International Stock Market Integration and Its Economic Determinants: A Study of Indian and World Equity Markets

Mukherjee, Kedar Nath; Mishra, Ram Kumar

doi:10.2139/ssrn.889505

Cited by 12 publications

(26 citation statements)

References 32 publications

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“…Similarly a study on the financial integration of the Indian stock market 3 is of importance considering India's role in the global capital market. In recent years, the Indian stock market has been attracting the attention of policy-makers in several dimensions-the initial public offering (IPO) in the Indian stock market registered a 30.5 per cent growth during the calendar year 2006 (Economic Survey, 2006-2007. As on 30 November 2010, the cumulative amount mobilised through equity in the primary market 4 accounted for `467 billion as against a mere `21 billion in 2008-2009 (crisis period); the mean IPO size increased from `5 billion to `8.3 billion for the same period.…”

Section: A Study On the Financial Integration Of A Well-mentioning

confidence: 99%

“…6. From the secondary market perspective, the returns from both Nifty and Sensex for the year 2010-2011 account for 17.9 per cent and 17 per cent, respectively, as against 12.3 per cent and 15.9 per cent for the year 2006-2007(Economic Survey, 2010-2011. The market capitalisation nearly doubled, and the daily volatility has come down from `18 million to `10 million.…”

Section: A Study On the Financial Integration Of A Well-mentioning

confidence: 99%

“…Asia-Pacific Journal of Management Research and Innovation, 8, 2 (2012): 101-110 Ripley (1973Ripley ( ) studied 19 developed countries (1960Ripley ( to 1970, Lessard (1976) studied 16 countries (1959 to 1973), Wheatley (1988) studied 18 countries (1960 to 1985), Fischer and Palasvirta (1990), Sheng and Tu (2000) studied 12 Asia-Pacific countries, Mukherjee and Mishra (2007).…”

Section: Empirical Literaturementioning

confidence: 99%

See 2 more Smart Citations

Global Financial Crisis and Stock Market Integration: A Study on the Impact of Global Financial Crisis on the Level of Financial Integration between the US and Indian Stock Markets

Gangadharan

Yoonus

2012

Asia-Pacific Journal of Management Research and Innovation

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This article, using the daily returns of the indices of US (S&P 500) and the Indian stock markets (CNX S&P Nifty), examines the impact of the global financial crisis on the level of financial integration between the US and Indian stock markets from March 2005 to November 2010. The article also analyses the existence of cointegration and dynamic relationship between the two indices during the pre-crisis, crisis and post-crisis periods, and in the last five years, using the Johansen Cointegration analysis and the Vector Auto Regression (VAR) Model. The article finds no cointegration between the two indices in all the four periods. The returns from the Indian stock market with reference to the previous day's return of the US stock market show a lot of feedback effect from the US to India, whereas the returns from the US stock market show no significant reaction. However, in terms of its own past, there is a strong negative reaction due to the overreaction or mean reversion of the stock market during the post-crisis period.

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Section: A Study On the Financial Integration Of A Well-mentioning

confidence: 99%

Section: A Study On the Financial Integration Of A Well-mentioning

confidence: 99%

Section: Empirical Literaturementioning

confidence: 99%

See 1 more Smart Citation

Global Financial Crisis and Stock Market Integration: A Study on the Impact of Global Financial Crisis on the Level of Financial Integration between the US and Indian Stock Markets

Gangadharan

Yoonus

2012

Asia-Pacific Journal of Management Research and Innovation

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“…It has become an area of interest for researchers and policy makers to examine the dynamic linkages among the South Asian markets, as it will facilitate the investors to reduce their portfolio risk by achieving the optimum diversification of funds across the markets. A number of empirical studies have examined the integration of stock markets (Sheng and Tu, 2000;Johnson and Soenen, 2002;Nath and Verma, 2003;Mukherjee and Mishra, 2007) and possible dynamics like interest rate, foreign investment, trade relations, and inflation which integrate the markets (Black and Fraser , 1995;Bracker, Docking and Koch, 1999;Bekaert, and Harvey, 2000;Wu, 2001;Bekaert, Harvey, and Lundblad 2001;Pretorius, 2002;Liu, Lin and Lai, 2006). The recent liberalization of financial systems and accelerating trade relations, have also integrated the South Asian stock markets.…”

Section: Integration Of South Asian Stock Markets With Global Stock Mmentioning

confidence: 99%

Asymmetric Volatility and Cross Correlations in Stock Returns under Risk and Uncertainty

Kumar¹,

Dhankar²

2009

Vikalpa

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Capital market efficiency is a matter of great interest for policy makers and investors in designing investment strategy. If efficient market hypothesis (EMH) holds true, it will prevent the investors to realize extra return by utilizing the inherent information of stocks. They will realize extra returns only by incorporating the extra risky stocks in their portfolios. While empirical tests of EMH and risk-return relationship are plentiful for developed stock markets, the focus on emerging stock markets like India, Pakistan, Sri Lanka, etc., began with the liberalization of financial systems in these markets. With globalization and deregulation, the enormous opportunities of investment in South Asian stock markets have attracted the domestic and foreign institutional investors in general, and to reduce their portfolio risk by diversifying their funds across the markets in particular. The efforts are made in this study to examine the cross-correlation in stock returns of South Asian stock markets, their regional integration, and interdependence on global stock market. The study also examines the important aspects of investment strategy when investment decisions are made under risk and uncertainty. The study uses Bombay stock exchange listed index BSE 100 for India, Colombo stock exchange listed Milanka Price Index for Sri Lanka, Karachi stock exchange listed KSE 100 for Pakistan, Dhaka stock exchange listed DSE-General Index for Bangladesh, and S & P Global 1200 to represent the global market. It carries out a comprehensive analysis, tracing the autocorrelation in stock returns, cross correlations in stock returns under risk and uncertainty, interdependency among the South Asian stock markets, and that with the global stock market. The research methodology applied in the study includes application of Ljung-Box to examine the cross-correlation in stock returns, ARCH and its generalized models for the estimation of conditional and asymmetric volatilities, and Ljung-Box as a diagnostic testing of fitted models, and finally correlation to examine the interdependency of these markets in terms of stock returns and expected volatility. The results bring out the following: L-B statistics suggests the presence of autocorrelation in stock returns in all Asian stock markets; however, for the global market, autocorrelations are significant at 15 lags, and thereafter they are insignificant. The significant autocorrelations in stock returns report volatility clustering in stock returns, reject the EMH, and hold that current stock returns are significantly affected by returns being offered in the past. ARCH and its generalized models significantly explain the conditional volatility in all stock markets in question. The study rejects the relationship between stock returns and expected volatility; however, the relationship is significant with unexpected volatility. It brings out that investors adjust their risk premium for expected variations in stock prices, but they expect extra risk premium for unexpected variations. With their entry into the liberalization phase, South Asian stock markets have reported regional interdependence, and also interdependence with the global stock market.

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“…The responsiveness of the stock markets of BRIC-RoK nations to each other can easily tell both the short-term and long-term relation among these nations. Indian stock market has already been found integrated with developed American capital market (Bhattacharya & Samantha, 2001) and with the capital market of some south Asian countries (Nath and Verma, 2003; Mukherjee and Mishra, 2005). Due to globalization and openness of the market, now the markets tend to show a lead and lag relationship with each other.…”

Section: Introductionmentioning

confidence: 99%

Emerging Stock Market Integration in the Post Financial Crises Era: An Empirical Analysis of the Short-term and Long-term Linkages

Verma

Rani

2016

Emerging Economy Studies

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In the backdrop of the recent global financial crises in 2008, this article attempts to assess the linkage among Brazil, Russia, India, China and South Korea. For this purpose, we adopted a variety of ways. First, long-run and short-run linkages among emerging market indices were investigated by using Johansen's co-integration method and Sim's vector autoregression model. Second, to analyze the issue in detail, we examined the causal relationship and impact of shocks by using Toda and Yamamoto (1995) version of Ganger noncausality test and forecasted error variance decomposition along with the impulse response function. We have investigated short-run causal relationship among the emerging market indices and showed how much of the forecast error variance of NIFTY market returns can be explained by exogenous shocks to the other emerging markets. The results of noncausality test among emerging stock markets indicated that Brazilian market has a unidirectional causality with Indian stock market, and Indian stock market has a unidirectional causality with South Korean market. Finally, the results of variance decomposition and impulse response function suggest that return in Indian stock market (NIFTY) is largely affected by its own shocks, whereas shocks in return of other emerging stock markets do not dominate in case of return in Indian stock market (NIFTY).

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International Stock Market Integration and Its Economic Determinants: A Study of Indian and World Equity Markets

Cited by 12 publications

References 32 publications

Global Financial Crisis and Stock Market Integration: A Study on the Impact of Global Financial Crisis on the Level of Financial Integration between the US and Indian Stock Markets

Global Financial Crisis and Stock Market Integration: A Study on the Impact of Global Financial Crisis on the Level of Financial Integration between the US and Indian Stock Markets

Asymmetric Volatility and Cross Correlations in Stock Returns under Risk and Uncertainty

Emerging Stock Market Integration in the Post Financial Crises Era: An Empirical Analysis of the Short-term and Long-term Linkages

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