Return and Volatility Spillover in Equity and Commodity Market: Some Indian Evidence (Record no. 134739)

MARC details
000 -LEADER
fixed length control field 02147nas a2200217Ia 4500
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 250101c99999999xx |||||||||||| ||und||
022 ## - INTERNATIONAL STANDARD SERIAL NUMBER
International Standard Serial Number 0019-4662
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Sethy, Tapas Kumar
9 (RLIN) 124316
245 #0 - TITLE STATEMENT
Title Return and Volatility Spillover in Equity and Commodity Market: Some Indian Evidence
260 ## - PUBLICATION, DISTRIBUTION, ETC.
Name of publisher, distributor, etc. The Indian Economic Journal
260 ## - PUBLICATION, DISTRIBUTION, ETC.
Date of publication, distribution, etc. 2024
300 ## - PHYSICAL DESCRIPTION
Extent 816-834
520 ## - SUMMARY, ETC.
Abstract This study empirically investigates the return and volatility spillover among equity markets, Agro and non-Agro commodity markets. The study has used daily return data of BSE SENSEX as equity index, MCX iCOMEDEX, including Gold, Silver, and Crude oil, as non-agro indices, and NCDEX (AGRIDEX) as agro commodity indices to analyze volatility transmission between assets and markets using Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Exponential Generalized Autoregressive Conditional Heteroscedastic (EGARCH) model. The study has used dummy variables in the variance equation to identify the structural breaks during the COVID 19 pandemic. Further, Vector Auto Regression (VAR) pair-wise Granger causality test has been used to understand returns' causality. The study has found a bidirectional and unidirectional causal relationship between variables. The study indicates that NCDEX could influence all the variables except MCX Gold. In structural breaks with deterministic dummy variables during COVID-19, we have found mixed evidence of asymmetric impact on conditional volatility. The study also indicates a positive and significant asymmetric volatility effect in the case of MCX Gold and MCX Silver during the COVID-19 period. The study has specified that SENSEX dominates the inflow of information to all commodity markets. Also, the findings signpost that information flows from NCDEX to MCX Gold, MCX Silver, and MCX Crude Oil.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Commodity Market
9 (RLIN) 99663
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element EGARCH model
9 (RLIN) 124317
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element GARCH Model
9 (RLIN) 124318
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Spillover Effect
9 (RLIN) 124319
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Equity Market
9 (RLIN) 124320
700 ## - ADDED ENTRY--PERSONAL NAME
Personal name Tripathy, Naliniprava
9 (RLIN) 124321
856 ## - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="https://doi.org/10.1177/00194662241238592">https://doi.org/10.1177/00194662241238592</a>
999 ## - SYSTEM CONTROL NUMBERS (KOHA)
Koha biblionumber 134739
Holdings
Withdrawn status Lost status Damaged status Not for loan Home library Current library Date acquired Serial Enumeration / chronology Total Checkouts Barcode Date last seen Price effective from Koha item type
        Dr VKRV Rao Library Dr VKRV Rao Library 01/01/2025 Vol. 72, No. 5   AI986 01/01/2025 01/01/2025 Article Index