International linkages of Indian equity market: evidence from panel co-integration approach

Choudhary, Sangita; Singhal, Shelly

doi:10.1057/s41260-020-00165-2

Cited by 9 publications

(7 citation statements)

References 45 publications

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“…(2020) and Sayed and Eledum (2021) applied first detection as event day to measure capital market reaction, however these studies focuses on single market, whereas this study analyzes 12 different markets with nine different event dates which might show different dimension. Moreover, prior studies like Choudhary and Singhal (2020), Pattnaik and Gahan (2018) and Stevanius and Sukamulja( 2020) examined Asian capital market co-integration found either mild or negative co-integration, therefore multiple capital market reaction with uniform event date will not reflect the actual aggregate market behavior.…”

Section: Data Set and Methodologymentioning

confidence: 96%

“…In this study, the COVID 19 relevant events are identified in Table 2 where the first local detection of COVID 19 infection as per the WHO situation reports in 12 Asian countries was considered as the event date like Alam et al (2021), Adnan et al (2020) and Sayed and Eledum (2021) applied first detection as event day to measure capital market reaction, however these studies focuses on single market, whereas this study analyzes 12 different markets with nine different event dates which might show different dimension. Moreover, prior studies like Choudhary and Singhal (2020), Pattnaik and Gahan (2018) and Stevanius and Sukamulja( 2020) examined Asian capital market co-integration found either mild or negative co-integration, therefore multiple capital market reaction with uniform event date will not reflect the actual aggregate market behavior. Peterson (1989), average estimation window durations range from 100 to 300 days.…”

Section: Sample Formation and Data Sourcementioning

confidence: 96%

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Asian perspective of capital market performance amid the COVID 19 pandemic

Adnan

2022

AJAR

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PurposeThe purpose of this research is to investigate the short-term capital markets' reactions to the public announcement first local detection of novel corona virus (COVID 19) cases in 12 major Asian capital markets.Design/methodology/approachUsing the constant mean return model and the market model, an event study methodology has been implied to determine the cumulative abnormal returns (CARs) of 10 pre and post-event trading days. The statistical significance of the data was assessed using both parametric and nonparametric test statistics.FindingsFirst discovery of local COVID 19 cases had a substantial impact on all 12 Asian markets on the event day, as shown by statistically significant negative average abnormal return (AAR) and cumulative average abnormal return (CAAR). The single factor ANOVA result has also demonstrated that there is no variability among 12 regional markets in terms of short-term market responses. Furthermore, there is little evidence that these major Asian stock market indices differ significantly from the FTSE All-World Index which might suggest possible spillover impact and co-integration among the major Asian capital markets. The study further discovers that market capitalization and liquidity did not have any significant impact on market reaction to announcement.Research limitations/implicationsThe study's contribution might have been compromised by the absence of socio-demographic, technical, financial and other significant policy factors from the analysis.Practical implicationsThese findings will be considerably helpful in tackling this unprecedented epidemic issue for personal and institutional investors, industrial and economic experts, government and policymakers in assessing the market in special circumstances, diversifying risk and developing financial and monetary policy proposals.Originality/valueThis paper is the first to examine the effects of local COVID 19 detection announcement on major Asian capital markets. This study will add to the literature by investigating unusual market returns generated by infectious illness outbreaks and the overall market efficiency and investors' behavioral pattern of major Asian capital markets.

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Section: Data Set and Methodologymentioning

confidence: 96%

Section: Sample Formation and Data Sourcementioning

confidence: 96%

Asian perspective of capital market performance amid the COVID 19 pandemic

Adnan

2022

AJAR

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“…A series of recent studies (Choudhary and Singhal, 2020;Sahoo and Kumar, 2021;Kartal et al, 2022) has investigated the cointegration relationship of the stock market amid crisis. Some studies (He et al, 2020;Stawiarski, 2021) have explained the causal linkage of Indian stock market with Asian countries while in some other studies, a number of authors have recognized the comprehensive analysis by applying Generalized Autoregressive Conditional REVISED Amendments from Version 2 I have incorporated the following changes suggested by the reviewers.…”

Section: Literature Reviewmentioning

confidence: 99%

Cointegration and causality relationship of Indian stock market with selected world markets

Ali,

Suri,

Kaur

et al. 2023

F1000Res

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Background: The purpose of this study is to explore the trends and causes of established and emerging nations’ stock market integration with India. The National Stock Exchange (NSE) indices act as a counterweight to international market indices. This study investigates the sustained interest of foreign investors in the Indian stock market in the wake of capital market reforms, as well as whether it moves in tandem with other markets in Asia and the United States. Methods: Our study examined the possibility of cross-country cointegration between the largest economies and indices around the world using multiple financial econometric models, such as Augmented Dickey-Fuller, Unit Root, Correlation, and Johansen Cointegration. Results: The findings of this study significantly support the notion that Indian and international financial markets are highly integrated. Vector error correction model indicates that the Indian market (NSE) is highly cointegrated with the US market (National Association of Securities Dealers Automated Quotations) and increased volatility signifies global contagion. Conclusion: A cursory examination of the data reveals distinct investment and portfolio diversification options for global investors. This could assist regulators in formulating more effective rules regarding price discovery processes.

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“…Another study by Bhuyan et al (2016) finds a substantial spillover of volatility and mean from the US market to India, Russia, Brazil and South Africa. More recently, Choudhary and Singhal (2020) studied the linkage between the Indian market and several international markets, including the US stock markets, using high-frequency data for one year (June 2017-May 2018). Their findings state a high correlation and bidirectional causality between the Indian and US market indices (DJIA and S&P) in the short term.…”

Section: Linkages Of Emerging Market Index Futuresmentioning

confidence: 99%

International linkages of emerging market index futures, under the closure of underlying spot market – evidence from Indian Nifty futures

Sundararajan

Balasubramanian

2022

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PurposeThis study examines the dynamic linkages between the Indian Nifty index futures traded on the offshore Singapore Exchange (SGX) and US stock indices (DJIA, NASDAQ and S&P 500) under the closure of the spot market for Nifty futures.Design/methodology/approachWith high-frequency 5-min overlapping price data, the authors employ the Johansen cointegration test to investigate long-run relationships, the Granger causality test to assess short-run dynamics and the BEKK-GARCH model for volatility spillover investigation.FindingsThe empirical findings reveal that the SGX Nifty futures market is cointegrated with the US DJIA market. The US DJIA stock index strongly influences the price discovery of SGX Nifty futures and past innovations in the US markets strongly impact the current volatility of SGX Nifty futures.Practical implicationsFindings from this study have significant implications for market participants, particularly foreign investors and portfolio managers. These findings might be helpful for market participants to improve the prediction power of expected SGX Nifty futures price and volatility, especially under the closure of the spot market. Also, SGX market participants can take the significant role of the US market into account when formulating hedging and trading strategies with Indian Nifty futures. Besides, our findings have significant implications for policymakers in evaluating market stability.Originality/valueThis article adds to the very limited research on offshore or international stock index futures; it is the first study that empirically examines the international linkages of offshore SGX Nifty futures under the closure of its underlying spot market and also the driving force behind the linkages.

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International linkages of Indian equity market: evidence from panel co-integration approach

Cited by 9 publications

References 45 publications

Asian perspective of capital market performance amid the COVID 19 pandemic

Asian perspective of capital market performance amid the COVID 19 pandemic

Cointegration and causality relationship of Indian stock market with selected world markets

International linkages of emerging market index futures, under the closure of underlying spot market – evidence from Indian Nifty futures

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