Price volatility spillover of Indian onion markets: A comparative study

KANCHAN SINHA; SANJEEV PANWAR; WASI ALAM; K N SINGH; BISHAL GURUNG; RANJIT KUMAR PAUL; ANIRBAN MUKHERJEE

doi:10.56093/ijas.v88i1.79636

Authors

KANCHAN SINHA ICAR-Indian Agricultural Statistics Research Institute, New Delhi 110 012
SANJEEV PANWAR ICAR HQ, Krishi Bhawan, New Delhi
WASI ALAM ICAR-Indian Agricultural Statistics Research Institute, New Delhi 110 012
K N SINGH ICAR-Indian Agricultural Statistics Research Institute, New Delhi 110 012
BISHAL GURUNG ICAR-Indian Agricultural Statistics Research Institute, New Delhi 110 012
RANJIT KUMAR PAUL ICAR-Indian Agricultural Statistics Research Institute, New Delhi 110 012
ANIRBAN MUKHERJEE Social Science Section, ICAR-Vivekananda Parvatiya Krishi Anusandhan Sansthan, Almora Uttarakhand 263 601

https://doi.org/10.56093/ijas.v88i1.79636

Keywords:

Dynamic conditional correlations, Market behavior, Price volatility spillover, VEC-MGARCH

Abstract

To investigate the interdependence between Indian onion markets in terms of price volatility, the present study was conducted in four different vital onion markets in India, viz. Mumbai, Nashik, Delhi and Bengaluru. The long term monthly data, from March, 2003 to September, 2015 was collected from the website of agmarknet.nic.in. We have employed the VEC-MGARCH model to estimate mean and volatility spillover simultaneously among the different markets and also examined the nature of dynamic correlation using the DCC model. The presence of mean and volatility spillover was found between the markets. This type of significant interaction between the volatility of different markets is highly useful for cross market hedging and for sharing of common information by market participants. The empirical results also suggest for a very close observation on different market behavioral pattern since, “news” in one market may impact other market through the number of interdependencies. Key words: Dynamic conditional correlations, Market behavior, Price volatility spillover

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