Information Flows between Sectors in Indian Stock Markets
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Type
Article
Date
2015-03
Journal Title
Anweshan - journal of Department of Commerce
Journal Editor
Dhar, Samirendra Nath
Journal ISSN
Volume Title
Publisher
University of North Bengal
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17Citation
Karmakar, M. (2015). Information Flows between Sectors in Indian Stock Markets. Anweshan - Journal of Department of Commerce, 3(1), 16–45. https://ir.nbu.ac.in/handle/123456789/2943
Authors
Karmakar, Madhusudan
Advisor
Editor
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.
Description
Keywords
Information flows, Volatility spillover, integration, Granger causality, Bivariate GARCH
Citation
Accession No
Call No
Book Title
Edition
Volume
ISBN No
Volume Number
3
Issue Number
1
ISSN No
2321-0370
eISSN No
Pages
Pages
16 - 45