金融周期中印度的波动溢出和连通性映射

IF 2.3 Q3 BUSINESS

Global Business Review Pub Date : 2023-10-07 DOI:10.1177/09721509231191357

Avik Das, Tapas Chakraborti

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引用次数: 0

摘要

对于印度的资产管理公司和投机者来说，要评估波动对印度市场的溢出效应，识别G7国家之间的联系可能会有巨大的帮助。使用DYCI方法，我们衡量了印度市场在整个金融周期中的波动性溢出(连通性)。利用条件(滚动样本)连通性，我们评估了印度的总定向波动溢出。此外，我们使用两两定向波动连通性绘制了印度和G7国家之间的波动溢出图。根据我们的发现，在金融周期的上行和下行期间，印度从波动的传递者变成了波动的接受者。

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Volatility Spillover and Connectedness Mapping of India Through the Financial Cycle

For Indian asset managers and speculators to assess the volatility spillover to the Indian market, identifying connections among the G7 countries might be of tremendous assistance. Using the DYCI methodology, we gauge volatility spillover (connectedness) for the Indian market throughout the financial cycle. Utilizing conditional (rolling-sample) connectedness, we assess the total directional volatility spillover for India. Additionally, we map the volatility spillover between India and the G7 nations using pairwise directional volatility connectedness. According to our findings, India changed from being a transmitter of volatility to being a recipient of it during financial cycle upturns and downturns.

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来源期刊

Global Business Review BUSINESS-

CiteScore

7.10

自引率

12.50%

发文量

107

期刊介绍： Global Business Review is designed to be a forum for the wider dissemination of current management and business practice and research drawn from around the globe but with an emphasis on Asian and Indian perspectives. An important feature is its cross-cultural and comparative approach. Multidisciplinary in nature and with a strong practical orientation, this refereed journal publishes surveys relating to and report significant developments in management practice drawn from business/commerce, the public and the private sector, and non-profit organisations. The journal also publishes articles which provide practical insights on doing business in India/Asia from local and global and macro and micro perspectives.