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Volatility in Indian Stock Market: Transmission from Global Markets

  • Amitava Sarkar
Chapter

Abstract

This study identifies some volatility transmission channels for Indian stock market. The global stock market is having its influence on Indian stock market. The impact of developed country effect, particularly, that of US stock market, has been the most prominent. While Brazil and Argentina can be said to belong to competitive platform similar to the one India does, their effects on Indian stock market volatility have been mild. However, there is some evidence for regional contagion in the sense that Jakarta Stock Index transmits its volatility to SENSEX. Thus, the long existent notion that the Indian stock market is decoupled from the global financial markets can be rightly challenged. When we look at the domestic sectors, we see that capital goods and consumer durables sectors are the two most predominant sectors, their contribution to the volatility of SENSEX being the most; in particular, capital goods sector, has remained the most important explanatory and propagator of shocks in SENSEX return, whereas sectors such as FMCG, IT or HC have only a mild, almost insignificant impact, on SENSEX volatility. So, it can be said that in India, the traditional sectors still remain the most important sectors.

Keywords

Stock Market Granger Causality Market Index Variance Decomposition Financial Integration 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer India Pvt. Ltd. 2012

Authors and Affiliations

  • Amitava Sarkar
    • 1
  1. 1.School of Management & SciencesWest Bengal University of TechnologySalt Lake KolkataIndia

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