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Volatility Spillovers and Financial Integration: Analyzing the Impact of NASDAQ and CSI 300 on Nifty 50 Using EGARCH-X and Cointegration

In: Proceedings of the 3rd International Conference on Artificial Intelligence in Economics, Finance and Management (ICAIEFM 2025)

Author

Listed:
  • K. K. Dibin

    (Berchmans Institute of Management Studies, SB College, Assistant Professor)

  • Anjali Padmakumar

    (Berchmans Institute of Management Studies, SB College, MBA 2nd year)

  • K. G. Deepa Babu

    (SCMS School of Technology and Management, Associate Professor)

Abstract

This study examines the short-term volatility spillovers and long-term integration between the NASDAQ, CSI 300, and Nifty 50 using EGARCH-X and Johansen Cointegration. The EGARCH-X model is used to analyze the asymmetries and event-driven shocks, while Cointegration tests assess persistent linkages across markets. Daily closing prices from November 2023 to November 2024 and the monthly prices from November 2014 to November 2024 were used for the study. Results indicate that return spillovers from the U.S. and Chinese markets to India are statistically insignificant, but volatility transmissions are significant, with adverse shocks enhancing volatility more than positive ones. These volatility shocks are of short duration, showing the resilience of the Indian stock market. Long-run analysis shows that the absence of Cointegration suggests that the equity market of India functions independently of the U.S. and Chinese markets. This reflects the influence of strong domestic fundamentals and institutional structures. This study contributes to the literature on emerging resilience and integration by distinguishing between return and volatility spillovers. The findings offer insights for investors designing diversification strategies, regulators concerned with risk management, and policymakers evaluating India’s role in the global financial system.

Suggested Citation

  • K. K. Dibin & Anjali Padmakumar & K. G. Deepa Babu, 2025. "Volatility Spillovers and Financial Integration: Analyzing the Impact of NASDAQ and CSI 300 on Nifty 50 Using EGARCH-X and Cointegration," Advances in Economics, Business and Management Research, in: Bejoy Joseph & Devi Sekhar R (ed.), Proceedings of the 3rd International Conference on Artificial Intelligence in Economics, Finance and Management (ICAIEFM 2025), pages 139-155, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-896-7_8
    DOI: 10.2991/978-94-6463-896-7_8
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