Integration of the Indian stock market with the world market: a study based on the time-varying Kalman filter approach

2017 ◽  
Vol 7 (2) ◽  
pp. 110
Author(s):  
Dilip Kumar ◽  
Srinivasa Rao Gangadharan
Keyword(s):  
Kalman Filter ◽  
Stock Market ◽  
World Market ◽  
Time Varying ◽  
The World ◽  
Filter Approach ◽  
Indian Stock Market

scholarly journals Risks of Traders on the World Stock Market on the Example of Ukraine

2019 ◽  
Vol 67 ◽  
pp. 06001 ◽  
Author(s):  
George Abuselidze ◽  
Olga Mohylevska ◽  
Nina Merezhko ◽  
Nadiia Reznik ◽  
Anna Slobodianyk
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
World Market ◽  
Trading Strategy ◽  
Trading Strategies ◽  
Practical Significance ◽  
External Shocks ◽  
Domino Effect ◽  
The World ◽  
The Impact

The article reveals the essence and features of the development of the stock market in Ukraine. It was established that the vigorous activity of countries in the world financial markets means that they also face a risk of global financial turmoil (the so-called “domino effect”). It is determined that the impact of global financial instability on the country depends on the openness of its economy that will lead to significant external “shocks”. The possibility of providing effective influence on domestic stock market activity with taking into account the changing world situation, development of perfect trading strategies for each participant is substantiated. The conducted analysis of the world market conditions of stock markets in recent years has made it possible to assess the real risks for new participants in the stock market and become the basis for the development of an appropriate effective trading strategy. The practical significance of the results is that they allow for a measurable approach to assessing the existing risk when choosing one or another trading strategy to move to the world stock market.

Time-varying industry beta in Indian stock market and forecasting errors

2015 ◽  
Vol 10 (3) ◽  
pp. 521-534 ◽  
Author(s):  
Sudipta Das ◽  
Parama Barai
Keyword(s):  
Kalman Filter ◽  
Financial Market ◽  
Market Integration ◽  
Country Risk ◽  
Time Varying ◽  
Content Type ◽  
Financial Market Integration ◽  
Forecasting Error ◽  
Integration Effect ◽  
Indian Stock Market

Purpose – The purpose of this paper is to empirically estimate industry beta in Indian stock market with three alternative models and compare the accuracy of forecasting error to find the most suitable model for time-varying beta estimation. Design/methodology/approach – The paper applies the standard regression model, Kalman filter model, other statistical approaches and secondary material. Findings – The paper finds that the existence of dynamic beta in Indian market. The results also indicate systematic risk or beta of Indian industries is susceptible to the global economic effect. Finally, the Kalman filter generates the lower forecasting error compared to the other method for almost all the industries. Practical implications – The accurate estimation of beta which is a measure of systematic risk helps investors to make investment decision easier. The implication of this result is important for finance practitioners such as portfolio managers, investment advisors and security analysts. This study will help to determine the country risk with respect to the global index and analyze the global financial market integration effect on India. Originality/value – This paper reliably estimate industry portfolio beta for India. The time-varying beta is estimated using Kalman filter method which is rarely applied in Indian literature. This paper contributes by extending the knowledge of existing literature by introducing a new data set with Indian data which is not affected by the “data snooping” bias. This study will also help to determine the country risk with respect to the global index and analyze the global financial market integration effect on India.

scholarly journals Impact of FDI and FII on the Indian Stock Market during Recent Recession Period: An Empirical Study

2013 ◽  
Vol 1 (4) ◽  
pp. 475-482
Author(s):  
Arindam Banerjee
Keyword(s):  
Stock Market ◽  
Empirical Study ◽  
Significant Influence ◽  
Import Substitution ◽  
Social Sector ◽  
Policy Changes ◽  
The World ◽  
Indian Stock Market ◽  
The Impact ◽  
Recession Period

The era 90‘s saw very significant policy changes introduced in the sphere of financial sector, foreign trade, public sector and social sector. The year 1991 witnessed the process of liberalization and globalization that hit the Indian economy and pushed our country to break open the ―Inward Looking‖ policy when the emphasis was accorded to protectionism and import substitution. Since 1991, India has proved to be a key player in the world. Ours country interaction has increased with many economies ties, political harmony, tourism trade and services more significantly in the area of investment. The present study was conducted by me with the aim to understand the impact of FDI and FII on Indian Stock Market (BSE and Nifty) during the recession period. It was found from the study that FDI had a significant influence on the Indian Stock market during recession while FII negatively influenced the Indian Stock Market.

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