Integrated Spillover Effect of Cross-Listed Stock Markets on the Indian Equity Market

The increased integration due to cross-listing leads the volatility spillover effect on domestic market posing from cross-listed global indices viz., Nifty 50 India, Luxx 100 Luxembourg, NASDAQ US, and FTSE_Aim UK. Johansen Co-integration test is applied check level of integration, which further checked by multivariate granger causality showing pattern among indices. GARCH (1,1) model examine Indian Stock Market. findings suggest that series are co-integrated with one vector ‘v,’ confirmed Trace Max-Eigen Test. Multivariate Granger Causality confirms bivariate causal between India US markets, implying dual effect. In contrast, Luxembourg relatively exogenous, gives investors an opportunity for portfolio diversification. ARCH term significant in past innovation time present fluctuation stock market. Also, results show a UK markets. Thus, this will assist concentrating movement these they can take specific actions regarding management.