This paper investigates the time-varying correlation and the volatility behaviour of the New Age Technology (Industry 4 ….0) sectors and, traditional sectors in US (NASDAQ sectoral indices) and India (Nifty sectoral indices) using ADCC/DCC – GARCH … COVID -19 pandemic on the volatility behaviour and the time – varying correlation of these indices. Risk measures – VaR and …

change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …

across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …

significantly on both US and UK EPU shocks. The long-run correlation depends positively on the US EPU shocks. The dependence is … US EPU shocks perform well in predicting correlation. We further analyze categorical EPU shocks and several global stock …

-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In … returns, especially during crises. Moreover, including the FCI in volatility and correlation modeling improves Value …

(Poland), BSE (India), SSE Composite (China) and BUX (Hungary) from January 2000 to June 2018. The econometric framework … markets in Hungary, USA, Germany, India and Canada exhibit high positive volatility after global financial crisis. …

and investors in emerging economies such as India. Overall, this study provides valuable insights into the nature and …