Examining financial market spillover and portfolio diversification in India during the Covid-19 pandemic
By: Rao, Amar
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Material type: 
BookPublisher: Abhigyan: Management Journal From Fore Description: 41(2), Jul-Sep, 2023: p.44-65.Subject(s): Financial markets
In:
Abhigyan: Management Journal From ForeSummary: The COVID-19 pandemic has had a profound impact on the world financial markets, with no prior contagious outbreak having such a devastating influence. This study examines the return linkages between key financial assets in the Indian economy as impacted by the coronavirus pandemic. The study found that the USD/INR and NIFTY remained primary sources of shock in both pre-and post-COVID periods. However, post-COVID, there was a decrease in the transmission of shock from 10YBond, implying that the Reserve Bank of India's expansionary monetary policies and injection of liquidity did not lead to increased shock to other financial markets. The results from the TVPVAR reflected implying that connectedness between financial assets varies over time. Portfolio managers and investors should be able to recognize novel investment options that leverage portfolio diversification to maximize risk-adjusted. – Reproduced
https://scholar.google.com/citations?view_op=view_citation&hl=en&user=-ZxPXBcAAAAJ&cstart=20&pagesize=80&citation_for_view=-ZxPXBcAAAAJ:qUcmZB5y_30C
| Item type | Current location | Call number | Vol info | Status | Date due | Barcode |
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Articles
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Indian Institute of Public Administration | 41(2), Jul-Sep, 2023: p.44-65 | Available | AR130756 |
The COVID-19 pandemic has had a profound impact on the world financial markets, with no prior contagious outbreak having such a devastating influence. This study examines the return linkages between key financial assets in the Indian economy as impacted by the coronavirus pandemic. The study found that the USD/INR and NIFTY remained primary sources of shock in both pre-and post-COVID periods. However, post-COVID, there was a decrease in the transmission of shock from 10YBond, implying that the Reserve Bank of India's expansionary monetary policies and injection of liquidity did not lead to increased shock to other financial markets. The results from the TVPVAR reflected implying that connectedness between financial assets varies over time. Portfolio managers and investors should be able to recognize novel investment options that leverage portfolio diversification to maximize risk-adjusted. – Reproduced
https://scholar.google.com/citations?view_op=view_citation&hl=en&user=-ZxPXBcAAAAJ&cstart=20&pagesize=80&citation_for_view=-ZxPXBcAAAAJ:qUcmZB5y_30C
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