... spillover effects of herding. Design/methodology/approach The study adapts the cross-sectional absolute deviation model given by Chang et al. (2000) to examine herding in Indian stock and commodity futures markets. Findings The results of the study indicate absence of herding among...

... is identified. At last the seasonality, structural shifts and spillover effects are examined together to find out their effects on volatility. Design/methodology/approach The methodology heavily employs econometric tools and techniques. The monthly seasonal dummies are incorporated to identify the effects...