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
Open Access | Editorial and Publishing Policies | Cite | Zenodo | OJS | Indexing and Abstracting
© 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 primary objective of this study is to empirically analyse the volatility spillover among sectoral equity returns in the Indian and US markets. The paper extracts the time‐varying conditional correlations between the sector indices using the Dynamic Conditional Correlation model. 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 the Healthcare sector. The fluctuation in conditional correlation coefficients over time highlights the evolving connectivity and volatility spillover effects between the Indian and United Nations stock markets in the Information and Technology sector. The findings indicate that offering proper direction for risk management and developing investment strategies in 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