Return and volatility spillover among the PIIGS economies and India

Abstract

This paper examines the linkages among the stock markets of Portugal, Ireland, Italy, Greece, Spain and India using the vector autoregressive multivariate exponential generalised autoregressive conditional heteroskedasticity (VAR-MVEGARCH) model. We also examine the return and volatility spillover between the Indian stock market and each market from the PIIGS economies using the VAR-bivariate-EGARCH model. We observe strong evidence of a return and volatility spillover effect from Greece to India from both the bivariate and multivariate models. Greece acts as a major source of information influencing the volatility process of the other markets.