...Shubham Jain; Suresh Kumar Mittal Purpose This study aims to investigate the volatility spillover between Indian and developed markets by using volatility indices. Design/methodology/approach This study examines inter-market volatility spillovers between the Indian Volatility Index (IVIX...

... to that of the developed markets. Originality/value The difference in the return dynamics between emerging and developed markets is observed at the lowest time scale. This is an indication that differences in the return dynamics between the two types of markets may be more likely in the short term (high frequency...