An exploration on volatility across India and some developed emerging equity markets / Paramita Mukherjee.

Format:

Book

Government document

Author/Creator:

Mukherjee, Paramita, author.

Language:

English

Subjects (All):

Economic and Social Development.

India.

Local Subjects:

Economic and Social Development.

India.

Physical Description:

1 online resource (25 pages)

Contained In:

Asia-Pacific Development Journal Vol. 18, no. 2, p. 79-103 18:2<79 2411-9873

Place of Publication:

[Place of publication not identified] : United Nations, 2012.

System Details:

text file

Summary:

The opening up of financial markets in India has led to significant transformation within the financial sector, which has become more integrated with international stock markets. The general concern which is emerging with such development is the increased volatility of equity returns. This paper explores the relationship between volatility within not only the Indian equity market but also within other developed and emerging markets as well. Based on a daily data set for more than nine years, this paper estimates a joint Vector Auto Regression/Multivariate Generalized Autoregressive Conditional Heteroskedasticity (VARMGARCH) model. As the existing literature suggests, returns in the United States of America, the Republic of Korea and Hong Kong, China have a definite effect on returns in India. More interesting is the finding that Indian market returns also affect the returns in other markets such as Japan, the Republic of Korea, Singapore and Hong Kong, China. In addition, return volatility of the Indian market does not have an increasing or declining trend, but exhibits sudden sharp increases over the sample period. The conditional correlation of the Indian equity market return with all the other markets has increased over time in recent years.

Access Restriction:

Restricted for use by site license.