Purpose: The study aimed to empirically investigate the asymmetric volatility spillover relationship among the sectors of the Indian capital market during the COVID-19 period.

Methodology: The study employed the asymmetric dynamic conditional correlation (ADCC) model to measure volatility spillover among the sectoral indices with asymmetric effects to assess the impact of bad news. The study further calculated the time-varying conditional correlation.

Findings: The empirical analysis indicated short-run and long-run volatility persistence among sectoral indices of the Indian capital market. Furthermore, the results also showed the significant effect of bad news on the volatility of the sectoral indices. The time-varying conditional correlation suggested a high correlation among the sectoral indices during COVID-19. So, there was only a limited opportunity for portfolio diversification among these sectors during the crisis period.Practical

Implications: The findings may assist financial advisors in assessing the relationship among sectors of the Indian capital market during the crisis period. While constructing the equity investment portfolio during the crisis period, financial managers must wait for the market to stabilize before determining whether sector diversification is appropriate or required.

Originality: The ADCC model presented previously unresearched evidence of volatility spillover among the sectors of the Indian capital market during the COVID-19 crisis. The empirical findings would enable investors to make important investment and portfolio diversification decisions in sectors of the Indian capital market.

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