Stock Market Movements and Linkages between Emerging Markets in Asia and Developed Market Indices: Short Run and Long Run Analysis

Journal of Critical Reviews, 7 (7), 619-629, DOI:10.31838/jcr.07.07.111

14 Pages Posted: 22 Jun 2020

See all articles by Kasilingam Lingaraja

Kasilingam Lingaraja

Thiagarajar College, Madurai -09, Tamil Nadu, India

Murgesan Selvam

Professor & Head, Department of Commerce and Financial Studies Bharathidasan University, Trichy – 24, India

Ramanujam Veluchamy

BSMED, Bharathiar University

Chinnadurai Kathiravan

VIT Business School, Vellore Institute of Technology (VIT), Vellore

Multiple version iconThere are 2 versions of this paper

Date Written: May 1, 2020

Abstract

This research paper investigates the stock market movements and linkages between the Asian emerging markets (China, India, Indonesia, Korea, Malaysia, Philippines, Taiwan and Thailand) and two developed markets (i.e. USA and Japan). This study employs the statistical application of descriptive statistics, unit root test, correlation and pairwise granger causality test. The study used daily data from 01st January, 2005 to 31st December, 2014, to examine both short-run (year wise) and long-run (whole study period) movements and linkages between Asian emerging stock markets and two developed stock markets. The presence of short-run relationship and absence of a strong long-run relationship, among these markets, were found. The short run (year wise) and long run movements and linkages have important implications for investors, risk managers and regulators. It is found that Indian stock market experienced less movements with developed markets (USA and JAPAN). This study also suggested that India's stock market is largely protected from global events i.e., 2007-2008. The sample stock markets of these eight countries of Asian emerging markets provide attractive diversification opportunities, for international portfolio investors during the long run period. All the eight countries of Asian emerging markets provide attractive diversification opportunities for international portfolio investors, over a long period.

Keywords: Stock Market Movements and Linkages; Asian Emerging Markets; Developed Markets; Short Run and Long Run; Correlation Matrix and Pairwise Granger Causality Test.

JEL Classification: B26; C12; C22; C58; G11; G15

Suggested Citation

Lingaraja, Kasilingam and Selvam, Murgesan and Veluchamy, Ramanujam and Kathiravan, Chinnadurai, Stock Market Movements and Linkages between Emerging Markets in Asia and Developed Market Indices: Short Run and Long Run Analysis (May 1, 2020). Journal of Critical Reviews, 7 (7), 619-629, DOI:10.31838/jcr.07.07.111, Available at SSRN: https://ssrn.com/abstract=3612495

Kasilingam Lingaraja (Contact Author)

Thiagarajar College, Madurai -09, Tamil Nadu, India ( email )

Madurai
India
9790381933 (Phone)

Murgesan Selvam

Professor & Head, Department of Commerce and Financial Studies Bharathidasan University, Trichy – 24, India ( email )

Tiruchirappalli
Tamil Nadu
India

Ramanujam Veluchamy

BSMED, Bharathiar University ( email )

Coimbatore, Tamil Nadu 641 046
India
09500786791 (Phone)

Chinnadurai Kathiravan

VIT Business School, Vellore Institute of Technology (VIT), Vellore ( email )

Gorbachev Rd
Tamil Nadu
Vellore, IN Tamil Nadu 632014
India

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