A Study on Integration of Stock Markets: Empirical Evidence From National Stock Exchange and Major Global Stock Markets

Deo, Malabika; Prakash, P Arun

doi:10.21917/ijms.2017.0065

Cited by 2 publications

(3 citation statements)

References 3 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…After testing the stationarity of the selected indices, the cointegrating relation among the selected indices is checked through the application of Johansen Cointegration test. To accept the presence cointegrating relationship between the variables, Trace and Max-Eigen Statistics value should be higher than the critical value at 5% significance level (Deo and Prakash, 2017).…”

Section: Resultsmentioning

confidence: 99%

Comovement of stock markets pre- and post-COVID-19 pandemic: a study of Asian markets

Verma

2023

IRJMS

View full text Add to dashboard Cite

PurposeThe study aims is to explore the cointegration level among major Asian stock indices from pre- COVID-19 to post COVID-19 times.Design/methodology/approachJohansen cointegration test is employed to know the long run relationship among the stock market indices of Hong Kong, Indonesia, Malaysia, Korea, India, Japan, China, Taiwan, Israel and South Korea. The empirical testing was done to analyze whether any significant change has been induced by the COVID-19 pandemic on the cointegrating relationship of the selected markets or not. Through statistics of trace test and maximum eigen value, total number of cointegrating equations present among all the indices during different study periods were analyzed.FindingsThe presence of cointegration was found during all the sample periods and the findings suggests that the selected stock markets are associated with each other in general. During COVID-19 crisis period the cointegration level was reduced and again it regained its original level in the next year and again reduced in the subsequent next year. So, the cointegrating relationship among selected stock market indices remains dynamic and no evidence of impact of COVID-19 on this dynamism was found.Originality/valueThe study has explored the level of cointegration among the major stock indices of Asian nations in the pre, during, post-crisis and the most recent periods. The interconnectedness of the stock markets during the COVID-19 times has been compared with similar periods in different years immediately preceding and succeeding the COVID-19 times which has not been done in any of the existing study.

show abstract

Section: Resultsmentioning

confidence: 99%

Comovement of stock markets pre- and post-COVID-19 pandemic: a study of Asian markets

Verma

2023

IRJMS

View full text Add to dashboard Cite

show abstract

“…The stationarity of series related to each country was tested by Augmented Dicky-Fuller (ADF) test and the long-term convergence by the Johansen cointegration method. The results of the Johansson cointegration test in both tested methods of max-Eigen value prove three long-term convergence equations and Trace Static prove six long-term convergence equations as significant Deo and Prakash (2017). empirically examine the cointegration of the Indian stock market with the major stock exchanges in the world.…”

mentioning

confidence: 88%

“…There exists a large number of studies which measures the comovements of different stock markets all over the world that are expected to be interlinked and sensitive if the countries belong to the same economic or political zone or economic status during the normal time period, namely, Parker and Rapp (1998), Johnson and Soenen (2009), Sen (2011), Azizi et al (2016), Deo and Prakash (2017) etc. The present paper looks into the contemporaneous movement of the stock market indices of the five most COVID-infected countries, namely, USA, Brazil, Russia, India and UK, which changed the rank in a number of infections but remained in top five in the world till the middle of June 2020.…”

Section: Comovement Of Stock Marketsmentioning

confidence: 99%

Comovement of stock markets after the first COVID wave: a study into five most affected countries

Das

Gupta

2022

IRJMS

View full text Add to dashboard Cite

PurposeThe purpose of this paper is to look at the contemporaneous movement of the stock market indices of the five most COVID-infected countries, namely, the USA, Brazil, Russia, India and UK after the first wave along with market indices of the three least affected countries, namely, Hong Kong, South Korea and New Zealand during the first wave.Design/methodology/approachData have been collected from the website of Yahoo finance on daily closing values of five indices. Augmented Dickey–Fuller test with its three forms has been applied to check the stationarity of the select five indices at the level and at the first difference before the pandemic, during the pandemic and post-first wave of the pandemic. Johansen cointegration test is applied to find out that there is no cointegration among the select five indices.FindingsThe five countries do neither fall in the same economic and political zone nor do they have the same economic status. But during the period of pandemic and the new-normal period, the cointegration is very distinct. The developing and developed nations thus stood at an indifferentiable stage of the economic crisis which is well reflected in their stock markets. However, the least three COVID-affected countries do not show any cointegration during the pandemic time.Originality/valueThe comovement even seen during the normal time in the other studies is not compared to a similar period in earlier years. But, in this study to look into the exclusive effect of COVID pandemic, the period most affected with it is compared with the period after it and that in the immediate past year had no effect.

show abstract

A Study on Integration of Stock Markets: Empirical Evidence From National Stock Exchange and Major Global Stock Markets

Cited by 2 publications

References 3 publications

Comovement of stock markets pre- and post-COVID-19 pandemic: a study of Asian markets

Comovement of stock markets pre- and post-COVID-19 pandemic: a study of Asian markets

Comovement of stock markets after the first COVID wave: a study into five most affected countries

Contact Info

Product

Resources

About