Journal Press India^®

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The present study examines volatility and returns spillover among Nifty, Dow, Brent Crude, Bitcoin, USDINR, and Gold to understand their interconnectedness in the global financial market. For this study, secondary data on weekly basis from 06-03-2016 to 25-02-2024 was obtained from investing.com. This study used Diebold & Yilmaz model to know the return and volatility spillover among the selected financial markets. The results revealed that both Nifty, Gold and Dow were volatility transmitter whereas Brent crude, USDINR and Bitcoin were volatility receivers. The USDINR and Bitcoin may be used as effective hedging instrument for those investors who investing in Indian stock market. The study is relevant for investors and policymakers in emerging economies like India and Indian investor who have been investing in different asset classes at global scale. The portfolio manager may utilise this for effective management of their portfolio.

Keywords

Volatility spillover; Connectedness; Stock market; Risk analysis; Time varying

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