Volatility Spillover Among Sectoral Indices of the Indian and US Stock Markets
Hema Saini1, Dhiraj Sharma2
1Hema Saini, Research Scholar, School of Management Studies, Punjabi University, Patiala (Punjab), India.
2Dr. Dhiraj Sharma, School of Management Studies, Punjabi University, Patiala, (Punjab), India.
Manuscript Received on 20 February 2025 | First Revised Manuscript Received on 26 February 2025 | Second Revised Manuscript Received on 17 April 2025 | Manuscript Accepted on 15 May 2025 | Manuscript published on 30 May 2025 | PP: 11-17 | Volume-11 Issue-9 May 2025 | Retrieval Number: 100.1/ijmh.G180111070325 | DOI: 10.35940/ijmh.G1801.11090525
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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC-BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Abstract: The main aim of this study is to empirically analyze the volatility spillover among the sectoral equity returns for Indian and US markets. Utilizing the Dynamic Conditional Correlation model, the paper extracts the time‐varying conditional correlations between the sector indices. The analysis of the DCC-GARCH model indicates a conditional correlation between the Indian and US stock markets. Furthermore, despite market volatility and a significant disruption caused by the COVID-19 crisis in 2019, the consistent presence of a positive correlation highlights the strong and lasting connection between Indian and foreign stock exchanges in the financial services, FMCG sector, and Healthcare sector. The fluctuation in conditional correlation coefficients over time showcases the evolving connectivity and volatility spillover effect between Indian and United Nations stock markets in the Information and Technology sector. The findings indicate that offering useful direction for risk management and the development of investment strategies in the face of uncertain and unstable market conditions is essential for understanding the continuous impact and interconnectedness of global financial markets.
Keywords: Stock Market Integration, Financial Market Interconnectedness, Volatility Spillover, Market Risk Transmission, Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH), Generalized Autoregressive Conditional Heteroskedasticity (GARCH), Autoregressive Conditional Heteroskedasticity (ARCH).
Scope of the Article: Management