Does the Stock Market in India Move with Asia?: A Multivariate Cointegration-Vector Autoregression Approach

Mukherjee, Paramita; Bose, Suchismita

doi:10.2753/ree1540-496x440501

Cited by 56 publications

(35 citation statements)

References 21 publications

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“…But after the Asian crisis, more studies are focused on emerging Asian markets. Among them are [11] and [12]. Previous studies reported different results but a number of studies reveal co-movements of international stock markets.…”

Section: Literature Reviewmentioning

confidence: 94%

Modelling the Dynamic Relationship between U. S.’ and Malaysia’s Stock Market Volatility

Lim¹,

Sek²

2014

IJTEF

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Abstract-A number of previous studies have been devoted to investigate properties of volatility in emerging markets. Rather than focusing on the stock market volatility alone, we examine the dynamic inter-relationship of stock market volatility between two markets, namely the U. S. and Malaysia. The GARCH model is used to generate the volatility series for these two markets. Later, the system equation of VAR model is used to investigate the inter relationship between the volatility of stock market of U. S. and Malaysia using the volatility series generated from GARCH model. The results are compared between three sub-periods, i.e. pre-crisis, crisis and post-crisis periods. Our results reveal very low or insignificance impact of stock market volatility from Malaysia on the stock market volatility in U. S. On the other hand, stock market volatility of U. S. has relatively low impact on the stock market volatility in Malaysia in the pre-and post-crisis periods. The impact is larger during the crisis period. Exchange rate and oil price shocks have very low explanatory impact on the volatility of stock markets in both markets.Index Terms-Exchange rate, GARCH model, inflation targeting, stock market volatility.

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Section: Literature Reviewmentioning

confidence: 94%

Modelling the Dynamic Relationship between U. S.’ and Malaysia’s Stock Market Volatility

Lim¹,

Sek²

2014

IJTEF

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“…Fol lowing this policy change, the proportion of total foreign capital investment rose to over 38 percent in just a few years (up to December 2009). 1 According to Mukherjee and Bose (2008) and Tsai and Li (2004), higher foreign ownership ratios help less mature stock markets react to information quickly and in an organized fashion, thanks to the strong analytical skills of foreign investors. Some studies support this argument by indicating that foreign ownership restrictions reduce the efficiency of developing markets, among other negative impacts (e.g., Lam 1997;Loderer and Jacobs 1995;Stulz and Wasserfallen 1995).…”

Section: Downloaded By [New York University] At 19:04 01 June 2015mentioning

confidence: 99%

The Effects of Abolishing a Foreign Institutional Investment Quota in Taiwan

Chen

Huang

Chen

2011

Emerging Markets Finance and Trade

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Policies regarding the globalization of financial markets have long been investigated with conflicting results. This paper employs an event study approach with the EGARCH process to examine the effects of lifting restrictions on qualified foreign institutional investors in the Taiwanese stock market. The empirical results indicate significant differences in the behavior of stock returns in the electronics, financial, and other nonfinancial sectors, both on and after the abolition of Taiwan's investment quota. In addition, the volatility of stock returns in the electronics sector increases following the event. Foreign ownership provides some additional explanatory power for electronics and other nonfinancial stocks in the short run.

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“…In addition, in the study the US and Japanese gold futures markets are also included as benchmark markets, since they represent the two largest futures markets in the world and are commonly used in many studies examining the cross-border futures market relationships. (Mukherjee and Bose, 2008;Lin et al, 2008).…”

Section: Introductionmentioning

confidence: 99%

Price Linkages Among Emerging Gold Futures Markets

Baklaci

Süer

Yelkenci

2018

Singapore Econ. Rev.

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The gold futures in emerging markets have gained more importance in parallel to the increase in the size of gold trading in these markets. This research aims to detect the long-run price linkages and causality effects in these markets. China, Brazil, Russia, India, Korea, Taiwan, Turkey and Indonesia have been selected to represent emerging markets. US and Japan are also included as benchmark markets. The results denote the existence of long-term price dependencies and limited risk diversification benefits in the sample countries. The results further signify that China and Russia are the most isolated countries among the emerging markets sample.

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Does the Stock Market in India Move with Asia?: A Multivariate Cointegration-Vector Autoregression Approach

Cited by 56 publications

References 21 publications

Modelling the Dynamic Relationship between U. S.’ and Malaysia’s Stock Market Volatility

Modelling the Dynamic Relationship between U. S.’ and Malaysia’s Stock Market Volatility

The Effects of Abolishing a Foreign Institutional Investment Quota in Taiwan

Price Linkages Among Emerging Gold Futures Markets

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