Linkages between India and three ASEAN Stock Markets: A Co-integration Approach

Rajkumar, Giridhari

doi:10.21863/jcar/2015.4.1.005

Cited by 2 publications

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“…Gupta and Shrivastav (2018) found significant integration between stock markets of India and Japan. Similarly, equilibrium relation was observed between India and selected developed stock markets viz., Australia, Canada, France, Germany, India, UK and USA (Samadder and Bhunia 2018). Gupta and Shrivastav (2018) also reported significant integration between stock markets of India and Japan.…”

Section: Literature Reviewmentioning

confidence: 99%

Financial Integration and Variance Decomposition of Asian Stock Market: Evidence from India

Bhardwaj,

Sharma,

Kaur Mavi

2023

AJBA

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Manuscript type: Research paper Research aims: International investments made in non-integrated economies provide benefits of portfolio diversification, but investment made in integrated economies may lead to oscillations due to volatility spillover. Therefore, the knowledge of market linkage of an economy is imperative for investors, as well as regulators. In this context, the present paper investigates the financial integration of the Indian stock market with China, Hong Kong, Japan, UK and USA. Design/Methodology/Approach: To examine the financial integration in the long run, closing daily indices of leading stock markets of respective countries have been analysed through the Johansen cointegration method over a period of 20 years from 2002 to 2022. The vector error correction model has been applied to examine whether market equilibrium can be restored after an infusion of shock. The short run linkage has been investigated through a causality test. Further the possibility of volatility spillover has been examined through variance decomposition and impulse response function. Research findings: The results show cointegration among the selected markets, which indicates the possibility of convergence towards market equilibrium in the long run. The stock markets of India and USA were observed to have a bidirectional causal relationship indicating lesser chances of benefits from international portfolio diversification. The results reveal the sensitivity of the Indian stock market to innovations in the UK and USA. However, no significant influence of the Hong Kong, Japanese, and Chinese stock markets has been observed on the Indian stock market. Further, the Indian stock market has a significant contribution to the volatility of other stock markets, except the Chinese stock market. Theoretical contribution/Originality: The present study is crucial owing to two prominent reasons. Firstly, the linkage between various financial markets is very dynamic and needs to be studied in the present context. Secondly, the linkage of Indian economy with other countries has increased manifolds in recent few years so it will be fruitful to analyse the linkage of Indian economy with other economies. Practitioner/Policy implications: The findings are useful to investors while designing international portfolios to reap diversification benefits. The results are fruitful for market regulatory bodies to mitigate the adverse impact of volatility spillover. Research limitation/Implications: The study can be extended to other markets, monthly data and different sub-periods

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Section: Literature Reviewmentioning

confidence: 99%

Financial Integration and Variance Decomposition of Asian Stock Market: Evidence from India

Bhardwaj,

Sharma,

Kaur Mavi

2023

AJBA

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“…The study revealed that there was a co-movement of stock prices on an international platform. Further investigation done by Rajkumar (2015) revealed that there is an integration between Indian Stock Market and 3 other markets namely Malaysia, Indonesia and Singapore. A study conducted by Umer, Sevil, and Kamişli (2015) proves that there exists the strong integration between stock prices and exchange rates of 0 emerging markets.…”

Section: Review Of Literaturementioning

confidence: 99%

Inter-linkages between the stock exchanges of emerging economies: Evidence from BRICS

Krishnegowda¹,

Durai

Sathyanarana³

2023

AJSSMS

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The economic liberalization took place in the year 1991, opened up wide range of opportunities to the industries, service providers as well as to the investors. Investors overcome the geographical boundaries to diversify their portfolio to foreign markets. So, it is highly important to understand the inter-linkages among the nations. The present study chosen the Brazil, Russia, India, China and South Africa (BRICS) consortium’s stock market indices to analyze the connectedness among them, by taking the daily closing price levels, from 1st of Feb 2015 to 31st of March 2021, applied descriptive statistics, Unit root test, Granger Causality Test and Johansen Co-integration tests are performed. The results unveil that, the data sample is stationary; there exists the inter-linkages among the BRICS nations stock markets. India’s stock market has major impacts on Brazil, China, South Africa as well as Russia, where as India will not receive major impacts from China, Russia and South Africa. Study concludes that diversifying the portfolio to foreign countries stock markets benefit the investors with increased returns and reduced risk. The study results helps the investors to diversify their portfolios into foreign stock exchanges to get stabilized returns understanding the relationship among emerging countries stock exchanges.

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Linkages between India and three ASEAN Stock Markets: A Co-integration Approach

Cited by 2 publications

References 0 publications

Financial Integration and Variance Decomposition of Asian Stock Market: Evidence from India

Financial Integration and Variance Decomposition of Asian Stock Market: Evidence from India

Inter-linkages between the stock exchanges of emerging economies: Evidence from BRICS

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