000			02147nas a2200217Ia 4500
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022			_a0019-4662
100			_aSethy, Tapas Kumar _9124316
245		0	_aReturn and Volatility Spillover in Equity and Commodity Market: Some Indian Evidence
260			_bThe Indian Economic Journal
260			_c2024
300			_a816-834
520			_aThis 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			_a Commodity Market _999663
650			_a EGARCH model _9124317
650			_a GARCH Model _9124318
650			_a Spillover Effect _9124319
650			_aEquity Market _9124320
700			_a Tripathy, Naliniprava _9124321
856			_uhttps://doi.org/10.1177/00194662241238592
999			_c134739 _d134739