Dynamic connectedness and spillovers across sectors: Evidence from the Indian stock market

We investigate stock market sectoral connectedness in India utilizing a time‐varying parameter vector autoregressive connectedness approach. Results show that stock market sectoral connectedness varies across time. Connectedness is strongest during the 2008 crisis, the double‐digit inflation and sto...

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Veröffentlicht in:	Scottish journal of political economy 2022-07, Vol.69 (3), p.283-300
Hauptverfasser:	Chatziantoniou, Ioannis, Gabauer, David, Marfatia, Hardik A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Connectedness Consumer goods Consumers Diversification dynamic connectedness emerging markets Expenditures Finance Health care Inflation Information industry Information technology National elections sectoral spillover Securities markets Spillover effect Stock exchanges Stock market crashes stock market returns Telecommunications TVP‐VAR variance decomposition
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