DCC-GARCH Approach for Detecting Dynamic Relation among Selected Green Indices of Indian Stock Market

Abstract

This research analyses the dynamic spillover effects of indices tracking green, energy, carbon, and sustainability sector equities to learn more about the interconnectedness of green finance. The DCC-GARCH model is used to analyze the channels via which shocks are transmitted between these assets using daily data from Feb 2018 to Aug 2023. Based on our research, there is a sizable amount of cross-market volatility. Notably, the Indian stock market benefits from the positive spillover impact of the S&P BSE GREENEX, S&P BSE CARBONEX, S&P BSE ENERGY, and S&P BSE 100ESG indices. The implications of our findings are of great importance for policymakers and investors in developing nations such as India. Furthermore, our research contributes to the growing literature on the interdependence of stock markets. It improves the understanding of stock markets of developing countries like India in the context of interconnection and volatility's influence, enabling informed judgments.