COVID-19 and uncertainty spillovers in Indian stock market

In this paper, we have examined the impact of COVID-19 on the volatility spillovers among ten major sector indices listed in BSE India. We found that total volatility spillovers reached 69% during COVID-19. Energy sector followed by oil & gas were the major net volatility transmitters.•COVID-19...

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Bibliographic Details
Published inMethodsX Vol. 8; p. 101199
Main Authors Guru, Biplab Kumar, Das, Amarendra
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.01.2021
Elsevier
Subjects
BSE India
COVID-19
Diebold-Yilmaz
Method
Volatility spillovers
COVID-19
Diebold-Yilmaz
Diebold and Yilmaz Spillover Index
BSE India
Volatility spillovers
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Summary:In this paper, we have examined the impact of COVID-19 on the volatility spillovers among ten major sector indices listed in BSE India. We found that total volatility spillovers reached 69% during COVID-19. Energy sector followed by oil & gas were the major net volatility transmitters.•COVID-19 has magnified the volatility spillovers in the stock market.•Socks to energy sector significantly spills over to other sectors.•FMCG remains the largest net recipient of the volatility spillovers from other sectors. [Display omitted]
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
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ISSN:2215-0161
2215-0161
DOI:10.1016/j.mex.2020.101199