JJEM: Special Edition 1 (December 2023)
JJEM: Special Edition 1 (December 2023)
2023-12-08
Analysis of Returns and Volatility Spillover of Cryptocurrencies in Select sectoral indices of National Stock Exchange
Mr. Ananth Alias Rohith Bhat P, Dr. Shakila B and Dr. Prakash Pinto
Cryptocurrencies have established themselves as a distinct and noteworthy asset class, characterized by their innovation and marked price volatility. This research undertakes a comprehensive investigation into the returns and volatility spillover between four leading cryptocurrencies: Bitcoin, Ethereum, Tether, and XRP on selected Indian Sectoral indices namely, Nifty Bank and Nifty IT. Exponential GARCH (EGARCH) isemployed to effectively capture the leverage effect of time-varying nature of volatility inherent to these crypto currencies. The study encompasses daily return data spanning from January 1, 2018, to October 31, 2023. From the findings it is revealed thatXRP and Ethereum indicates the decreasing volatility spillover among Nifty IT and Bank returns.Lower spillover effect from Nifty Bank and Nifty IT are observed among selected cryptocurrencies. The practical applicability of this study extends to investors, facilitating the formulation of effective trading strategies and the implementation of effective risk management approaches.
Cryptocurrency, Nifty Bank, EGARCH, Volatility Spillover