摘要：The present study is the first of its kind accounting for linkages among India VIX and US financial stress index by employing vector autoregression model (VAR), Granger causality test, generalized impulse response functions, variance decomposition analysis (VDA) and Diebold and Yilmaz’s (2009) spillover index highlighting the impact of cross market variations on each other. The span of monthly data ranges from 2009 to 2015, particularly after the global financial crisis. The results report a unidirectional causality running from the US financial stress to the Indian equity market implied volatility. When a shock is subject to the US financial stress, then the response of implied volatility in the Indian equity market is positive initially, approaching zero after a few months. On an average, 32% of the variations are accounted by cross market shocks whereas rest of the variations are as a result of own market shocks. The contribution of the US financial stress to forecasted error variances in the Indian equity market implied volatility increases over a period of 10 months to 25% approximately. The results have strong implications for the Indian equity market investors.
