Return and volatility spillover between India and leading Asian and global equity markets: an empirical analysis

Purpose The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al . (1990) and then further developed Engle Kroner (1995)) to examine return volatility spillover between India four leading Asian (namely, China, Japan, Singapore Hong Kong) two global United Kingdom States) equity markets. Design/methodology/approach employs a quantify correlation transmission across pre- post-2008 financial crisis periods (apart from other conventional time series modelling like cointegration, Granger causality using vector error correction (VECM)). Findings results show tendency of Indian stock market index move along with US Kong indices. decrease in value co-integration coefficient during recession explained reduced investor confidence developing countries. result shows clear distinction terms vis-a-vis UK Volatility markets found be significantly higher as compared UK. So also, study’s puzzling giving us comparable ranks for phase 2 (expansion) 3 (slow-down) business cycle most cases. Research limitations/implications In testing, were unable ascertain difference (slowdown). However, GARCH (MGARCH)-BEKK showed reduction NIFTY50 (is flagship on National Stock Exchange Ltd. (NSE)) entered slow-down. This that economy does go through different cycles, changes parameters hence prove hypothesis true respect International Originality/value all countries, transmitted increases going 1 (recession) reduces again once countries enter slow-down expansion shocks impulses international affect significantly, supporting increase (expansion). During expansion, become profitable investors, due high growth rate when implies significant amount capital enters markets, which is susceptible insignificant (recession recovery) showing weak linkage volatile periods.