Range Volatility Spillover across Sectoral Stock Indices during COVID 19 Pandemic: Evidence from Indian Stock Market

Datta, Susanta and Hatekar, Neeraj (2025) Range Volatility Spillover across Sectoral Stock Indices during COVID 19 Pandemic: Evidence from Indian Stock Market. Journal of Applied Economic Sciences (JAES), XX (1(27)). pp. 79-100. ISSN 1843-6110

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Abstract

This study examines volatility spillover across sectoral stock indices in India, an emerging market economy, during the COVID-19 pandemic. Our research makes three key contributions: (a) incorporating range volatility measures to capture the pandemic's impact on stock market volatility, (b) providing a comparative assessment of volatility spillover across sectoral indices, and (c) identifying evidence of volatility spillover across different sectoral indices. Using daily historical open, high, low, and close price data for 11 NIFTY sectoral indices during first wave of pandemic; the findings reveal that open-to-close returns outperform close-to-close returns in forecasting sectoral stock indices, underscoring the importance of incorporating range-based volatility measures in forecasting models. Furthermore, the multivariate Range DCC model confirms significant volatility spillover across sectoral indices, highlighting the interconnectedness of Indian sectoral stock markets during crisis periods. The findings offer actionable insights for the Securities and Exchange Board of India (SEBI) to develop targeted, sectoral-level market surveillance strategies and robust risk management frameworks, ultimately enhancing the resilience of India's capital markets in post-pandemic scenarios.

Item Type:	Article
Authors:	Datta, Susanta and Hatekar, Neeraj
Document Language:	Language English
Uncontrolled Keywords:	volatility, spillover, return, range, NIFTY, COVID 19.
Subjects:	Natural Sciences > Life sciences; biology > Genetics & evolution Technology > Medicine & health > Diseases
Divisions:	Azim Premji University - Bengaluru > School of Development
Full Text Status:	Public
URI:	http://publications.azimpremjiuniversity.edu.in/id/eprint/6739
Publisher URL:	https://ritha.eu/our_vision

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