Impact of Crises on Indian Financial Markets

Authors

Pami Dua, Delhi School of Economics, University of DelhiFollow
Divya Tuteja, Indian Institute of Foreign Trade DelhiFollow

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