Case Studies in Business and Management
Volatility Interactions among India and US Stock Markets
Abstract
The study examines the return and volatility spillover among BSE and DJIA of India and US Stock Markets respectively. It employed GARCH-BEKK model to examine the relationship. The period of study is from January 2, 2012 to April 4, 2014. We find evidences of bidirectional shock and volatility interactions among the stock markets. The results indicate that DJIA exercises more influence on BSE in terms of shocks and volatility transmission. The overall persistence of volatility is highest in US stock market.
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PDFDOI: https://doi.org/10.5296/csbm.v1i1.5830
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