International Conference on Economics, Finance & Business, London

DYNAMIC OF VOLATILITY SPILLOVER AND CONNECTEDNESS BETWEEN INDIAN SME AND SUSTAINABLE MARKET INDICES: DURING COVID-19 AND RUSSIA-UKRAINE WAR

PRADEEP KUMAR BEHERA, NARESH CHANDRA SAHU, ABHISEK MAHANTA

Abstract:

The current study analyses the spillover of volatility and connectedness between SME and sustainable indices of Indian stock market. The study uses daily closing price of BSE SME, BSE SME100 ESG, Greenex, Carbonex, SME Emerge, and Nifty100 ESG from 26/10/2017 to 31/12/2023. The DCC-GARCH model has been applied to estimate the volatility spillover between the indices. Whereas, TVP-VAR approach applied to measure the connectedness among the markets in different study period. The extended volatility spillover between the markets is greater during the geopolitical crisis as compare to the COVID-19. The COVID-19 pandemic has short term spillover effects. The SME indices are the net volatility receivers in all the study frame period. While the sustainable indices are the net transmitter of volatility in the study period. Among the transmitter, Carbonex is the most dominated index. There is need for resilience-building measures for SME indices, including credit access improvements and insurance, and for stable, long-term sustainable investments through tax incentives to prevent market instability, particularly in sustainable finance.

Keywords: sustainable indices; sme; covid-19; tvp-var; risk spillover