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 …

to investigate the volatility spillover effect between foreign exchange and stock market during different periods like … pre-, post- and in-crisis period in India. By applying GARCH and EGARCH models in the daily data series of both rupee …-dollar exchange rate and CNX Nifty return series, we report evidence of asymmetric and volatility spillover in the three sub …