WHO INFLUENCES THE ASIAN STOCK MARKET MOVEMENTS (original) (raw)
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This paper investigates the inter-linkages among the selected indices, viz. NYSE (USA), Nikkei 225 (Japan) and emerging stock markets Shanghai Composite Index (China), Hang Seng (Hong Kong), Kospi (Korea) and BSE30 (India).This study covers the period from July 1997 to December 2014. The ADF test is applied to check the stationarity of the data and the cointegration among the stock indices is studied by applying the Johansen Cointegration Test. Granger causality test it is being applied to understand the lead-lag effect among the stock markets. The ARCH-LM test checks the arch effect in the residuals of the data and the volatility within the indexes is measured with the help of the GARCH.
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The study of Inter-Linkages, Co Movement and Causal Relationship among emerging stock market indices returns in Asia, has gained momentum. Asian stock markets attract huge inflows of portfolio investments which promote the economic development in the Continent. The favorable regulatory changes and technological advancement have brought about significant changes in the Asian emerging markets. The purpose of the paper is to study Inter Linkages, Co Movements and Causal Relationship among the emerging stock market returns in Asia. This study was based on secondary daily time series data for a period of 12 years from 1st January 2002 to 31st December 2013. Statistical tools like Descriptive Statistics, Correlation Matrix and Granger Causality Test were employed. Investors are increasingly interested in international diversification due to the emergence of liberalization of stock markets in recent years. The findings of this study would help the investors in making efficient investment d...
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Parametric and Non parametric Granger Causality Testing Linkages netween Internationsl Stock markets
This study investigates long-term linear and nonlinear causal linkages among eleven stock markets, six industrialized markets and five emerging markets of South-East Asia. We cover the period 1987-2006, taking into account the on-set of the Asian financial crisis of 1997. We first apply a test for the presence of general nonlinearity in vector time series. Substantial differences exist between the pre-and post-crisis period in terms of the total number of significant nonlinear relationships. We then examine both periods, using a new nonparametric test for Granger non-causality and the conventional parametric Granger non-causality test. One major finding is that the Asian stock markets have become more internationally integrated after the Asian financial crisis. An exception is the Sri Lankan market with almost no significant long-term linear and nonlinear causal linkages with other markets. To ensure that any causality is strictly nonlinear in nature, we also examine the nonlinear causal relationships of VAR filtered residuals and VAR filtered squared residuals for the post-crisis sample. We find quite a few remaining significant bi-and uni-directional causal nonlinear relationships in these series. Finally, after filtering the VAR-residuals with GARCH-BEKK models, we show that the nonparametric test statistics are substantially smaller in both magnitude and statistical significance than those before filtering. This indicates that nonlinear causality can, to a large part, be explained by simple volatility effects.
Causal and Co-integration Analysis of Indian and Selected Asian Stock Markets
Drishtikon: A Management Journal, 2014
The study investigates the interdependence of Indian Stock Market with other Asian equity markets like Pakistan, Sri Lanka, Malaysia, Korea, Japan, Singapore, Taiwan and China. Study uses monthly data over the period July 1997 to September 2012. By applying Augmented Dickey Fuller Unit Root Test, Johansen Co-integration Test, Granger Causality Test and Vector Error Correction Model (VECM) study find that all Asian stock indices are first difference stationary and long run equilibrium relationship exist among Asian markets. Study uncovers that causality run from stock markets of Sri Lanka, Korea, Singapore and China to India and from India to Pakistan. It also implies that Indian stock market is affected by stock indices of Sri Lanka, Japan, Singapore, and China. Major implication study derives is that Indian government should monitor movements of Asian equity markets very closely, because crisis in any Asian country may affect the performance of Indian stock market. Further robust research can be done by reducing the frequency of data which will be helpful in validating the result of this study
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.
Correlation Dynamics in East Asian Financial Markets
SSRN Electronic Journal, 2009
This paper examines the dynamic relationship between stock returns and exchange rate changes using daily data from January 3, 1994-September 27, 2013 for six East Asian countries: Indonesia, Malaysia, the Philippines, Singapore, South Korea and Thailand. We estimate conditional correlations using the multivariate GARCH-DCC model in order to disclose the relationship between stock markets and foreign exchange markets. This is important for understanding financial stability. The estimation results reveal time varying correlations in the pre and post Asian crisis and the Global Financial Crisis periods for all countries. The correlations are stronger when the crisis intensifies. The degree of interdependence between both markets reflects a mutually markets response to shocks and changes in policy.