We investigate stock market sectoral connectedness in India utilizing a time-varying parameter vector autoregressive connectedness approach. Results show that stock market sectoral connectedness varies across time. Connectedness is strongest during the 2008 crisis, the double-digit inflation and stock market crash of 2011, following the national elections of 2014, and the demonetization of 2016. Among sectors, consumers' spending, industry, finance, and basic materials are net transmitters of shocks, while information technology, fast-moving consumer goods, health care, and telecommunications are net receivers. Findings can help formulate policies that alleviate sectoral imbalances and promote balanced growth. They are also useful for devising optimal portfolio diversification strategies.

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跨行业的动态连通性和溢出效应：来自印度股市的证据

我们利用时变参数向量自回归连通性方法研究了印度股票市场的部门连通性。结果表明，股票市场的部门关联性随时间而变化。在 2008 年危机、2011 年两位数的通胀和股市崩盘、2014 年全国大选之后以及 2016 年去货币化期间，连通性最强。在各行业中，消费者支出、工业、金融和基础材料是净传输器冲击，而信息技术、快速消费品、医疗保健和电信是净接收者。研究结果有助于制定缓解部门失衡和促进平衡增长的政策。它们对于设计最优的投资组合多元化策略也很有用。