Integration of Stock Market - Evidence from India and Major Global Indices
Published: 2019
Author(s) Name: Hemendra Gupta |
Author(s) Affiliation: Faculty, Jaipuria Institute of Management, Lucknow, Uttar Pradesh, India.
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Abstract
In designing portfolio diversification plays an important role and diversifying into international market is one of important ingredient in it. High integration among the markets across the globe however also have its own risk of spillover effect of one country into another geography which will have cascading effect across entire globe. For this study has been done to identify interdependency among ten indices of market spread across Asia, Europe and America. The study has been done by measuring co-integration among various indices and also determining causality among the indices by Granger Causality. The study reveals to large extent presence of strong dependency across various markets. Among the indices studies SHANGAI from China showed low dependency across various geographies.
Keywords: Market Integration, Unit Root, Causality, Co-integration Market
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