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dc.contributor.authorKarmakar, Madhusudan-
dc.description.abstractThe 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.en_US
dc.publisherUniversity of North Bengalen_US
dc.subjectInformation flowsen_US
dc.subjectVolatility spilloveren_US
dc.subjectGranger causalityen_US
dc.subjectBivariate GARCHen_US
dc.titleInformation Flows between Sectors in Indian Stock Marketsen_US
dc.title.alternativeANWESHAN, Vol. 3, No. 1, March 2015, p 16 - 45en_US
Appears in Collections:Vol. 3 No. 1 (March 2015)

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