Integration of Capital, Commodity and Currency Markets: A Study on Volatility Spillover
AbstractThe volatility spillover tells about the extent of the integration between different markets. In this study an effort has been made to analyse the integration and interrelationship among the capital market, currency market and commodity market in India through the volatility spillover frame work by using AR (1)-GARCH (1,1) approach. This study differentiates from the earlier studies by including all three segments of the markets. The study found out that the volatility spillover from currency markets and commodity markets to capital markets. Likewise the volatility spillover from capital market to currency markets and there is no spillover from commodity market to currency markets. In case of commodity market there is no evidence of volatility spillover
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Bibliographic InfoArticle provided by Department of International Business and Economics from the Academy of Economic Studies Bucharest in its journal Romanian Economic Journal.
Volume (Year): 15 (2012)
Issue (Month): 44 (June)
Inter-market volatility; correlated movement; market integration; ARCH-GARCH models; move in tandem;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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