Range Volatility Spillover across Sectoral Stock Indices during COVID 19 Pandemic: Evidence from Indian Stock Market
Range Volatility Spillover across Sectoral Stock Indices during COVID 19 Pandemic: Evidence from Indian Stock Market

Summary/Abstract: This study examines volatility spillover across sectoral stock indices in India, an emerging market economy, during the COVID-19 pandemic. Our research makes three key contributions: (a) incorporating range volatility measures to capture the pandemic's impact on stock market volatility, (b) providing a comparative assessment of volatility spillover across sectoral indices, and (c) identifying evidence of volatility spillover across different sectoral indices. Using daily historical open, high, low, and close price data for 11 NIFTY sectoral indices during first wave of pandemic; the findings reveal that open-to-close returns outperform close-to-close returns in forecasting sectoral stock indices, underscoring the importance of incorporating range-based volatility measures in forecasting models. Furthermore, the multivariate Range DCC model confirms significant volatility spillover across sectoral indices, highlighting the interconnectedness of Indian sectoral stock markets during crisis periods. The findings offer actionable insights for the Securities and Exchange Board of India (SEBI) to develop targeted, sectoral-level market surveillance strategies and robust risk management frameworks, ultimately enhancing the resilience of India's capital markets in post-pandemic scenarios.

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