Index

Bhaskar Bagchi (Department of Commerce, Alipurduar College, Alipurduar, India)
Dhrubaranjan Dandapat (Department of Commerce, University of Calcutta, Kolkata, India)
Susmita Chatterjee (Department of Economics, Maharaja Manindra Chandra College, Kolkata, India)

Dynamic Linkages and Volatility Spillover

ISBN: 978-1-78635-554-6, eISBN: 978-1-78635-553-9

Publication date: 28 December 2016

This content is currently only available as a PDF

Citation

Bagchi, B., Dandapat, D. and Chatterjee, S. (2016), "Index", Dynamic Linkages and Volatility Spillover, Emerald Group Publishing Limited, Bingley, pp. 209-212. https://doi.org/10.1108/978-1-78635-554-620161014

Publisher

:

Emerald Group Publishing Limited

Copyright © 2016 Emerald Group Publishing Limited


INDEX

APARCH estimates
, 169–177

APARCH model
, 9, 11, 148–157, 168–169

Augmented Dickey-Fuller (ADF)
, 13, 79, 118

Baba-Engle-Kraft-Kroner (BEKK)-GARCH model
, 178–180

Bombay Stock Exchange (BSE)
, 69

Bovespa (stock index of Brazil)
, 11, 113

Brazil
, 38–39

Brazilian economy
, 2

Brazilian Real (USD/BRL)
, 11

Brazilian stock market
, 50–54

BRICS (Brazil, Russia, India, China, and South Africa)
, 111

BSE. See Bombay Stock Exchange (BSE)

BSE Sensex (stock index of India)
, 113

CAD. See Current account deficit (CAD)

CCC-GARCH model
, 9, 11

Chevron
, 26

China
, 41

socialist movement and capital market development in
, 67

Chinese economy
, 41–42

Chinese Yuan (USD/CNY)
, 11

Commodities
, 1

and Futures Exchange
, 51

Comparative static effects
, 45

Constant conditional correlation model
, 159–162

Corporate earnings
, 1

Corporate governance
, 64

Crude oil
, 1

in Brazil
, 2

in Iraq
, 2

price trend
, 23

Current account deficit (CAD)
, 5

Data set
, 166–168

ECM. See Error correction mechanism (ECM)

Elliott, Rothenberg and Stock point optimal (ERS)
, 113, 114–118

emerging economy

oil price change in
, 21

energy markets
, 4

Error correction mechanism (ECM)
, 13, 89

Exchange rates
, 5

stock prices and
, 5

Exporters
, 5

Financial Times Stock Exchange (FTSE)
, 70

First moving consumer goods (FMCG)
, 71

Foreign institutional investments
, 18

FTSE SA (stock index of South Africa)
, 113

FTSE South Africa (stock index of South Africa)
, 11

Full Market Capitalization methodology
, 70

GDP. See Gross domestic product (GDP)

Geopolitical implications
, 29–30

Global crude oil prices
, 2

Government short-term bond (GKO) market
, 54

Granger causality test
, 13, 95–99, 127–131

Gross domestic product (GDP)
, 2, 184

Growth Acceleration Plan (PAC)
, 50

Gulf states
, 26

Impulse response analysis (IRA)
, 9, 105–110, 135–141

Index Services and Products Limited (IISL)
, 70

Indian rupee (INR) exchange rates
, 3

Indian stock markets
, 15, 69–71

and crude oil price
, 19

Individual stock market returns
, 7

Industrial Credit and Investment Corporation of India (ICICI)
, 69

Industrial Development Bank of India (IDBI)
, 69

Industrial Finance Corporation of India (IFCI)
, 69

International Energy Agency (IEA)
, 22

International Monetary Fund (IMF)
, 2, 22

IRA. See Impulse response analysis (IRA)

Iraq, on oil
, 2

Islamic State (IS) militants
, 2

Johannesburg Stock Exchange (JSE)
, 71

Johansen cointegration test
, 81–89, 119–121

Korean won (USD/KRW)
, 11

KOSDAQ Index
, 76

KOSPI (stock index of South Korea)
, 11, 113

KPSS (Kwaiatkowski Philips, Shmidt, and Shin)
, 18

London Stock Exchange (LSE)
, 72, 73

Macro- and micro-economic approaches
, 22

MICEX (stock index of Russia)
, 11, 65, 113

Middle East countries
, 15

money

demand and supply of
, 5

Morgan Stanley Capital International (MSCI)
, 70

Multimod model
, 22

Multivariate CCC-GARCH model
, 177–178

Multivariate GARCH (MGARCH) model
, 157–159

National Stock Exchange (NSE)
, 69

NIFTY
, 17, 187

Novo Mercado
, 54

Oil marketing companies (OMCs)
, 71

Oil-exporting countries
, 49, 184, 189

Oil, US field production of
, 25

Organisation of Economic Cooperation and Development (OECD)
, 22

Organization of Petroleum Exporting Countries (OPEC)
, 4, 28–29, 183, 185

Petro-dollars
, 185

Positive supply shock
, 8

Post-crisis growth
, 59

Preliminary analysis
, 166–168

Royal Dutch Shell
, 26

Russia
, 39–41

economy of
, 2

Russian economy
, 21

growth rate of
, 2

Russian oil companies, privatization of
, 61

Russian Ruble (USD/RUB)
, 11

Russian stock market
, 54–66

Russian trading system (RTS)
, 54

S&P 500 index
, 18

S&P CNX NIFTY
, 70

SARB. See South African Reserve Bank (SARB)

Schwarz Information Criterion (SIC)
, 81

Securities and Exchange Board of India (SEBI)
, 69

Shanghai composite (stock index of China)
, 11, 113

Shanghai Stock Exchange
, 68

Shareholders, violations of
, 61

South Africa
, 36–38

South African Rand (USD/ZAR)
, 11

South African Reserve Bank (SARB)
, 73

South African stock exchange
, 71–75

South Korea
, 42–44

South Korean stock market
, 75–77

Stock index of Brazil
, 11

Stock markets

of China
, 66–69

environment sustainability issue
, 74

and exchange rates
, 5

and oil prices
, 7, 16

Stock price movement and exchange rates

India, Bangladesh, and Pakistan
, 17

Stock returns

Brazilian stock market
, 50–54

and crude oil prices
, 48–49

Indian stock market
, 69–71

Russian stock market
, 54–66

South African stock exchange
, 71–75

South Korean stock market
, 75–77

stock market of China
, 66–69

Structural vector auto regression (SVAR) model
, 9, 103–105, 134–135

Supply and demand, balance of
, 26

Supply-driven oil price
, 23

SVAR model
, 15

Theoretical modeling

flexible exchange model
, 32–36

static model
, 30–32

Unit root test
, 79–81

US Dollar (USD)
, 5, 6

US Dollar exchange rates
, 16

US Energy Information Administration (EIA)
, 112

US stock market volatility and stock market returns
, 20

US stock prices
, 16

Variance decomposition analysis
, 99–103, 131–133

Vector autoregression (VAR)
, 4

Vector error correction model (VECM)
, 13, 89–95, 121–127

Volatility modeling
, 143–148

West Texas Intermediate (WTI)
, 3, 9, 113

World economy
, 24

World Energy Model
, 22

World Federation of Exchanges MICEX and RTS
, 55

World War II
, 8

WTI Crude Index (WTI)
, 10