Volatility Spillover Between India and Scandinavian Equity Markets: Evidence from TVP-VAR Frequency Domain

Volatility is a fundamental characteristic of financial markets, which reflects the degree of uncertainty and fluctuations in asset prices and plays a crucial role in investment decisions and portfolio management. In this context, this study examines volatility spillovers between the Indian equity market and selected Scandinavian stock markets (Denmark, Norway, Sweden, and Finland) using time-varying parameters (hereafter called TVP-VAR) within the frequency connectedness framework. The study found that short-term volatility spillover intensified during periods of global uncertainty, particularly during the COVID-19 pandemic. The findings also suggest that there is a potential opportunity for portfolio diversification between India and selected Scandinavian countries over a shorter period. Furthermore, long-term spillovers dominate short-term spillovers across most markets, implying that structural and financial linkages exert a greater influence on volatility transmission. The robustness of the results was further validated using wavelet transform analysis.