文章基本信息

标题：Spillover Effect of Volatility in BSE Sensex on BSE Sectoral Indices
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作者：Dr. C.Nateson ; Dr. R.Palanisamy ; P. Renukadevi 等
期刊名称：International Journal of Management and Business Studies
印刷版ISSN：2231-2463
电子版ISSN：2230-9519
出版年度：2013
卷号：3
期号：1
出版社：Cosmic Journals
摘要：The q uick diffusion of information has led to increasing free flow of capital from one market to another or within markets that has led to market integration. This market integration has led to volatility transmission or spillover which has grabbed attention of many researches. Not much attention has been given on volatility transmission to the sectoral indices from the major indices, that has contributed to find the spillover effect of volatility in Sensex on BSE sectoral indices. All the sectoral indices of BSE has been selected and Spillover GARCH(1,1) model has been employed for the current study. There is volatility transmission from the BSE Sensex to BSE Auto, BSE Bankex , BSE Consumer Durables, BSE Capital Goods, BSE FMCG, BSE Healthcare, BSE IT, BSE Metal, BSE Oil & Gas, BSE Realty and BSE PSU. On the other hand shocks to the BSE Sensex do not transmit to the BSE Power and BSE TECk indices
关键词：Spillover; GARCH (1;1); Jarque-Bera Autocorrelation