Link between Indian and Major Asian Stock Markets: An Empirical Study

Business Analyst, 36(2), 199-218

22 Pages Posted: 20 Jun 2016

See all articles by Gurmeet Singh

Gurmeet Singh

Unitedworld School of Business, Karnavati University; Karnavati University

Date Written: 2016

Abstract

The study investigates the relationship between the NIFTY index returns of National Stock Exchange of India with the major Asian stock index returns over the period 2000 to 2014 using Johansen’s co-integration test, VECM and Granger causality test. The Johansen’s co-integration test suggests that all the series under the study are found to be co-integrated of order one, indicating that there is a stable long-run equilibrium relationship in these series suggesting that the returns of NIFTY index of India have co-integrated with the eight major stock exchanges of Asia. The result of VECM shows that the returns of NIFTY index respond significantly to the eight major stock exchanges of Asia under the study. The findings from Granger causality based on the VECM indicate bidirectional causality exists between the returns of NIFTY and KOSPI composite index in long run and short run. While in short run Nikkei 225 index returns, Hang Seng index returns and Taiwan Weighted index returns granger causes NIFTY index returns but not the other way around.

Keywords: Asian Stock Markets, Co-integration Test, VECM, Causality Test

JEL Classification: C32, G15

Suggested Citation

Singh, Gurmeet, Link between Indian and Major Asian Stock Markets: An Empirical Study (2016). Business Analyst, 36(2), 199-218, Available at SSRN: https://ssrn.com/abstract=2797972

Gurmeet Singh (Contact Author)

Unitedworld School of Business, Karnavati University ( email )

907/A, Uvarsad-Vavol Road,
Uvarsad,
Gandhinagar, 382422
India

HOME PAGE: http://https://karnavatiuniversity.edu.in/

Karnavati University ( email )

907/A, Uvarsad
Uvarsad Road
Gandhinagar
India

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