Indian Stock Market Volatility in Recent Years: Transmission from Global and Regional Contagion and Traditional Domestic Sectors

21 Pages Posted: 4 Feb 2008

See all articles by Amitava Sarkar

Amitava Sarkar

affiliation not provided to SSRN

Gagari Chakrabarti

Presidency College

Chitrakalpa Sen

affiliation not provided to SSRN

Date Written: February 2, 2008

Abstract

This study investigates volatility in Indian stock markets. Specifically, it looks for the possible volatility transmission channel for Indian stock market from the Indian sectoral developments as well as developments in the global market. SENSEX is used as the Indian market index and its response to overseas market indices like Dow Jones, FTSE, BVSP, MerVal, JKSE; further the relationship between SENSEX and domestic sectoral indices have also been examined. As it has been found, the volatility in the developed market indices Granger causes SENSEX volatility, showing a strong existence of a global contagion. SENSEX volatility is also related to some extent to the volatility of Jakarta Stock index, hinting towards some kind of regional contagion. Moreover, as the impulse response function shows, a shock in Dow Jones, Jakarta stock index and BVSP has profound effect on the SENSEX, (Dow Jones having the most important one). As for sources from its domestic sectors, capital goods and consumer durables are the most prominent contributors to the volatility of the SENSEX.

Keywords: stock prices, volatility, contagion

JEL Classification: G10, G14, G15

Suggested Citation

Sarkar, Amitava and Chakrabarti, Gagari and Sen, Chitrakalpa, Indian Stock Market Volatility in Recent Years: Transmission from Global and Regional Contagion and Traditional Domestic Sectors (February 2, 2008). Available at SSRN: https://ssrn.com/abstract=1089763 or http://dx.doi.org/10.2139/ssrn.1089763

Amitava Sarkar (Contact Author)

affiliation not provided to SSRN ( email )

Gagari Chakrabarti

Presidency College

Calcutta
India

Chitrakalpa Sen

affiliation not provided to SSRN ( email )

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