This article examines the volatility links between asset markets in India with specific reference to stock and commodity markets over a period of 12 years spanning from 2006 to 2018. By employing DCC-GARCH and BEKK-GARCH, we show that the dynamic correlation between these asset markets have undergone significant changes especially after the financial crisis of 2008. The safe haven role of gold is clearly evidenced with the rising negative correlation between the two markets, while there is a rise in Crude oil volatility. Metals like Zinc, Nickel and Lead provide substantial diversification benefits to investors in the current market scenario as their correlation with the stock market have reduced considerably after 2013. There is no evidence for financialization of commodity markets in India unlike developed countries due to regulatory measures implemented by the government thereby providing investors with diversification opportunities.
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