...Nisha Tokas; Ruchika Gahlot; Neha Puri; Himani Gupta; Kunal Malhotra This study unravels the transmission of volatility spillovers between NIFTY 50 spot prices and the options market, addressing a significant gap in existing studies. It captures how market connectedness evolved during the pre-COVID...

... may be seen at http://creativecommons.org/licences/by/4.0/legalcode Volatility Spillover Connectedness Network Global Index Futures Markets Market Distress DECO-GARCH Model ...

...Sang Hoon Kang; Seong-Min Yoon This paper investigates the impact of structural breaks on volatility spillovers between Asian stock markets (China, Hong Kong, India, Indonesia, Japan, Korea, Singapore, and Taiwan) and the oil futures market. To this end, we apply the bivariate DCC-GARCH model...

...Seok-Kyu Kang; Youngtae Byun; Jonghae Park In this study we compared the effectiveness of different ETFs. For this purpose, we analyzed the volatility spillover effect (process) among KOSPI200, KOSPI200 futures and KOSPI200 ETFs such as KODEX200, KOSEF200, KINDEX200, TIGER200 using multi-variate...

...Sang Hoon Kang; Seong-Min Yoon This paper investigates the price discovery, volatility spillover, and asymmetric volatility spillover effects between the KOSPI 200 market and its futures contracts market. The investigation was performed using the VECM-DCC-GARCH approach. In the case of returns, we...