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Document Type
Article
Abstract
We investigate the effect of crises on Indian financial markets including the short-term and medium-term money, government securities segments, equity and currency markets. Specifically, we study the effects of the COVID-19 pandemic, the Eurozone Sovereign Debt Crisis and the Global Financial Crisis on market returns, volatility and cross-correlations. We employ a (a) vector autoregressive model to analyse the effects of those shocks on returns and (b) multivariate ADCC-GARCH specification to examine the impact on conditional volatility and dynamic conditional correlation in the markets. We find significant effect of the Global Financial Crisis and the pandemic on the dynamics of the Indian financial markets.
Recommended Citation
Dua, Pami and Tuteja, Divya
(2024)
"Impact of Crises on Indian Financial Markets,"
Bulletin of Monetary Economics and Banking: Vol. 27:
No.
3, Article 7.
DOI: https://doi.org/10.59091/2460-9196.2284
Available at:
https://bulletin.bmeb-bi.org/bmeb/vol27/iss3/7
First Page
557
Last Page
572
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License
Country
India
Affiliation
Indian Institute of Foreign Trade, Delhi