RBI Bulletin


Search Archives

(66 kb)
Volatility Spillovers between Forex and Stock Markets in India
Date : Oct 11, 2018
This paper by Sudarsana Sahoo, Harendra Behera and Pushpa Trivedi investigates the price and volatility spillovers between the Indian foreign exchange market (forex) and stock markets. The response of the forex market to volatility spillovers from stock markets is asymmetric, i.e., negative shocks from the stock markets result in higher volatility in the forex market vis-à-vis the positive shocks. The evidence on volatility spillovers during highly volatile periods indicates possible ‘contagion’ impact that amplifies the volatility and exacerbates the stress in the financial system.

2018
2017
2016
2015
2014
2013
2012
2011
2010
2009
Archives
Server 214
Top