Linkages between India and three ASEAN Stock Markets: A Co-integration Approach

2015 ◽  
Vol 4 (1) ◽  
Author(s):  
Giridhari Singh Rajkumar
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Short Term ◽  
Term Relation ◽  
Integration Test ◽  
Asean Countries ◽  
Indian Stock Market ◽  
The Relationship ◽  
Investment Choices

Today, an investor has an array of investment choices including the opportunities to approach overseas market which were unavailable a few decades ago. In literature, the integration of stock markets has been widely discussed and analyzed. This paper examines the relationship between Indian stock market and the three stock markets of the ASEAN countries viz. Indonesia, Malaysia, and Singapore. Using the daily closing prices of the indices over a period of ten years i.e. 2004 to 2014, the study examined the inter-linkages of Indian stock market with the three markets. The Granger-causality and co-integration test were used to check the causal relationship. The study found that there is a significant short-term unidirectional influenced from the Indian stock market to the three ASEAN countries stock markets while no long-term relation (no co-integration) are found between the Indian equity market with that of three ASEAN countries viz. Indonesia, Malaysia, and Singapore equity markets.

scholarly journals An Empirical Investigation on the Relationship Between the Eurozone Zew Index and the Eurozone Stock Markets

2021 ◽  
Vol 31 (4) ◽  
pp. 1-17
Author(s):  
Nesrin Ceylan ◽  
Turgay Münyas
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Short Term ◽  
Monthly Data ◽  
Research Findings ◽  
Independent Variable ◽  
The Uk ◽  
Conclusion Section ◽  
The Relationship

Abstract The aim of this study is to investigate the long and short term impact of the Euro ZEW index (ZEW) on the DAX (GDAXI) Germany, FTSE 100 (FTSE) the UK, CAC 40 (FCHI) France, OMXS30 Sweden and CROBEX (CRBEX) Croatia stock market indices using monthly data for the period between February 2008 and December 2020. The Euro ZEW Index was taken as the independent variable, and the index values of Eurozone stock markets were taken as the dependent variables. As a result of the study, the Euro ZEW index was found to have a positive (increasing) statistical significant effect on the DAX, FTSE, OMXS and CRBEX variables. Of the stock markets studied, Croatia CROBEX (CRBEX) index was the most affected index by the change in the Euro ZEW index. The least affected stock market was Germany DAX (GDAXI) index. The effect of the Euro ZEW Index on Euro stock markets was higher in the short-term, and gradually decreasing in the long term. The research findings are discussed in the conclusion section.

Impact of FII’s and FDI’s on Indian Stock Market

2016 ◽  
Vol 1 (1) ◽  
Author(s):  
Dr. Kamlesh Kumar Shukla
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Global Economy ◽  
Short Term ◽  
Earnings Growth ◽  
The Past ◽  
Bull Market ◽  
Indian Stock Market

FIIs are companies registered outside India. In the past four years there has been more than $41 trillion worth of FII funds invested in India. This has been one of the major reasons on the bull market witnessing unprecedented growth with the BSE Sensex rising 221% in absolute terms in this span. The present downfall of the market too is influenced as these FIIs are taking out some of their invested money. Though there is a lot of value in this market and fundamentally there is a lot of upside in it. For long-term value investors, there’s little because for worry but short term traders are adversely getting affected by the role of FIIs are playing at the present. Investors should not panic and should remain invested in sectors where underlying earnings growth has little to do with financial markets or global economy.

scholarly journals AN ANALYSIS OF STOCK MARKET INTEGRATION IN THE ASIAN DEVELOPED AND EMERGING MARKETS

2021 ◽  
Vol 9 (3) ◽  
pp. 1175-1190
Author(s):  
Sadiq Rehman ◽  
Asif Ali Abro ◽  
Ahmed Raza Ul Mustafa ◽  
Najeeb Ullah ◽  
Sanam Wagma Khattak
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Stock Markets ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Short Term ◽  
Emerging Stock Markets ◽  
Long Run ◽  
Integration Test ◽  
Short Run

Purpose of the study: This study investigates Short-run, Long-run, and Casual relationships in the Asian Developed and Emerging stock market indices for the period of 19 years weekly data of stock market indices of Asian Developed and Emerging Markets which are Japan (Nikkei 225), South Korea (KOSPI), Pakistan (KSE 100), China (SSE Composite), Sri Lanka (ASPI), India (BSE 200) and Malaysia (KLSE composite) from January 2001 to December 2019. Methodology: To analyze long-run and short-run relationships among the Asian developed and emerging stock markets, this study practices Descriptive Statistics, Correlation Matrix, Unit Root Test, Johansen Co-Integration Test, Vector Error Correction Model, Granger Causality test, Variance Decomposition and Impulse Response Function (IRF). Main findings: By employing the ADF and P.P. tests, the results specify that the entire variables' data are non-stationary and stationary in exact order, which is 1st difference. The Johnson Co-integration test found one cointegration relationship, where the results are consistent with Granger causality, Variance Decomposition, and Impulse Response Function (IRF). Application of the study: As the current research has focused on finding out the comovements in the Asian developed and emerging markets. So, the applications are that the survey found short-run and long-run relationships in these countries' stock markets. The study's originality: The current study has selected seven Asian developed and emerging stock markets and weekly updated time series data to investigate short-term and long-term linkages. So, this study found long-run comovements in these stock indices, which contributes to the literature. In addition, these stock markets have limited diversification benefits for international investors, while short-term diversification benefits may exist.

Gold's Price and Advanced Stock Markets

2020 ◽  
pp. 143-156
Author(s):  
Nikolaos Stoupos ◽  
Apostolos Kiohos
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Financial Crises ◽  
Economic Recession ◽  
Safe Haven ◽  
Short Term ◽  
Long Run ◽  
Intraday Data ◽  
Global Investors

Traditionally, the gold has been approved as a safe-haven investment after the collapse of Breton Woods. The global investors especially prefer to rebalance their portfolios by purchasing gold or its derivatives during financial crises. This research explores realized dynamic linkages between gold and the advanced stock market indices, after the end of the 2008 economic recession. This chapter used the fractionally co-integrated ECM by utilizing intraday data from 2013 and thereafter. The empirical outcomes support that there is a negative-realized dynamics between the advanced stock markets and the gold's price in the short and in the long run. Specifically, the short-term dynamics of gold's price seems to be higher on the French and Japanese stock market indices. Lastly, the long-term dynamics of gold's price seems to be higher on the Dow Jones and the FTSE100.

scholarly journals An Empirical Study on Movement of Stock Market of BRIC Economies- Are they Co-Integrated?

2021 ◽  
Vol 9 (4) ◽  
pp. 11-16
Author(s):  
Aditya Prasad Sahoo
Keyword(s):  
Stock Market ◽  
Causality Analysis ◽  
Major Objective ◽  
Order Difference ◽  
Market Indexes ◽  
Indian Stock Market ◽  
Stock Indexes ◽  
The Relationship ◽  
India And China

The major objective of this article is to assist the BRICS nations’ foreign investment decisionmaking process, as well as the creation or changes in policies by these nations’ characteristics. The context is crucial for foreign investors considering diversification advantages internationally, as well as policymakers responding to the aforesaid economies’ growth. This study examines the interconnections between the stock indexes of the BRIC economies. The goal of the research is to look at the long-term link between stock market indexes. From January 2010 to December 2020, the researcher utilized the index’s monthly closing price. To get the ADF at the first-order difference, all of the data is utilized in its raw form. The co-integration method is employed to determine the connection between stock indexes. The causal influence on stock market indices is studied using Granger causality. The sample considers countries such as Brazil, Russia, India, and China. The goal of the research is to look at the long-term link between stock market indexes. It is found that Sensex has the highest return among others, followed by SHCOMP, MOEX and BOVESPA. It is also found that the standard deviation of MOEX is high, followed by SENSEX, SHCOMP and BOVESPA. From the causality analysis, it is found Bi-directional relationship between India and China stock market. Whereas in the case of the other two markets, i.e., Brazil and Russia, the relationship with the Indian stock market are neither Uni-directional nor Bi-directional.

scholarly journals Impact Of Union Budget On Indian Stock Market

2015 ◽  
Vol 2 (11) ◽  
pp. 21 ◽  
Author(s):  
Divya Verma Gakhar ◽  
Neha Kushwaha ◽  
Vinita Ashok
Keyword(s):  
Stock Market ◽  
T Test ◽  
Medium Term ◽  
Short Term ◽  
Statistical Tools ◽  
F Test ◽  
Indian Stock Market ◽  
The Impact ◽  
Paired T Test

This paper analyzes the impact of Union budget on NSE’s CNX NIFTY Index. The impact is measured in terms of daily average returns and volatility over the short term, medium term and long term period in pre and post budget period. The data has been collected for five budget periods from 2011 to 2015. The statistical tools used are paired T-test and F-test. Paired T-test is conducted on average returns and F-test is conducted on variances over the period i.e., 3, 10 and 30 days in pre and post budget period. The maximum impact of budget is seen in short term then it gradually decreases in medium term and finally diminishes in the long term. The implication of this paper is that the investor should fear from investing in the stock market around the budget period.

scholarly journals Stock Market Integration in South Asia

2012 ◽  
Vol 1 (2) ◽  
pp. 8-20
Author(s):  
Damber S Kharka ◽  
M.S Turan ◽  
K.P Kaushik
Keyword(s):  
Stock Market ◽  
South Asian ◽  
Stock Markets ◽  
Market Integration ◽  
Stock Market Integration ◽  
Stock Indices ◽  
Integration Test ◽  
One To One ◽  
Test Market

While the topic of stock market integration has been one of the highly researched area in the literature but focus had mostly been on the stock markets of developed economies.  Few have focused on analyzing market integration in South Asian region and no inclusion of Bhutanese stock has been found in the literature in any of the earlier studies. The objective of this paper is to analyze market integration between Bhutanese, Indian and other indices in the region. We also analyzed whether other indices in the region are co-integrated with Indian stock market, as Indian market is more proficient in the region and can be believed to have influences on others. We analyzed all indices in the region on one to one basis (using pairwise co-integration test). We used weekly data from January 2006 to December 2011 period from the stock exchanges of (Bhutan, India, Nepal, Bangladesh, and Pakistan). Applying, Dickey-Fuller method, we tested unit root for each stock indices and used Johansen co-integration approach pairwise to test the long-term relationship between stock indices and multivariate approach to test market integration as a whole. We found that all indices are stationary at I(1) and confirmed no long-term relationship between Bhutanese stock with Indian and other regional stock markets. In fact we find no market integration either on one to one basis or for the south Asian market as a whole. Information on market integration should help market players in managing their investments in capital markets in a sustainable manner.

Dynamic Relationship Between Stock Market Sector Indices and Macroeconomic Variables in India

2019 ◽  
Vol 1 (2) ◽  
pp. 31-41
Author(s):  
Neeru Gupta ◽  
Ashish Kumar
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Positive Relationship ◽  
Short Term ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Market Sector ◽  
Long Run ◽  
Integration Test

This study investigates the long-term and short-term relationships between selected macroeconomic variables and the selected Indian stock market sector indices over the period of 2010 to 2017. The Johansen Co-integration Test, the Vector error correction model (VECM), is applied to calculate the long-term and short-term relationship between sector indices and macroeconomic variables. It is found that stock prices are exposed to macroeconomic factors, but the level of sensitivity is different in different sectors. Out of five sectors taken in the study, it is found that only the realty sector has long run relationship with macroeconomic variables. Other sectors have no long run relationship with macroeconomic variables. Along with this, it is also found that the Auto index has a significant short-term positive relationship with gold prices and the FMCG sector index has a significant short-term positive relationship with industrial production. The consumer price index and exchange rate have significant short run relationship with realty sector index.

scholarly journals A STUDY ON DOMESTIC INSTITUTIONAL INVESTMENTS AND ITS IMPACT ON MEJOR SECTORS OF ECONOMY

2021 ◽  
Vol 9 (12) ◽  
pp. 379-389
Author(s):  
Prashanth Kumar A. ◽  
Sumathi a ◽  
Sushmitha R Shetty
Keyword(s):  
Stock Market ◽  
Work Culture ◽  
Statistical Tools ◽  
Work From Home ◽  
Cost Cutting ◽  
The Government ◽  
Indian Stock Market ◽  
The Relationship ◽  
Cutting Strategy

India is a developing economy, which has undergone a series of developmental events in last two years. Covid -19 Pandemic has created a lot of challenges across various sectors of the economy. Major sectors of the economy has underwent a series of changes during this phase. IT industries adopted work from home as a long-term cost cutting strategy bringing in necessary changes in work culture. The government has also made all the possible efforts to keep up the phase of development in spite of the challenges posed by the pandemic. Pandemic gave a new dimension to the Indian stock market as many DII & FII became active leading to the further growth of the market in spite of the pandemic.The paper attempts to identify Impact of DIII in the Indian Stock Market. An attempt is made to study the relationship between Selected Nifty Indices movements, DII Inflow/Outflow, by evaluating their investments in equity, Debt and Future& Options segments by applying Statistical Tools. Thus,overall impact of these Players on the Stock Market & Economy is studied. Paper concludes suggesting the measures to identify the major players and empower them as it is necessary tobuild future developing India.

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