COVID-19 and uncertainty spillovers in Indian stock market.
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ABSTRACT: In this paper, we have examined the impact of COVID-19 on the volatility spillovers among ten major sector indices listed in BSE India. We found that total volatility spillovers reached 69% during COVID-19. Energy sector followed by oil & gas were the major net volatility transmitters.•COVID-19 has magnified the volatility spillovers in the stock market.•Socks to energy sector significantly spills over to other sectors.•FMCG remains the largest net recipient of the volatility spillovers from other sectors.
SUBMITTER: Guru BK
PROVIDER: S-EPMC8374230 | biostudies-literature |
REPOSITORIES: biostudies-literature
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