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http://ir.nbu.ac.in/handle/123456789/2943| Title: | Information Flows between Sectors in Indian Stock Markets |
| Other Titles: | ANWESHAN, Vol. 3, No. 1, March 2015, p 16 - 45 |
| Authors: | Karmakar, Madhusudan |
| Keywords: | Information flows Volatility spillover integration Granger causality Bivariate GARCH |
| Issue Date: | Mar-2015 |
| Publisher: | University of North Bengal |
| Abstract: | 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. |
| URI: | http://ir.nbu.ac.in/handle/123456789/2943 |
| ISSN: | 2321-0370 |
| Appears in Collections: | Vol. 3 No. 1 (March 2015) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Article.2.pdf | Information Flows between Sectors in Indian Stock Markets | 898.92 kB | Adobe PDF |  View/Open |
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