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Cited by 10Financial Risk and Volatility ModelingMarket Dynamics and VolatilityGlobal Financial Crisis and Policies

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An empirical examination of volatility spillover between the Indian and US swap markets

Bhargava, Vivek, Malhotra, D.K., Russel, Philip, Singh, Rahul·2012·International Journal of Emerging Markets
DOI 10.1108/17468801211237054
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Abstract

Purpose The purpose of this paper is to examine if the volatility in the US dollar interest rate swap market impacts the volatility of the swap rates in the Indian swap market. Design/methodology/approach The authors use GARCH, EGARCH, and TGARCH modeling to examine volatility spillover between the US and Indian interest rate swap markets. Findings Evidence is found of volatility transmission from the US dollar interest rate swap markets to the Indian swap markets. There is no evidence of spillover from the Indian swap markets to the US swap markets. Furthermore, the spillover impact from the US markets to the Indian markets is also asymmetric. The impact on volatility is asymmetric for one‐year swaps, but not for five‐year swaps. Practical implications Findings from this study will also identify any arbitrage opportunities that may exist between different segments of the US dollar interest rate swap markets and help to improve interest rate swap market efficiency. Originality/value If the financial market liberalization process in these nations has been successful in integrating their market into the pool of the world market, then a foreign investor would not demand a risk‐premium in the returns on deposits in these markets. The findings of this paper are also relevant for other emerging markets' policy makers, as they try to become more integrated in the global economy and try to resolve market inefficiencies and country risk so that obstacles to foreign investments can be…

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Metadata

Authors
Bhargava, V., Malhotra, D. K., Russel, P., & Singh, R.
Affiliations
  • Alcorn State University (US)
  • Philadelphia University (US)
ORCID
Venue
International Journal of Emerging Markets
Publisher
Emerald
Published
2012-06-29
Volume
7
Issue
3
Pages
289-304
ISSN
1746-8809 (ISSN-L)
DOI
10.1108/17468801211237054
OpenAlex
W1981802588
Cited by
10
References
1
Citations by year
2026: 2 · 2023: 1 · 2022: 3 · 2019: 1 · 2016: 1 · 2014: 1 · 2012: 1
FWCI
1.06
Type
journal article
Language
en
Open access
closed
Licence
www.emerald.com/insight/site-policies (tdm)
Locations
International Journal of Emerging Markets (publishedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
  • Social Sciences › Economics, Econometrics and Finance › Finance › Global Financial Crisis and Policies
Keywords
volatility spillovers, interest rate swaps, swap rates, arbitrage opportunities, market liberalization

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