Journal Press India^®

Author Details ( * ) denotes Corresponding author

This study examines the return and volatility characteristics of selected indices from the Bombay Stock Exchange (BSE), specifically focusing on the Greenex, Energy, Utility, and Healthcare indices, over ten years from April 1, 2014, to March 31, 2024. Employing Generalized Autoregressive Conditional Heteroskedasticity (GARCH) family models, including TGARCH and EGARCH, the research identifies significant volatility clustering, persistence, and leverage effects among the indices. The findings reveal unidirectional volatility transmission from the Energy sector index to Greenex, alongside bidirectional spillover effects between Greenex and Utility, Greenex and Healthcare, Energy and Utility, Energy and Healthcare, and Utility and Healthcare. This study addresses a gap in the literature regarding the interactions among indices related to environmental, public health, and public welfare. The insights gained from this analysis provide practical implications for investors, aiding in effective portfolio management and risk mitigation strategies in the context of evolving market dynamics.

Keywords

Volatility clustering, Volatility persistence, GARCH, EGARCH models, Leverage effect, Asymmetric volatility spillover

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