Karmakar, Madhusudan - In: The Quarterly Review of Economics and Finance 50 (2010) 1, pp. 110-120
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...