Mudra: Journal of Finance and Accounting
Year : 2023, Volume : 10, Issue : 2
First page : ( 99) Last page : ( 117)
Print ISSN : 2347-4467. Online ISSN : 2395-2598.
Article DOI : 10.17492/jpi.mudra.v10i2.1022306

Dynamics of Spillover among Sectors of Indian Stock Market Before and During Covid-19

Padmasree Karamala¹

¹Professor, Department of Commerce, Central University of Karnataka, Kalaburagi, Karnataka, India, (E-mail: kpadmasree@cuk.ac.in)

Online Published on 02 February, 2024.

Abstract

Analysis of sectoral connectedness within the stock markets is very pertinent not only for better portfolio management but also for policy makers. Identifying the net spillover transmitters and receivers strengthens the confidence of investors to diversify the risk and improves the decision making strategies of policy makers. This is very relevant and pertinent in periods of turbulence. In order to find out the net transmitters and receivers of spillovers, the study carried out by considering the periods of Pre pandemic and during Pandemic periods. Diebold & Yelmaz’s generalized variance decomposition framework based on the VAR and the rolling window approach was also used find out the set of connectedness within the sectors of Indian Stock Market. This will help the investors to carve out their trading strategy and to the policy makers in discovering the sources of risk in the market and to initiate policies to mitigate the systemic risk well prior to any turbulence to struck to the market. The study found that net transmitters from the Indian market are the Financial Service Sector. However, there are some changes found in their intensity of transmission of risk in return and volatility series from the study.

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Keywords

Covid-19, During Pandemic, Frequency Connectedness, Indian Stock Market, Pre-pandemic, Spillover.

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