Co-movement and Co-integration: A Study on Nifty, Dow Jones, and N225

Roy, Abhisek Saha; Sen, Som Sankar

doi:10.1108/978-1-78973-999-220191020

Cited by 2 publications

(2 citation statements)

References 19 publications

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“…empirically examine the cointegration of the Indian stock market with the major stock exchanges in the world. The results of the Johansen cointegration test confirm the existence of a long-term relationship between India's NSE Nifty and other indices of major stock exchanges in the world Roy and Sen (2019). observe among India, Japan and USA that not only three indices are highly correlated but they also possess a co-integrating relationship.…”

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confidence: 54%

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

Das

Gupta

2022

IRJMS

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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.

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confidence: 54%

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

Das

Gupta

2022

IRJMS

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“…Boamah (2017) found that the extent of global integration of emerging markets surpasses their level of integration with themselves. Roy and Sen (2019) investigated the comovements and cointegration between Nifty, DJI (Dow Jones) and N225 index. The study found synchronous movement among indices in the short run and cointegration among the indices in the long run.…”

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confidence: 99%

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

Verma

2023

IRJMS

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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.

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Co-movement and Co-integration: A Study on Nifty, Dow Jones, and N225

Cited by 2 publications

References 19 publications

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

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

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

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