The study of volatility spillovers provides useful insights into how information is transmitted from stock market to … foreign exchange market and vice versa. This paper explores volatility spillovers between the Indian stock and foreign … exchange markets. The results indicate that there exists a bidirectional volatility spillover between the Indian stock market …

linkage between the equity markets, both in regards of returns and volatility, as well as in currency markets. While analyzing … the relationship between currency and stock markets we found unidirectional volatility spillovers from currency to stock …

transmission of volatility from stock market to foreign exchange market of India. The analysis reveals no evidence of volatility …Background: The purpose of this study is to examine volatility spillover effects between stock market and foreign … exchange market in selected Asian countries; Pakistan, India, Sri Lanka, China, Hong Kong and Japan. This study considered …

transitory components of the conditional variance exhibit several well-known peaks in volatilities; (ii) the long-run volatility … relationships are stronger than the short-run linkages volatility with a reinforcement during the post-global financial crisis …-run volatility, except for in the period after the Global Financial Crisis, where the foreign-exchange markets are the main long …

further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading …-a-vis US and UK markets. Volatility transmission from India to Asian markets was found to be significantly higher as compared … with respect to volatility transmission to India from International markets. Originality/value - The results show that for …