S, Baranidharan, Rathod, Harishchandra, Abdu, Murtala. (1402). Interconnectedness and Risk Spillovers among Selected Indian Stocks During the COVID-19 Pandemic. , 17(1), 111-123. doi: 10.22059/ijms.2023.336640.674885
Baranidharan S; Harishchandra Singh Rathod; Murtala Abdu. "Interconnectedness and Risk Spillovers among Selected Indian Stocks During the COVID-19 Pandemic". , 17, 1, 1402, 111-123. doi: 10.22059/ijms.2023.336640.674885
S, Baranidharan, Rathod, Harishchandra, Abdu, Murtala. (1402). 'Interconnectedness and Risk Spillovers among Selected Indian Stocks During the COVID-19 Pandemic', , 17(1), pp. 111-123. doi: 10.22059/ijms.2023.336640.674885
S, Baranidharan, Rathod, Harishchandra, Abdu, Murtala. Interconnectedness and Risk Spillovers among Selected Indian Stocks During the COVID-19 Pandemic. , 1402; 17(1): 111-123. doi: 10.22059/ijms.2023.336640.674885

Interconnectedness and Risk Spillovers among Selected Indian Stocks During the COVID-19 Pandemic

Interdisciplinary Journal of Management Studies
دوره 17، شماره 1، بهار 2024، صفحه 111-123    اصل مقاله (590.26 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22059/ijms.2023.336640.674885
نویسندگان
Baranidharan S1؛ Harishchandra Singh Rathod2؛ Murtala Abdu* 3
1Presidency Business School, Presidency College, Bangalore, India
2Shri Jairambhai Patel Institute of Business Management NICM Campus, Indroda Circle, Gujarat, India
3Department of Economics and Development Studies, Federal University Dutse, Jigawa, Nigeria
چکیده
This paper examines the connectedness and spillovers of volatilities among ten selected BSE indexes during the COVID-19 pandemic. Daily data covering the periods from January 2015 to December 2020 has been utilized. We employed the "Diebold and Yilmaz" procedure to investigate directional and total volatility spillovers. The results reveal a significant overall pairwise connectedness of 56.8%, indicating a high degree of inter-stock dependency. Additionally, we computed an aggregate spillover index, and its graphical representation shows a substantial upsurge beginning at the end of 2019, eventually peaking on March 12, 2020. Finally, we divided the dataset into two samples: the period before and the period during the pandemic. The results confirm that COVID-19 has triggered a significant volatility spillover within the Indian market. The policy implications of these findings are also discussed.
کلیدواژه‌ها
Stock Market Volatility؛ Risk Spillover؛ Contagion effect؛ Financial Market؛ forecast error variance Decomposition
مراجع
آمار
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