In this article, a humble effort has been made to check the volatility transmission from European stock markets (FTSE100, DAX30, CAC40 and SMI20) to the Indian stock market (NIFTY50) to determine whether there is any opportunity for portfolio managers to diversify their portfolio. Various statistical tools and econometric models, such as vector autoregression (VAR) and dynamic conditional correlation (DCC)-multivariate generalised autoregressive conditional heteroscedasticity (MGARCH), are used to detect the volatility transmission from the European market to the Indian market. The FTSE100 and the NIFTY50 have been found to have bidirectional causality. VAR results suggest that only the DAX30 and SMI20 (Germany and Switzerland) markets have an impact on the Indian market. Finally, using DCC-MGARCH, the researcher found that information spillover takes place from all European countries to India over a longer period of time, but portfolio diversification between the London market (FTSE) and the Indian market (NIFTY) and German market (DAX) with Indian market (NIFTY) is possible over a shorter period of time.
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