Return and volatility spillover between India and leading Asian and global equity markets: an empirical analysis

Purpose – The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading Asian (namely, China, Japan, Singapore and Hong Kong) and tw...

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Váldodahkkit:	Aswini Kumar Mishra, Saksham Agrawal, Jash Ashish Patwa
Materiálatiipa:	Artigo
Giella:	Inglês
Almmustuhtton:	Emerald Publishing 2022-12-01
Ráidu:	Journal of Economics Finance and Administrative Science
Fáttát:	Equity markets Return spillover Volatility spillover GARCH-BEKK model Business cycle Investor behaviour
Liŋkkat:	https://www.emerald.com/insight/content/doi/10.1108/JEFAS-06-2021-0082/full/pdf
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