ARE STOCK MARKETS INTERDEPENDENT? A STUDY ON SELECTED STOCK MARKETS (original) (raw)
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Causal and Co-integration Analysis of Indian and Selected Asian Stock Markets
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Bombay stock exchange is one of the oldest markets in world. Various markets may have impact on each other. The Study was done to examine the causal relationship among equity markets to better understand how shocks in one market are transmitted to other markets. The study was done by taking stock price data of BSE, FTSE, Hangseng, JKSE, NIKKEI, CSE, SMI, SSE and TSEC Stock Market from 4/1/2001 to till 29/12/2011.The Correlation Shows that BSE is highly correlated with FTSE (96%), HANGSENG (95%), JKSE (95%), TSEC (87%), CSE (82%) & SSE (73%). The ADF Test revels that the null hypothesis of first difference of series of all indices cannot be accepted at 5% level and 10% significant level as t-statistic values are less than critical values. The granger causality test reveal that BSE is not affected by any of the selected market & BSE causes to FTSE, Hangseng, JKSE, CSE, and TSEC.It means that these markets are dependent on BSE.
Co Movements and Inter-Linkages of Indian Stock Market with Emerging Stock Market Indices in Asia
International Journal of Applied Business and Economic Research, 2014
The study of Inter-Linkages, Co Movement and Causal Relationship of Indian Stock Market with emerging stock market indices returns in Asia, has gained momentum. With the establishment of SEBI and technological advancement, the Indian Stock Market has now reached the global standard. This study used the secondary daily time series data for a period of 12 years from 2002 to 2013. Descriptive Statistics, Unit Root, Correlation Matrix, Linear Regression Model and Granger Causality Test were used. This paper endeavors to empirically investigate the co movement relationship and inter linkages of S&P CNX Nifty with other emerging markets in Asia.
STOCK MARKET INTEGRATION: A STUDY OF INDIAN STOCK MARKET WITH FOREIGN CAPITAL MARKETS
IASET, 2021
The degree of interdependence of capital markets across the world remain a burning topic among researchers. In this context the current study attempts to find interrelationship between Advanced, East Asian and Indian stock market by employing Granger causality and Johannesburg tests for short-run and long-run linkages, respectively. Since the prime motive of the study is to inspect the short-run linkages and long-term integration among the equity indices to better understand how the volatility in one market influences other markets. Therefore, the study observed that Indian capital market is impacted by the foreign stock markets. The conditions in the international stock market influence the movement in the Indian stock market. For instance, British, American and French stock markets have a significant impact on the Indian capital market in short-run. However, it is observed that capital market in India has influenced on the other Asian markets. In long-run a country's idiosyncratic fundamentals decide the performance of the stock indices.
This paper documents the Stock Market Inter-linkages / Co-integration, Causality and Innovations Accounting for the two largest emerging economies of Asia, viz., India and China. The 10-year monthend closing logarithmic returns of BSE Sensex and Shanghai Composite Index for the period 2005-2014 have been used. Statistical and Financial Econometric Tools like Pearson's Correlation is used to study the co-movements, Autocorrelation for verifying the long memory effect, ADF Test and PP Tests for checking the stationarity, Johansen's Co-integration Test for long-run linkages/cointegration, VAR model to study the short-run inter-linkages, Granger Causality Test for explaining the Causality, VECM for error correction of VAR model, VDA to account for variations, and IRF to account for the innovations and shocks. The paper states that Indian and Chinese stock markets are interlinked/cointegrated in the longrun. In the short-run, Chinese stock market is interlinked in single lagged interval with the Indian stock market. Chinese stock markets largely explain the variations of its own and a part of the variations in Indian stock market. The Indian stock market is more responsive to the Chinese stock market, while the India-induced innovations and shocks wade off quickly in the Chinese stock market. The paper concludes that there exists a unidirectional interlinkage and not dynamic interlinkage between the Indian and Chinese stock markets.
Does Indian Stock Market Rely on other Asian Stock Markets
The present study investigates the relationship between selected Asian eight countries stock market index and Indian stock market BSE-Sensex. In other words, the main objective of the study is whether Indian stock market index is influenced by selected Asian countries stock market or not. The progressive deletion of constraints, reduction of controls over capital movements, quick development of worldwide trade in commodities, services and financial assets, emergence of new capital markets and the upshots of financial and economic crises enhanced the significant dependability among the emerging stock markets as well. This study is based on secondary time series data obtained from index mundi database and yahoo.com database for the period from 1991 to 2013. In the course of analysis, ADF unit root test, co-integration test and causality test have been designed. Johansen multivariate co-integration test shows that Indian stock market index is related with selected eight countries stock market index in the long-run. Granger causality test illustrates that bi-directional causality exists between the selected variables between the selected stock market indices.
Study of Co Movement and Interdependence of Indian Stock Market with Selected Foreign Stock Markets
PURPOSE –The objective of this paper is to examine the short-run causal linkages among equity markets to better understand how shocks in one market are transmitted to other markets and also try to study co-movement of Indian stock markets index with developed as well as developing countries’ stock market indices. DATA/PERIOD AND METHODOLOGY– The data were collected from finance.yahoo.com. The data includes daily adjusted closing index prices of Indian Stock market (BSE Sensex) and 10 other major developed and emerging stock markets. We have taken sample period of daily data from July 1997 to Dec 2009. We have also divided the data in two sub-periods, Period-I is ranging From July 1997 to September 2003 and Period –II is ranging from October 2003 to December 2009. We have used logarithm transformed stock price indices to neutralize their returns. STATISTICAL TOOLS USED – Daily log return data are examined for co-movement and interdependence using descriptive statistics, correlation among the major indices, Unit Root Test/ Stationary test, and Granger causality test. FINDINGS–The SENSEX has given highest Risk adjusted return for the whole period followed by BVSP, whereas Nikkei has given negative Risk adjusted return for the same period. It has been observed that SENSEX has highest correlation with BVSP (98%) among all the pairs. With the help of bi-variate granger causality test, it is revealed that SENSEX is affected by HANGSENG, STI, DJIA, FTSE and DAX. So we can interpret that SENSEX is interdependent on Developed countries stock markets except NIKKEI. We can also see that SENSEX causes SCI, BVSP NIKKEI, KOSPI and AORD. It means that these markets are interdependent on stock price movement in SENSEX.
The Relationship Between Asian Stock Markets a Co Integration Approach
Society of Business and management, 2021
Today's world capital markets are becoming closely interdependent with each other. This study tests the interdependency and long-term relationship among five Asian financial markets. The results suggest that investors can make their investment portfolio between these financial markets because risk can be diversified in these financial markets. Granger causality test result indicates SSE, HSE and BSE have interdependency on PSE, but CSE has not interdependency on PSE. PSE has not interdependency on SSE and BSE, but PSE has interdependent on HSE and CSE. Granger causality results suggest investor can get the short-run benefit for the international investment portfolio. Cointegration result indicates PSE has a long-term relationship between BSE, HSE, CSE, and SSE. The findings suggest that long-term benefit is limited.
The Influence of Global Indexes on the Indian Stock Market Based on Causality and Cointegration
IAEME PUBLICATION, 2020
The opening of markets in different emerging countries during the 80s and 90s culminated in the influx of savings or funds from different countries that are developed. This certainity makes the stock exchange a significant financial operation for brokers to benefit from it. A constant or progressive linkage occurs between the developed and developing economies. Due to a higher degree of transparency and developed economies, the flow of information from them in various time zones has a huge influence on our domestic economy. The present study investigates the inter dependence among global markets and finding a relationship between them using econometric models based on secondary data. This report combines knowledge from three capital markets: FTSE, S&P 500 Index and the NIFTY50 from the years of 2008-2018. The study employs multiple econometric models on weekly closing prices to analyze the relation between the global markets in long run and short run and also discuss the impacts and future of the financial market.
International linkages of Indian equity market: evidence from panel co-integration approach
Journal of Asset Management, 2020
The present study explores the linkages among Indian and six international stock market indices. High-frequency data (5 min) for a period of 1 year (June 2017-May 2018) are taken into account to assess short-term and/or long-term co-movement among seven world indices, namely NIFTY, DAX, DOW, CAC, EUROSTOXX, FTSE and S&P. The panel unit root test, panel co-integration test and panel Granger causality test are used to determine the association among selected markets. Results of the study provide evidence of significant co-integration among stock market indices in different countries. In the short term, the Indian stock market index is found to possess bidirectional causality with the US stock market indices, namely DOW and S&P. Additionally, no lead-lag relationship is found between NIFTY and the European stock market index. Findings of the study have important implications for investors, fund managers and portfolio investors.