کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
982273 1480465 2010 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Information transmission between small and large stocks in the National Stock Exchange in India: An empirical study
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Information transmission between small and large stocks in the National Stock Exchange in India: An empirical study
چکیده انگلیسی

The study investigates return and volatility spillover effects between large and small stocks in the national stock exchange in India using daily index data on S&P CNX Nifty, CNX Nifty Junior and CNX Midcap. The VAR model together with the variance decomposition (VDC) and the impulse response function (IRF) analysis have been employed to uncover both casual and dynamic relationship between the large stocks and small stocks. The results show that there are very significant return spillovers from the market portfolio of large stocks to the portfolio of small stocks. To investigate the volatility spillover the study has used standard BEKK model and asymmetric BEKK model. Although, based on the standard BEKK model we have observed unidirectional volatility spillovers from the portfolio of large stocks to the portfolio of small stocks, the finding was less reliable. The more reliable finding, which is based on asymmetric BEKK model, is that there is bidirectional volatility spillover between the portfolio of large stocks and the portfolio of small stocks.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 50, Issue 1, February 2010, Pages 110–120
نویسندگان
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