Journal Press India^®

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This study examines the return and volatility spillover among major financial markets; those are the Nifty 50, Dow Jones, Brent crude oil, Gold, USDINR, and Bitcoin. This study used Diebold and Yilmaz model based on Quantile Vector Autoregressive (here after called QVAR-D&Y) to examine how returns and volatility spillover happening among these markets under different market phases those are bearish, neutral, and bullish. The data were selected on weekly basis from March 2016 to February 2024.The findings reveal that during bullish markets Gold, Bitcoin, and USDINR act as key transmitters of volatility, reflecting their speculative and currency driven roles. On the other side, Gold continues to serve as a safe haven asset, especially during bearish market. Volatility transmission is notably high during bull market phase.

Keywords

Volatility; Spillover; Quantile VAR; Diebold & Yilmaz; Bitcoin

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