IDEAS home Printed from https://ideas.repec.org/a/sae/globus/v26y2025i2p421-437.html
   My bibliography  Save this article

Return and Volatility Spillovers Among the Thematic Indices in India

Author

Listed:
  • Sayantan Bandhu Majumder

Abstract

The article attempts to explore the interlinkages among the Nifty thematic indices and their portfolio implications. First, we examine the return and volatility spillovers among eight Nifty thematic indices, namely Energy, Infrastructure, MNC, PSE, Services Sector, Aditya Birla Group, Mahindra Group and Tata group using the vector autoregressive (VAR (1)) asymmetric BEKK–GARCH model for the period 4 January 2010–28 March 2020. Second, the estimation results are used to calculate and analyse the optimal portfolio weights, hedge ratios and hedging effectiveness. We find significant evidence of return and volatility spillover. Moreover, the spillovers are found to be asymmetric in few cases. The optimal portfolio weight favours the MNC and Services sectors.

Suggested Citation

  • Sayantan Bandhu Majumder, 2025. "Return and Volatility Spillovers Among the Thematic Indices in India," Global Business Review, International Management Institute, vol. 26(2), pages 421-437, April.
    • Handle: RePEc:sae:globus:v:26:y:2025:i:2:p:421-437
    DOI: 10.1177/0972150921995476
    as

    Download full text from publisher

    File URL: https://journals.sagepub.com/doi/10.1177/0972150921995476
    Download Restriction: no
    File URL: https://libkey.io/10.1177/0972150921995476?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sae:globus:v:26:y:2025:i:2:p:421-437. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: SAGE Publications (email available below). General contact details of provider: http://www.imi.edu/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.