SAKTHIVEL, P.; KAMAIAH, B. - In: Journal of Applied Research in Finance Bi-Annually III (2011) 2, pp. 270-278
The study empirically examines correlation and volatility transmission across international stock markets by employing Bivariate GARCH model. The study uses weekly data for major five stock indices such as S&P 500, BSE 30, FTSE 100, Nikkei 225 and Ordinary share price index from 3th January,...
