The basic thrust of this article is to examine how shocks and volatility are transmitted across sector indices. This article employs the autoregressive asymmetric BEKK-GARCH model. The study is based on daily data from the National Stock Exchange (NSE) of India from January 2004 to January 2014. Volatility spillover was found to be bidirectional among the two pro-cyclical sectors: Finance and IT. But, there was a unidirectional shock and volatility spillover from the non-cyclical FMCG sector to both the pro-cyclical sectors. The FMCG sector has remained almost unaffected by the spillover from the other sectors. Moreover, the evidence of asymmetric spillover has been found to be present in most of the case. Second, correlations between the sectors were found to be higher during the period of global financial crisis. But no such evidence was found in the context of the Euro zone debt crisis. Understanding the dynamics of shocks and volatility transmission is necessary for risk management in general and for optimal portfolio allocation and hedging strategy in particular. To the best of our knowledge, this is the first study on Indian stock market which has analysed the dynamics of shock and volatility transmission across sector indices.

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Purpose This paper aims to evaluate the hedging and safe haven properties of gold, cryptocurrency and commodities against the Indian equity market. Design/methodology/approach First, the authors estimate the hedging and safe haven abilities of gold, cryptocurrency and commodities for the Indian stock market and further verify whether such properties vary across the broad stock market indices and over the different degrees of market volatility. Second, the authors use the multivariate GARCH framework to calculate the dynamic hedge ratios and hedging efficiencies to compare the hedging properties of the alternative asset classes. Third, the authors verify the robustness of the general findings during the recent crisis emanating from the outbreak of the COVID-19 pandemic. Findings Gold, cryptocurrency and most commodities have significant hedging abilities. Only natural gas, crude oil and aluminum, on the other hand, have safe haven property. Neither gold nor cryptocurrency qualifies as a safe haven asset. On the other hand, the financialization of the Indian commodities market provides a significant dividend to investors in terms of hedging and safe haven capabilities. The authors find the least negative hedge ratio and the highest positive hedging effectiveness for the stock-crude oil and stock-natural gas portfolios. The central observations of the paper remain immune to the COVID crisis. Originality/value Focusing on the Indian equity market, the paper compares the diversification abilities of traditional assets like gold with those of the modern class of assets, including cryptocurrency and other commodities.

The article attempts to explore the interlinkages among the Nifty thematic indices and their portfolio implications. First, we examine the return and volatility spillovers among eight Nifty thematic indices, namely Energy, Infrastructure, MNC, PSE, Services Sector, Aditya Birla Group, Mahindra Group and Tata group using the vector autoregressive (VAR (1)) asymmetric BEKK–GARCH model for the period 4 January 2010–28 March 2020. Second, the estimation results are used to calculate and analyse the optimal portfolio weights, hedge ratios and hedging effectiveness. We find significant evidence of return and volatility spillover. Moreover, the spillovers are found to be asymmetric in few cases. The optimal portfolio weight favours the MNC and Services sectors.