Cointegration of Asian Stock Markets: Empirical Evidence from India
Published: 2016
Author(s) Name: Beeralaguddada Srinivasa Veerappa |
Author(s) Affiliation: Department of Studies and Research in Economics, Gulbarga University, Karnataka, India
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Abstract
At present stock return is significantly related to other global stock markets. The present paper empirically investigates the short run and long run equilibrium relationship between the stock market of India, Japan Hong Kong, Singapore, Malaysia, China, and Australia monthly data during January 1995 to December 2013. Researcher employs correlation test, multivariate co-integration framework, Vector Auto Regressive error-correction model and Granger causality test with reference to financial up evils in Asia and world viz., Asian crisis (1997/98), financial crisis (2008) Inflation conditions, Natural disasters, financial up evils etc. of long run relationship. Results find that the Indian stock market return is significantly co-integrated with long run and short run situations/causalities in Asian Stock returns.
Keywords: Stock Return, Stock Market, Integration, VAR, Error Correction Model, Granger Causality and Long Run Relation
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