Cointegration among Equity Markets : A Study of Select South Asian Markets

  • Nupur Gupta Bhattacharya K.J. SOMAIYA INSTITUTE OF MANAGEMENT STUDIES AND RESEARCH, Mumbai University
  • Shalini Talwar KJ SOMAIYA INSTITUTE OF MANAGEMENT STUDIES AND RESEARCH, MUMBAI
  • J K Sachdeva Research Centre For Social Sciences
Keywords: Asian Tigers, Exchange Rates, Global economics, Granger causality test, Johansen’s cointegration, Pacific Rim, Stock indices

Abstract

 For the longest time the spotlight of study of co-movement between the markets was confined to the western markets and very few studies focused on Asian equity markets inter-linkages. The focus of research literature started shifting to Asia in the late 1990’s mainly on account of the South-East Asian crises in 1997-98.In Asia, apart from Japan and China, Hong Kong, Taiwan, Singapore, South Korea India and Thailand, have attracted the interest of international investors. In this paper, the linkages between the movements of the equity markets of these six nations are studied by applying Johansen’s Cointegration test and Vector Error Correction Method on the stock market data for a period spanning 2009 to 2013. The results obtained did not support a significant long run relationship among the chosen markets. In short run Singapore markets influenced Indian Markets negatively, Hong Kong Market was found to be influenced by Indian and Singapore market. Singapore market was found to be influenced by Indian market and its own lagged prices. South Korean markets were influenced in short term by Indian and Singapore markets. Thailand and Taiwanese markets were not influenced by any of these markets in short term. 

Author Biographies

Nupur Gupta Bhattacharya, K.J. SOMAIYA INSTITUTE OF MANAGEMENT STUDIES AND RESEARCH, Mumbai University
Assistant Professor (Senior scale)Finance: DepartmentManagement
Shalini Talwar, KJ SOMAIYA INSTITUTE OF MANAGEMENT STUDIES AND RESEARCH, MUMBAI
ASSOCIATE PROFESSOR

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Published
21-12-2014
How to Cite
Bhattacharya, N., Talwar, S., & Sachdeva, J. K. (2014). Cointegration among Equity Markets : A Study of Select South Asian Markets. Journal of Global Economy, 10(4), 265-275. Retrieved from http://www.rcssindia.org/jge/index.php/jge/article/view/365
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Articles