Is the Indian stock market cointegrated with other Asian markets?

Rajwani, Shegorika; Mukherjee, Soumyatanu

doi:10.1108/mrr-06-2012-0141

Cited by 27 publications

(14 citation statements)

References 59 publications

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“…It was seen in his paper that shocks in US had impact on Bangladesh, being an emerging economy. Rajwani and Mukherjee (2013) studied Indian stock market's connectedness with other Asian stock markets and found that Indian stock market is not connected with any of the Asian stock markets, which shows insensitivity of Indian stock markets with other markets.…”

Section: Ijoes 351mentioning

confidence: 99%

Stock market interlinkages among the BRIC economies

Aggarwal

Raja

2019

International Journal of Ethics and Systems

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Purpose -This paper aims to study the co-integration among the stock markets of BRIC nations of Brazil, Russia, Indian and China to analyze if the series move apart or they move together in the long term. and to examine the implied volatility transmission between the Indian implied volatility index and three international indices and vice-versa by using synchronized daily data by using techniques such as generalized impulse response functions and variance decompositions. More specifically, the authors investigate how shock to one volatility index affects another volatility index and what is the magnitude and sign of affect and how long does the effect persist?Design/methodology/approach -Unit root tests are conducted to determine the order of integration for each index. The cointegration analysis is used to evaluate the co-movement of a long-term equilibrium relationship among the four stock market indices. Variance decomposition test helps to explain that how much movement in the dependent variable is explained due to its own shock vis-a-vis to the shock of other variables under the study. Impulse response function is used to find out the impact of the standard deviation of shock given to one variable on the impact on the other variable.Findings -There exists one long-run cointegrating relationship between the four stock markets under study. The coefficient of VECM is À0.00031 which is negative and highly significant at 1 per cent. This confirms the existence of a stable long-run causal relationship between the variables. Variance decomposition shows that indices of Brazil, China and Russia can explain on average 4, 0.5 and 5 per cent, respectively, of the forecast error variance of Indian index. On the other hand, Indian market can explain on an average 6.7, 5 and 3 per cent of the forecast error of Brazilian, Chinese and Russian markets, respectively.Originality/value -The research paper is an original work of the author.

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Section: Ijoes 351mentioning

confidence: 99%

Stock market interlinkages among the BRIC economies

Aggarwal

Raja

2019

International Journal of Ethics and Systems

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“…Hence, it is important to carry out further researches in order to understand the definite behavior of Asian markets. The more so as the markets of this range react differently to changes, they are not equally integrated, what is highlighted by crises (Singhania, Anchalia 2013;Rajwani, Mukherjee 2013;Seth, Sharma 2015).…”

Section: Introductionmentioning

confidence: 99%

Empirical Analysis of Stock Returns and Volatility: Evidence From Asian Stock Markets

Ahmad

Ahmed

Vveinhardt

et al. 2016

Technological and Economic Development of Economy

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The objective of this research isto measure and examine volatilities among important stock markets of Asia and to ascertain a causal relation between volatility and stock returns. For this purpose six markets KSE100 (Karachi, Pakistan), BSE Sensex (Mumbai, India), NIKKEI 225 (Tokyo, Japan), Hang Seng (Hong Kong), Shanghai Stock Exchange (SSE) (Shanghai, China) and KOSPI (Seoul, South Korea) were considered. Stock market indices comprise of daily data from the period January 2002 to December 2009. The graphical representation of time series shows the preliminary examination of stock behaviors. The analysis shows the high correlation and heteroskedastic trend (volatility) among the stock markets in selected time period. After preliminary analysis the formal descriptive method of mean, standard deviation and coefficient of variation have been applied for measuring and ranking purposes. The results show that KOSPI has the highest average annual return of 12.67% and followed by BSE with 11.61%, whereas, KSE 100 has the least annual average returns of 9.31%. The highest volatility coefficient of 3.097 has been observed in Hang Seng (Hong Kong) followed by 2.87 in Nikkei (Tokyo). However, the KSE 100 observed the lowest volatility coefficient of 2.078. Bartlett’s test is applied for the inferential analysis to investigate whether the equality of volatility is the same in each market return. Finally, GARCH (1, 1) model is applied which concludes a significant ARCH (1) and GARCH (1) effects and confirms all markets’ returns are statistically significant since p < 0.01 and their Long Run Average Variances (LRAV) range from 1.52% to 2.54% for KSE100 Index and Shanghai Stock Exchange respectively.

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“…The study recommends portfolio diversification among the stock exchange of BRICS. Similarly, Rajwani and Mukherjee (2013) reported that Indian stock market is not co-integrated with any of the selected Asian stock market in long run. The study analyzed the secondary data of China, Japan, Malaysia, South Korea, Indonesia and Taiwan and reported that diversification can minimize the portfolio risk.…”

Section: Literature Reviewmentioning

confidence: 99%

Impact of Covid-19 on Long Run and Short Run Financial Integration Among Emerging Asian Stock Markets

Bhardwaj

Sharma

Mavi

2022

Business, Management and Economics Engineering

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Purpose –The study aims at exposing any possible impact of COVID-19 on short-run and long-run financial integration among five emerging Asian economies viz., China, South Korea, India, Indonesia and Taiwan. Research methodology – Daily closing indices of selected countries have been analyzed from January 2010 – September 2021. The integration among the selected economies has been examined for long-run and short-run through Johansan co-integration and Granger causality tests respectively. Findings – The analysis revealed that coronavirus weakened integration among nations. The absence of long-run integration was observed after the onset of COVID-19. During pre-covid period, unidirectional as well as bi-directional causal relations were present, but after the outbreak of COVID-19, only South Korea and China reported short-term linkage. Research limitations – The results are subject to the limitation of limited data and reference period. Further, daily returns of different stock markets are subject to domestic shock which has not been analyzed in the present study. Practical implications – Since the absence of integration indicates an ample opportunity for risk minimization through international diversification of the portfolio, the results are expected to be very useful for investors, researchers and regulators. Originality/Value – In present times, researchers are showing keen interest to know the possible impact of COVID-19 on linkages of international financial markets. However in spite of being rapidly growing economies, countries selected in the present study have not been explored much. The present study aims to bridge this research gap.

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Is the Indian stock market cointegrated with other Asian markets?

Cited by 27 publications

References 59 publications

Stock market interlinkages among the BRIC economies

Stock market interlinkages among the BRIC economies

Empirical Analysis of Stock Returns and Volatility: Evidence From Asian Stock Markets

Impact of Covid-19 on Long Run and Short Run Financial Integration Among Emerging Asian Stock Markets

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