Please use this identifier to cite or link to this item: 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://14.139.211.59:8080/jspui/handle/123456789/2943
ISSN: 2321-0370
Appears in Collections:Vol. 3 No. 1 (March 2015)

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