The Temporal Study of Spot and Futures Market Volatility : Cross Linkages among the Equity, Commodity, and Forex Markets in India

Authors

  •   Susmita Subba Doctoral Research Scholar, School of Professional Studies, 6th Mile Samdur, Sikkim (Central) University, Gangtok - 737 102, Sikkim (East)
  •   B. Muthu Pandian Assistant Professor in Commerce, School of Professional Studies, 6th Mile Samdur, Sikkim (Central) University, Gangtok - 737 102, Sikkim (East)
  •   Ravi Shekhar Vishal Assistant Professor in Commerce, School of Professional Studies, 6th Mile Samdur, Sikkim (Central) University, Gangtok - 737 102, Sikkim (East)

DOI:

https://doi.org/10.17010/ijrcm/2023/v10i3-4/173428

Keywords:

Volatility

, Standard Deviation, ARCH, GARCH, Correlation.

JEL Classification Codes

, E44, G10, G19

Paper Submission Date

, September 5, 2023, Paper sent back for Revision, October 18, Paper Acceptance Date, October 28, 2023

Abstract

Purpose : The article attempted to generate a volatility series and evaluate its inter & intra relationships across various sub-markets and divisions of the Indian financial market, namely the commodity, equity, and foreign exchange markets.

Methodology : The autoregressive conditional heteroskedastic (ARCH) and generalized autoregressive conditional heteroskedastic (GARCH) models were used in the study together with the conventional approach of standard deviation to produce the volatility series. The overall and segment-specific association was analyzed using a correlation matrix.

Findings : The analysis revealed a favorable association with the intra-market of the respective markets, although a negative correlation was identified between the equity and commodity spot market and the forex market.

Practical Implications : The study aimed to enhance stakeholders’ knowledge of intermediary and inter-market volatility and to investigate the relationship between the Indian financial (equity, commodity, and currency) submarkets.

Originality : The study sought to examine the volatility of the Indian market and the interrelationship of volatility among the various submarkets within the Indian financial submarkets using a temporal break based on the incremental movement of every 10,000 points of the BSE sensitivity index (SENSEX).

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Published

2023-12-31

How to Cite

Subba, S., Muthu Pandian, B., & Vishal, R. S. (2023). The Temporal Study of Spot and Futures Market Volatility : Cross Linkages among the Equity, Commodity, and Forex Markets in India. Indian Journal of Research in Capital Markets, 10(3-4), 8–28. https://doi.org/10.17010/ijrcm/2023/v10i3-4/173428

Issue

Volume 10, Issue 3-4, July-December 2023

Section

Articles
Crossref
Scopus
Google Scholar
Europe PMC

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