Interconnectedness and Risk Spillovers among Selected Indian Stocks During the COVID-19 Pandemic

This paper examines the connectedness and spillovers of volatilities among ten selected BSE indexes during the COVID-19 pandemic. Daily data covering the periods from January 2015 to December 2020 has been utilized. We employed the "Diebold and Yilmaz" procedure to investigate directional and total volatility spillovers. The results reveal a significant overall pairwise connectedness of 56.8%, indicating a high degree of inter-stock dependency. Additionally, we computed an aggregate spillover index, and its graphical representation shows a substantial upsurge beginning at the end of 2019, eventually peaking on March 12, 2020. Finally, we divided the dataset into two samples: the period before and the period during the pandemic. The results confirm that COVID-19 has triggered a significant volatility spillover within the Indian market. The policy implications of these findings are also discussed.