only lower-priced cryptocurrencies. Design/methodology/approach The pairwise bivariate BEKK-GARCH (1,1) model is deployed to capture the short- and long-term volatility linkages between Litecoin, Stellar and Ripple from August 2015 to June 2020. Findings Litecoin is the most influential volatility sender in the basket of these three cryptocurrencies. The portfolio weights indicate that investors can create an optimized two asset portfolio with the lowest exposure to Stellar with Litecoin and Ripple. Market players with a long position in Ripple can have the cheapest hedge by shorting Stellar. Originality/value This study adds to the scant literature on the association between emerging cryptocurrencies and finding optimum portfolio weight and hedge ratios.

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Section: Methodsmentioning

confidence: 99%

Optimum investor portfolio allocation in new age digital assets

Aggarwal¹

2021

IJIS

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“…In addition to this, it is found that the financial and economic time series usually have time-varying volatility that must be modelled exclusively (Bollerslev, 1986; Bollerslev et al , 1992; Engle, 1982); and hence, ARCH and GARCH family of models are used to estimate volatility of such time series. Literature is also replete with the instances of the use of the GARCH family of models to estimate volatility in such time series (Aggarwal et al ., 2020, 2021a, b; Karmakar, 2005; Rastogi, 2011, 2014; Rastogi and Srivastava, 2011).…”

Section: Methodsmentioning

confidence: 99%

Volatility integration of gold and crude oil prices with the interest rates in India

Rastogi

Doifode²,

Kanoujiya

et al. 2021

SAJBS

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PurposeCrude oil, gold and interest rates are some of the key indicators of the health of domestic as well as global economy. The purpose of the study is to find the shock volatility and price volatility effects of gold and crude oil market on interest rates in India.Design/methodology/approachThis study finds the mutual and directional association of the volatility of gold, crude oil and interest rates in India. The bi-variate GARCH models (Diagonal VEC GARCH and BEKK GARCH) are applied on the sample data of gold price, crude oil price and yield (interest rate) gathered from November 30, 2015 to November 16, 2020 (weekly basis) to investigate the volatility association including the volatility spillover effect in the three markets.FindingsThe main findings of the study focus on having a long-term conditional correlation between gold and interest rates, but there is no evidence of volatility spillover from gold and crude oil on the interest rates. The findings of the study are of great importance especially to the policymakers, as they state that the fluctuations in prices of gold and crude oil do not adversely impact the interest rates in India. Therefore, the fluctuations in prices of gold and crude may generally impact the economy, but it has nothing to do with interest rate in particular. This implies that domestic and foreign investments in the country will not be affected by gold and crude oil that are largely driven by interest rates in the country.Practical implicationsGold and crude oil are two very important commodities that have their importance not only for domestic affairs but also for international business. They veritably influence the economy including forex exchange for any nation. In addition to this, the researchers believe the findings will provide insights to policymakers, stakeholders and investors.Originality/valueGold and crude oil undoubtedly influence the exchange rates but their impact on the interest rates in an economy is not definite and remains ambiguous owing to the mixed findings of the studies. The lack of studies related to the impact of gold and crude oil on the interest rates, despite them being essentials for the health of any economy is the main motivation of this study. This study is novel as it investigates the volatility impact of crude oil and gold on interest rates and contributes to the existing literature with its findings.

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