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Pattern, Source, Destination of Volatilities in Financial Market and Policy Lessons.
- Source :
- Review of Pacific Basin Financial Markets & Policies; Dec2023, Vol. 26 Issue 4, p1-28, 28p
- Publication Year :
- 2023
-
Abstract
- This paper studies patterns of volatilities and their spillovers across six major segments of Indian financial market applying univariate GARCH model and estimating the Diebold and Yilmaz (DY) volatility spillover index. The study found increasing integration of financial market segments over time and that equity, bank index and corporate bond segments are net contributors while money, gsec and forex segments are net receivers of volatility. The study highlights the need for a healthy banking sector and the increasing significance of corporate bond market volatility and suggests segment specific policy responses to tackle financial market volatilities. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 02190915
- Volume :
- 26
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- Review of Pacific Basin Financial Markets & Policies
- Publication Type :
- Academic Journal
- Accession number :
- 174622349
- Full Text :
- https://doi.org/10.1142/S0219091523500273