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Integration of Capital, Commodity and Currency Markets: A Study on Volatility Spillover

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  • Suhail Palakkod

    () (Ideal Institute of Professional Excellence (IIPE) Malappuram, Kerala, India)

Abstract

The 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

Suggested Citation

  • Suhail Palakkod, 2012. "Integration of Capital, Commodity and Currency Markets: A Study on Volatility Spillover," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(44), pages 87-100, June.
  • Handle: RePEc:rej:journl:v:15:y:2012:i:44:p:87-100
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    References listed on IDEAS

    as
    1. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
    2. Baele, Lieven, 2005. "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(02), pages 373-401, June.
    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    4. Timothy J. Brailsford, 1996. "Volatility Spillovers Across the Tasman," Australian Journal of Management, Australian School of Business, vol. 21(1), pages 13-27, June.
    5. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
    6. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Inter-market volatility; correlated movement; market integration; ARCH-GARCH models; move in tandem;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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