Volatility Spillovers and Financial Integration: Analyzing the Impact of NASDAQ and CSI 300 on Nifty 50 Using EGARCH-X and Cointegration

DOI

10.2991/978-94-6463-896-7_8How to use a DOI?

Keywords

Volatility spillovers; financial integration; EGARCH-X; Cointegration; stock market linkages; NASDAQ; CSI 300; Nifty 50; risk transmission

Abstract

This study examines the short-term volatility spillovers and long-term integration between the NASDAQ, CSI 300, and Nifty 50 using EGARCH-X and Johansen Cointegration. The EGARCH-X model is used to analyze the asymmetries and event-driven shocks, while Cointegration tests assess persistent linkages across markets. Daily closing prices from November 2023 to November 2024 and the monthly prices from November 2014 to November 2024 were used for the study. Results indicate that return spillovers from the U.S. and Chinese markets to India are statistically insignificant, but volatility transmissions are significant, with adverse shocks enhancing volatility more than positive ones. These volatility shocks are of short duration, showing the resilience of the Indian stock market. Long-run analysis shows that the absence of Cointegration suggests that the equity market of India functions independently of the U.S. and Chinese markets. This reflects the influence of strong domestic fundamentals and institutional structures. This study contributes to the literature on emerging resilience and integration by distinguishing between return and volatility spillovers. The findings offer insights for investors designing diversification strategies, regulators concerned with risk management, and policymakers evaluating India’s role in the global financial system.

Copyright

© 2025 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - K. K. Dibin
AU  - Anjali Padmakumar
AU  - K. G. Deepa Babu
PY  - 2025
DA  - 2025/11/06
TI  - Volatility Spillovers and Financial Integration: Analyzing the Impact of NASDAQ and CSI 300 on Nifty 50 Using EGARCH-X and Cointegration
BT  - Proceedings of the 3rd International Conference on Artificial Intelligence in Economics, Finance and Management (ICAIEFM 2025)
PB  - Atlantis Press
SP  - 139
EP  - 155
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-896-7_8
DO  - 10.2991/978-94-6463-896-7_8
ID  - Dibin2025
ER  -