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Stock Market Spillover Analysis DCC-GARCH by punjabilassi03 is a document available to read on EtoBox.
This study analyzes the interconnectedness and volatility spillover effects among the stock markets of the US, China, Germany, Japan, and India from January 2020 to March 2024 using the DCC-GARCH model and Diebold-Yilmaz method. It finds that Germany and the US are net transmitters of volatility, while China, Japan, and India are net receivers, with a total spillover of 39.37% among the indices. The research highlights the importance of understanding these dynamics for informed investment decisions in a glo
- Author
- punjabilassi03
- Language
- EN