Department of Commerce

Permanent URI for this communityhttps://ir.nbu.ac.in/handle/123456789/2925

The Post Graduate Department of Commerce was established in 1965 with the purpose to promote state of the art teaching and research and in Business Operations and Management. The primary programme offered by the department is Masters in Commerce, with specializations offered in Accounting and Finance, Personnel Management and Industrial Relations , Marketing, Banking and Finance and International finance.

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End date: 2015Subject: search.filters.subject.Bivariate GARCH

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    Information Flows between Sectors in Indian Stock Markets
    (University of North Bengal, 2015-03) Karmakar, Madhusudan
    The paper investigates return and volatility spillover mechanism between ten sectors of the Bombay Stock Exchange in India. The study uses cointegration analysis to examine the co-movements between different sectors prices and VAR analysis to investigate the transmission of shocks between different sector returns. A bivariate GARCH model is also used to estimate the volatility spillover mechanism. The findings of the study indicate that there are strong information flows between sectors. The findings have significant implications for investors as well as policymakers.