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Title:
Market Volatility and Causal Relationship between Indian and Chinese Stock Markets |
Abstract:
This study investigates the dynamic interaction of market volatility
and causal relationships between the Indian and Chinese stock markets. The
increasing globalization of financial markets has led to heightened
interconnectedness among emerging economies, making it imperative to understand
the spillover effects and causal links between these markets, particularly in
the context of volatile periods. Using daily stock market indices data from
both India and China, spanning a significant period, the study employ GARCH
models, Granger causality tests, and vector autoregression (VAR) analysis to
explore the volatility patterns and causal relationships between the two
markets. Our findings reveal notable volatility clustering in both markets,
indicative of periods of high volatility followed by relative calmness.
Moreover, we uncover significant bidirectional causal relationships between the
Indian and Chinese stock markets, suggesting the presence of spillover effects.
Specifically, we observe that shocks in one market significantly influence the
volatility and behavior of the other market, highlighting the importance of
cross-market interactions in shaping investors' decisions and market dynamics.
Furthermore, we analyze the impact of various macroeconomic and geopolitical
factors on market volatility and causal relationships, providing insights into
the drivers of volatility transmission between the Indian and Chinese stock
markets. The findings have important implications for policymakers, investors,
and market participants, emphasizing the need for risk management strategies
that account for cross-market linkages and spillover effects in an increasingly
interconnected global financial background.
Keywords:
Stock market,
volatility, GARCH models, Granger causality tests, vector autoregression
analysis.
JEL Codes: C58, G0, G1.
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Biography:
Dr. Amalendu Bhunia is the Vice-Chancellor and the Dean, Faculty of Arts & Commerce, University of Kalyani, West Bengal, India. He is a Professor, Department of Commerce, University of Kalyani. He has experience in teaching the subject of finance, taxation, and statistics for more than 28 years. He has published 46 research articles in foreign journals, 58 research articles in national journals, 13 research articles in edited volume, and 9 books in national and international repute. At present, his Google Scholar Citation is 1806 with an h-index of 24. He has completed 4 research projects funded by the University Grants Commission, India, and the Indian Council of Social Science Research. His research interests are in the financial markets, corporate finance, international finance, and behavioral finance. He has presented 58 research papers at various international and national conferences. Presently, he is serving as a member of the editorial board in 22 international journals including Scopus indexed, ADBC listed and UGC-CARE listed journals. He served as an Editor-in-Chief, American Journal of Theoretical and Applied Business (Science Published Group, USA) for two years. Now, he is an Editor-in-Chief, Indo-Asian Journal of Finance and Accounting and Indian Journal of Finance and Economics (Academic Research Foundations Journals, India). Dr. Bhunia is a professional member of International Society for Development and Sustainability (Japan), a member of Asian Council of Science Editor, Dubai and the members of various research associations around the globe. Dr. Bhunia acted as a keynote speaker in 52 national, 25 international, and 14 foreign conferences. Also, he acted as a keynote speaker in China, Turkey, UK, Nigeria, and Bangladesh. He acted as a Chairperson in various national and foreign conferences including Thailand and Bangladesh. He is specialized as a resource person in the subject of ‘Research Methodology’ and ‘Statistical Analysis on Quantitative Data’. 10 research scholars have awarded the Ph.D. degree and 8 scholars have awarded the M. Phil. degree under his supervision.
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