The volatility transmission in Cash and Futures market during Geopolitical crisis: Evidence from Indian Financial markets

Abstract

This paper analyses the volatility transmission mechanism and dynamic spillovers between the Nifty 50 spot market and futures market in India during the significant geopolitical crises from 2019 to 2025. Advanced econometric models are used in this research, such as Vector Autoregression (VAR), Granger causality, GARCH-family and Dynamic Conditional Correlation (DCC)-GARCH models to study volatility persistence, price discovery dynamics, and risk transmission in the presence of increased financial uncertainty. The expected results show that the volatility spillovers are bidirectional and are stronger during a crisis between the cash and derivatives segment, and that the futures market is more price-discovering than the spot market. Overall, the study proposes to inform investors, regulators and policy makers in the emerging market economy of the critical and practical aspects of risk-management strategies in their investment decision-making to better comprehend market stability in times of global shocks.