STUDY OF VOLATILITY SPILLOVER BETWEEN US AND INDIAN STOCK EXCHANGE
DOI: 
SHARE THIS ARTICLE
DOWNLOAD ARTICLE
REVIEW REPORT
CITE THIS ARTICLE
Global financial markets have become deeply interconnected due to liberalized capital flows, advanced financial technology, and the growing role of institutional investors. When a significant economic shock occurs in one market — such as a pandemic, financial crisis, or monetary policy shift — its effects ripple rapidly across other markets worldwide. This phenomenon, known as "volatility spillover," is the focus of this study, specifically examining the transmission of market volatility between the United States and India.
Keywords
Article Information
Article Metrics
HOW TO CITE
Copy
S, M. (2026). Study of Volatility Spillover Between us and Indian Stock Exchange. International Journal of Science, Strategic Management and Technology, 02(04). https://doi.org/10.55041/ijsmt.v2i4.382
S, Manoj. "Study of Volatility Spillover Between us and Indian Stock Exchange." International Journal of Science, Strategic Management and Technology, vol. 02, no. 04, 2026, pp. . doi:https://doi.org/10.55041/ijsmt.v2i4.382.
S, Manoj. "Study of Volatility Spillover Between us and Indian Stock Exchange." International Journal of Science, Strategic Management and Technology 02, no. 04 (2026). https://doi.org/https://doi.org/10.55041/ijsmt.v2i4.382.
References
2. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. https://doi.org/10.1016/0304-4076(86)90063-1
3.Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006
4.Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. https://doi.org/10.2307/1912773
5.Forbes, K. J., & Rigobon, R. (2002). No contagion, only interdependence: Measuring stock market comovements. The Journal of Finance, 57(5), 2223–2261. https://doi.org/10.1111/0022-1082.00494
6.Hamao, Y., Masulis, R. W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. The Review of Financial Studies, 3(2), 281–307. https://doi.org/10.1093/rfs/3.2.281
7.Mukherjee, P., & Mishra, R. K. (2010). Stock market integration and volatility spillover: India and its major Asian counterparts. Research in International Business and Finance, 24(2), 235–251. https://doi.org/10.1016/j.ribaf.2009.11.001
8.Panda, P., & Nanda, S. (2018). Market linkages and conditional correlation between South Asian stock markets. Journal of Advances in Management Research, 15(3), 328–347. https://doi.org/10.1108/JAMR-12-2017-0118
Ethics and Compliance
Indexed In
Similar Articles
Previous Article
