• Meera Ancy Vincent

The present study aimed to contribute to the existing literature on volatility spillover between the stock and foreign exchange market in India using the diagonal BEKK-GARCH model. This study uses the daily data of BSE sector indices, namely BANKEX (Banking), IT (Information Technology), AUTO (Transport), CD (Consumer Durables), HCARE (Health care), POWER (Energy), and the everyday rupee exchange rate against US dollar. Using the closing prices for the period 1st January 2008 to 31st December 2018 the return series are calculated. The study found a bidirectional volatility spillover between the foreign exchange market and major stock market sectors in the long run; even though they are very small in magnitude. The volatility spillover from the stock market is found to have a negative impact on the foreign exchange market and the volatility spillover from the foreign exchange market is found to have a positive impact on the stock market. The changes in the exchange market affect the stock market sectors largely based on whether they are import oriented or export-oriented.

Foreign exchange market, Sectoral stock market indices, Volatility

"VOLATILITY SPILLOVER BETWEEN STOCK AND FOREIGN EXCHANGE MARKET IN INDIA: USING SECTORAL INDICES", International Journal of Emerging Technologies and Innovative Research (www.jetir.org), ISSN:2349-5162, Vol.7, Issue 4, page no.863-870, April-2020, Available :http://www.jetir.org/papers/JETIR2004311.pdf

"VOLATILITY SPILLOVER BETWEEN STOCK AND FOREIGN EXCHANGE MARKET IN INDIA: USING SECTORAL INDICES", International Journal of Emerging Technologies and Innovative Research (www.jetir.org | UGC and issn Approved), ISSN:2349-5162, Vol.7, Issue 4, page no. pp863-870, April-2020, Available at : http://www.jetir.org/papers/JETIR2004311.pdf