Review of Professional Management

The COVID-19 Outbreak and Volatility Spillover Between Stock Exchange’s Overall and Small- and Medium-enterprise Indices: Evidence from India

Silky Vigg Kushwah¹ and Sonal Thukral²

First Published 7 Jun 2024. https://doi.org/10.1177/09728686241249332

Article Information

Volume 22, Issue 1 June 2024

Corresponding Author:

Silky Vigg Kushwah, Department of Finance, New Delhi Institute of Management, New Delhi, Delhi 110062, India.
Email: silky.kushwah@ndimdelhi.org

¹ Department of Finance, New Delhi Institute of Management, New Delhi, Delhi
² Department of Finance and Business Economics, University of Delhi, Benito Juarez Marg, South Campus, Dhaula Kuan, New Delhi, Delhi, India

Creative Commons Non Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-NonCommercial 4.0 License (http://www.creativecommons.org/licenses/by-nc/4.0/) which permits non-Commercial use, reproduction and distribution of the work without further permission provided the original work is attributed.

Abstract

The research examines the dynamic correlation between the volatility of the Bombay Stock Exchange (BSE) and the Small- and Medium-enterprises (SMEs) Index of BSE in India. It focuses on analysing the volatility spillover between SME and BSE by utilising the generalised autoregressive conditional heteroskedasticity (GARCH) model. The study extends its scope by examining the impact of the current pandemic, COVID-19, on the volatility of both SME and BSE by utilising the exponential GARCH and threshold GARCH models. Findings suggest that there is volatility spillover between the two indices. The results also highlight that the pandemic significantly affected the volatility of both indices. The findings of the study provide important implications for policymakers, portfolio managers, and investors, particularly when the Indian government has been emphasising on the growth and continuous support of the small and medium enterprises and increasing foreign investments in India’s SMEs in recent years.

Keywords

BSE SME, SME, BSE, volatility spillover, S&P BSE Sensex, stock index, stock markets

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