2023
DOI: 10.21511/imfi.20(2).2023.05
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Modelling volatility effects between stock, oil, gold and forex markets: Evidence from India

Abstract: Although several studies on the integration of diverse stock markets have been conducted in the financial literature, most of them have focused on the integration and volatility spillovers across established stock markets. The present study explores the dynamics of integration and volatility spillover across gold, oil, forex, and stock markets during four significant events in India: the pre-changed government regime, the post-changed government regime, the post-Brexit referendum date, and the COVID era. Daily… Show more

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