Returns, volatility and spillover - A paradigm shift in India?

被引：7
|
作者：
Dey, Shubhasis [1 ]
Sampath, Aravind [1 ]
机构：
[1] Indian Inst Management Kozhikode, IIMK Campus PO, Kozhikode 673570, Kerala, India
来源：
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2020年 / 52卷
关键词：
Demonetization; Return; Volatility; Spillover; Asset; SAFE HAVEN; GOLD; HEDGE; INFLATION; STOCK; COMMODITY; LINKAGES; PRICE; METAL;
D O I：
10.1016/j.najef.2019.101110
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate spillovers in returns and volatility among five major financial assets in India. Spillovers account for more than 25 percent of the forecast error variance in all the five markets. Banking, real estate and gold matter the most for India. Shocks from US economy to India arrive via Gold and forex markets. Events including the general elections and demonetization were contemporaneous to major episodes of return and volatility spillovers in the analyzed assets. Demonetization policy and President Trump's election have increased regulatory risk for the Indian IT sector outlining its importance for gold and banking sector volatility shock transmission.
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页数：14
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