Dynamic connectedness and spillovers across sectors: Evidence from the Indian stock market

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Title

Dynamic connectedness and spillovers across sectors: Evidence from the Indian stock market

Content partner

Lincoln University

Collection

Lincoln University Research Archive

Description

We investigate stock market sectoral connectedness in India utilizing a time-varying parameter vector autoregressive connectedness approach. Results show that stock market sectoral connectedness varies across time. Connectedness is strongest during the 2008 crisis, the double-digit inflation and stock market crash of 2011, following the national elections of 2014, and the demonetization of 2016. Among sectors, consumers' spending, industry, finance, and basic materials are net transmitters of...

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Format

Research Paper

Research format

Journal article

Date created

2022-07

Creator

Chatziantoniou, I / Gabauer, David / Marfatia, HA

URL

https://hdl.handle.net/10182/18255

Related subjects

dynamic connectedness / emerging markets / sectoral spillover / stock market returns / TVP-VAR / variance decomposition / Banking, finance and investment / Applied economics

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