Examining the Spillover Effects from Global Stock Markets to Indian Stock Market

Purpose: The study aims to examine the transmission of spillover effects from global stock markets Indian market. chosen are CAC-40, DJIA, FTSE 100, SMI, KOSPI, DAX, HANG SENG, and NIKKEI with respect S&P BSE SENSEX.
 Design/Methodology/Approach: uses secondary data. period is 1st January 2000 4th June 2021. required data for has been collected Thomson Reuters database. Later tested stationarity by running ADF test. Since we found an arch effect in time series data, ran GARCH model investigate developed market all three suggested models such as Normal Gaussian Distribution, Student t GED fixed parameter. To capture leverage effect, researchers have run EGARCH asymmetry market.
 Findings: ARCH, GARCH, revealed that there was a significant information on SENSEX. DJIA DAX were not capable spreading negative shocks foreign created Originality Value: This study’s empirical analysis would help participants understanding forecasted volatility Sensex returns can take this sign advantage converting their holdings into returns. also make decision whether they invest diversify portfolios.