Cointegration of Asian Stock Markets: Empirical Evidence from India

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.

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The Linkage between Chittagong Stock Market and Dhaka Stock Market

10.54728/2112091639050770 ◽

2021 ◽

Vol 1 (1) ◽

Author(s):

Muhammad Shahidullah Tasfiq ◽

◽

Nasrin Jahan

Keyword(s):

Stock Market ◽

Stock Markets ◽

Stock Price ◽

Impulse Response Function ◽

Decomposition Analysis ◽

Variance Decomposition ◽

Causality Test ◽

Long Run ◽

Short Run ◽

Variance Decomposition Analysis

This paper aims at determining the relationship between the two domestic stock markets of Bangladesh – the Chittagong Stock Market (CSE) and the Dhaka Stock Market (DSE). The daily stock price indices that represent the performance of the two stock markets are collected. In order to find out the interdependent relationship, the Engle-Granger Cointegration test, Granger Causality test, Impulse Response Function, and Variance Decomposition Analysis are employed in this paper. The main finding of this study is that both the stock markets are related in the long run. However, there is a one-way short-run effect from the DSE on the CSE market. The CSE market quickly responds to the shock in the DSE market. But, the DSE market is not responsive to the CSE market. The variance decomposition analysis shows that most of the shocks in the CSE market are explained by its own market. On the other hand, a small number of shocks in the DSE market are explained by the CSE market as well as its own market.

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An empirical study on the dynamic relationship between oil prices and Indian stock market

Managerial Finance ◽

10.1108/mf-06-2013-0131 ◽

2014 ◽

Vol 40 (2) ◽

pp. 200-215 ◽

Cited By ~ 14

Author(s):

Tarak Nath Sahu ◽

Kalpataru Bandopadhyay ◽

Debasish Mondal

Keyword(s):

Stock Market ◽

Error Correction ◽

Oil Prices ◽

Granger Causality Test ◽

Oil Price ◽

Causality Test ◽

Content Type ◽

Long Run ◽

Short Run ◽

Indian Stock Market

Purpose – This study aims to investigate the dynamic relationships between oil price shocks and Indian stock market. Design/methodology/approach – The study used daily data for the period starting from January 2001 to March 2013. In this study, Johansen's cointegration test, vector error correction model (VECM), Granger causality test, impulse response functions (IRFs) and variance decompositions (VDCs) test have been applied to exhibit the long-run and short-run relationship between them. Findings – The cointegration result indicates the existence of long-term relationship. Further, the error correction term of VECM shows a long-run causality moves from Indian stock market to oil price but not the vice versa. The results of the Granger causality test under the VECM framework confirm that no short-run causality between the variables exists. The VDCs analysis revealed that the Indian stock markets and crude oil prices are strongly exogenous. Finally, from the IRFs, analysis revealed that a positive shock in oil price has a small but persistence and growing positive impact on Indian stock markets in short run. Originality/value – The study would enhance the understandings of the interaction between oil price volatilities and emerging stock market performances. Further, the study would enable foreign investors who are interested in Indian stock market helps in understanding the conditional relationship between the variables.

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The long-Run and Short-Run Analysis between Stock Market Index and Macroeconomic Variables in Jordan: Bounds Tests Approach

International Business Research ◽

10.5539/ibr.v12n4p50 ◽

2019 ◽

Vol 12 (4) ◽

pp. 50

Author(s):

Raed Walid Al-Smadi ◽

Muthana Mohammad Omoush

Keyword(s):

Stock Market ◽

Time Series Data ◽

Stock Exchange ◽

Series Data ◽

Stock Market Index ◽

Macroeconomic Variables ◽

Market Index ◽

Long Run ◽

Equilibrium Relationship ◽

Short Run

This paper investigates the long-run and short-run relationship between stock market index and the macroeconomic variables in Jordan. Annual time series data for the 1978–2017 periods and the ARDL bounding test are used. The results identify long-run equilibrium relationship between stock market index and the macroeconomic variables in Jordan. Jordanian policy makers have to pay more attention to the current regulation in the Amman Stock Exchange(ASE) and manage it well, thus ultimately helping financial development.

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Relations and Emotions beyond the Boundaries in the Post Crisis Era – An Analysis of the Impact of Selected Variables on the Indian Stock Market

Scholedge International Journal of Management & Development ISSN 2394-3378 ◽

10.19085/journal.sijmd040801 ◽

2018 ◽

Vol 4 (8) ◽

pp. 72

Author(s):

Pooja Yadav ◽

Nitin Huria

Keyword(s):

Stock Market ◽

Global Economy ◽

Stock Index ◽

Asia Pacific ◽

Macroeconomic Variables ◽

Long Run ◽

Short Run ◽

Current Scenario ◽

Indian Stock Market ◽

The Impact

From a decade or so Indian continent has become the centre of attraction in the global economies. This changed outlook is due to the fact that India embraces vast availability of resources and opportunities which makes it the most vibrant global economy in the current scenario of worldwide sluggishness. On this path of growth and prosperity India is showing stiff commitments and competitive edges with developed as well as emerging countries. To be more specific, during this voyage in the Asia pacific region recently on one side India has seen stronger bonding with some of its old mates like Japan but on the other part it has faced strain like situation from its stronger competitor contender china on the same time. Hence, in this context the main aim of this paper is to examine the long run and short run equilibrium impacts of Japan and Chinese stock index as well as macroeconomic variables impact on Indian stock market. This paper finds the presence of both long and short run equilibrium impacts from China and Japan to India. In case of Japanese financial market (Nikki 225) has a trivial negative but significant long run impact whereas, the Chinese stock index (SSE composite) is operating at the short run with the same mild negative but significant impact on the Indian stock market. The results of the impact of macroeconomic variables find the existence of long run as well as short run equilibrium from some of the selected variables on Indian stock market.

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A Sectoral Analysis of the Role of Stock Market Development on Economic Growth: Empirical Evidence from Indian Economy

Global Business Review ◽

10.1177/0972150917692242 ◽

2017 ◽

Vol 18 (4) ◽

pp. 911-923 ◽

Cited By ~ 3

Author(s):

Madhu Sehrawat ◽

A.K. Giri

Keyword(s):

Economic Growth ◽

Stock Market ◽

Stock Prices ◽

Stock Price ◽

Time Series Data ◽

Trade Openness ◽

Series Data ◽

Causality Test ◽

Long Run ◽

Short Run

The present study examines the relationship between Indian stock market and economic growth from a sectoral perspective using quarterly time-series data from 2003:Q4 to 2014:Q4. The results of the autoregressive distributed lag (ARDL) approach bounds test confirm the existence of a cointegrating relationship between sector-specific gross domestic product (GDP) and sector-specific stock indices. The empirical results reveal that sector-specific economic growth are significantly influenced by changes in the respective sector-specific stock price indices in the long run as well as in the short run. Apart from that, the control variables, such as trade openness and inflation, act as the instrument variables in explaining the variations in the sector-specific GDP of the economy. The results of Granger causality test demonstrate unidirectional long-run as well as short-run causality running from sector specific stock prices to respective sector GDP. The findings suggest that economic growth of the country is sensitive to respective sub-sector stock market investments. The findings highlight the reasons for cyclical and counter-cyclical business phase for the overall economy.

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COMPARING THE IMPACTS OF OIL PRICE SHOCKS ACROSS STOCK MARKETS

Jurnal Teknologi ◽

10.11113/jt.v77.6543 ◽

2015 ◽

Vol 77 (20) ◽

Author(s):

Siok Kun Sek ◽

Zhan Jian Ng ◽

Wai Mun Har

Keyword(s):

Stock Returns ◽

Stock Markets ◽

Spillover Effect ◽

Spillover Effects ◽

Oil Price ◽

Multivariate Garch ◽

Oil Price Shocks ◽

Price Shocks ◽

Long Run ◽

Short Run

We conduct empirical analyses on comparing the spillover effects of oil price shocks on the volatility of stock returns between oil importing and oil exporting countries. In particular, we seek to study how the nature of oil price shocks differs due to the oil dependency factor and how the stock markets react to such shocks. Applying the multivariate GARCH-BEKK(1,1) model, our results detect spillover effects between crude oil price and stock returns for all countries. The short run persistencies of shocks are smaller but the persistencies of shocks are very high in the long run. The results hold for both groups of countries. The results imply larger spillover effect from oil price shock into stock market in the oil importing countries.

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AN ANALYSIS OF THE MANAGEMENT OF FISCAL DEFICIT OF PAKISTAN: AN ECONOMETRIC STUDY OF AUTO-REGRESSIVE DISTRIBUTIVE LAGS (ARDL) APPROACH

The Singapore Economic Review ◽

10.1142/s0217590818500352 ◽

2018 ◽

pp. 1-30 ◽

Cited By ~ 1

Author(s):

KHURRAM EJAZ CHANDIA ◽

MUHAMMAD BADAR IQBAL ◽

SAIRA AZIZ ◽

IFRA GUL ◽

BINESH SARWAR

Keyword(s):

Fiscal Policy ◽

Federal Government ◽

Government Expenditures ◽

Fiscal Deficit ◽

Policy Reforms ◽

Causality Test ◽

Long Run ◽

Ardl Approach ◽

Short Run ◽

Auto Regressive

Fiscal policy is an essential ingredient of economic performance. The fiscal policy is considered as a short-run measure; however, this has long-lasting outcomes for any economy. The current study has examined the connection among different constituents of fiscal policy, i.e., federal government revenues and federal government expenditures; federal government revenues and different components of federal government expenditures; federal government expenditures and different components of federal government revenues and fiscal deficit and influential budgetary variables in the context of the economy of Pakistan. The study has empirically investigated the relationship among the budgetary variables for Pakistan from 1979 to 2017. For data analysis, time-series econometric techniques such as auto-regressive distributive lag (ARDL) approach and Granger causality test have been employed. The results of ARDL bounds test approach suggest the existence of long-run equilibrium relationship among the variables. The result of CUSUM and CUSUMSQ shows the stability of functional relationship tested in this study, which means that model is a useful instrument for policymaking. So, a rise or fall in budgetary variables causes changes in fiscal deficit in long run. The results of study endorse the proof of spent-and-tax hypothesis in the economy of Pakistan. The study suggests the need for extensive fiscal policy reforms in Pakistan.

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Intensity of shock transmission amid US-BRICS markets

International Journal of Emerging Markets ◽

10.1108/ijoem-04-2013-0063 ◽

2015 ◽

Vol 10 (3) ◽

pp. 311-328 ◽

Cited By ~ 5

Author(s):

P. Lakshmi ◽

S. Visalakshmi ◽

Kavitha Shanmugam

Keyword(s):

Stock Market ◽

Granger Causality ◽

Stock Markets ◽

Subprime Mortgage ◽

Content Type ◽

Brics Countries ◽

Long Run ◽

The Us ◽

The Usa ◽

Short Run

Purpose – The purpose of this paper is to analyze the intensity of transmission of shocks from USA to BRICS countries in the long-run and short-run deviations and swiftness of recovery during US subprime mortgage crisis. This analysis enables the authors to explore the evolving patterns of relationships between these markets and examine whether their co-movements altered either in response to international shocks that originated in advanced markets like USA or due to their domestic fluctuations. Design/methodology/approach – Employing data of daily stock market indices (open and close) of BRICS countries for the period January 2, 2001 to May 31, 2012, this paper examines the interactions and characteristics of price movements of BRICS with US market by applying co-integration tests, vector error correction model and Granger causality relationship. The daily stock market indices data are derived from respective stock exchange web sites. Findings – The results exhibit that both long-run co-integration relationships and short-run Granger causality relationships exist between the stock markets of US-BRICS. Furthermore, this nexus is amplified in the short-run during 2007-2009, when the subprime mortgage financial crisis in the USA cropped up. This finding lends support to the prominence of developed (US) market links in the proliferation of persistent co-movements of BRICS stock markets. Research limitations/implications – The findings imply an increasing degree of global market integration due to quick dissemination of global shocks originating from developed market like USA, and swift recovery which can be attributed to the increased resilience, consistent with the moderated level of domestically driven risk in the BRICS markets. In spite of their similarities, long-run and short-run interdependences with the US stock market exhibit differences among the BRICS. This can be attributed to the regional heterogeneity in long-run risk and return co-movements with the USA. Practical implications – Changes from the US index easily affect these stock markets in the short-run, which implies that the US index may act as a leading indicator for investing funds in BRICS markets. Originality/value – This study would enable the authors to understand whether BRICS economies actually remain resilient to adverse developments in USA and could serve as alternative investment destinations for global portfolio diversification.

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