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.

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 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.

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 Effect Of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, And China

2011 ◽  
Vol 7 (3) ◽  
Author(s):  
Robert D. Gay, Jr.
Keyword(s):  
Stock Market ◽  
Emerging Economies ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Share Prices ◽  
Market Index ◽  
The Relationship ◽  
India And China

The relationship between share prices and macroeconomic variables is well documented for the United States and other major economies. However, what is the relationship between share prices and economic activity in emerging economies? The goal of this study is to investigate the time-series relationship between stock market index prices and the macroeconomic variables of exchange rate and oil price for Brazil, Russia, India, and China (BRIC) using the Box-Jenkins ARIMA model. Although no significant relationship was found between respective exchange rate and oil price on the stock market index prices of either BRIC country, this may be due to the influence other domestic and international macroeconomic factors on stock market returns, warranting further research. Also, there was no significant relationship found between present and past stock market returns, suggesting the markets of Brazil, Russia, India, and China exhibit the weak-form of market efficiency.

scholarly journals The Relationship between Macroeconomic Factors and Stock Market Indices Performances in Indian Stock Market

2018 ◽  
Vol 7 (4.36) ◽  
pp. 592
Author(s):  
D. Kinslin ◽  
V. P. Velmurugan
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Significant Finding ◽  
Macroeconomic Factors ◽  
Money Markets ◽  
Macroeconomic Variables ◽  
Indian Economy ◽  
Financing Costs ◽  
Indian Stock Market ◽  
The Relationship

This investigation endeavors in observationally testing the connection between macroeconomic variables and the exhibitions of two noteworthy Indian security advertise lists of BSE-sensex and NSE-clever. The yearly information of a few macroeconomic elements of FIIs net venture, trade rates, oil value, financing costs, swelling rates and gold rates from 1995-96 to 2014-15 are thought about and it attempts to uncover the most impact of these elements on the 'Stock files exhibitions' of the Indian securities exchange. In compatibility of this, the connection investigation and various relapse examination was utilized to contemplate the connection between the two chose security advertise files exhibitions and the six chose macroeconomic elements from the Indian economy. The significant finding is that macroeconomic elements impact securities exchange lists exhibitions in India. It is suggested that the usage of appropriate monetary approaches will be useful to money markets files and it will result in required development in the Indian capital market.   

scholarly journals The relationship between macroeconomic factors and stock market volatility: empirical evidence from the Vietnam stock market

2013 ◽  
Vol 16 (3) ◽  
pp. 86-100
Author(s):  
Kieu Minh Nguyen ◽  
Diep Van Nguyen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Money Supply ◽  
Stock Price ◽  
Price Index ◽  
Macroeconomic Factors ◽  
Stock Price Index ◽  
The Exchange Rate ◽  
The Relationship

The main target of this study is to measure the relationship of macroeconomic factors to the volatility of the stock market in Vietnam (through stock price VN-index). There are four factors including the consumer price index (measure of inflation), the exchange rate of USD/VND and money supply M2. Research shows that the stock price VN-Index has a positive relationship with the money supply M2 and the domestic gold price in long term. On the contrary, it has a negative relationship with the inflation while it does not have any connection to the exchange rate and stock price index. In short term, the current stock price index has proportional to the stock price index last month and inversely proportional to the exchange rate. The estimated speed of adjustment indicates that the Vietnam stock market converges to the equilibrium about 8 months (adjusted approximately 13.04% per month) to reach equilibrium in the long term.

Estimation of Investment Perspectives in the Baltic Stock Market

2015 ◽  
Author(s):  
Jurgita Plevokaitė ◽  
Raimonda Martinkutė-Kaulienė
Keyword(s):  
Correlation Analysis ◽  
Stock Market ◽  
Economic Analysis ◽  
Baltic Countries ◽  
Stock Indices ◽  
Macroeconomic Indicators ◽  
The Baltic ◽  
Near Future ◽  
The Relationship

Short analysis of stock market and stock indices of Baltic countries is presented in the article. Theoretical aspects of importance of fundamental economic analysis, presented by Lithuanian and foreign authors for investigation of investment market is analysed and presented in the research. Research of correlation analysis and stochastic dependence test between chosen stock indices and macroeconomic indicators of Baltic countries is fulfilled. After analysis of the 2004–2013 year period statistics, the relationship between macroeconomic indicators and stock indices in the long term is established. After evaluating the results of the research, macroeconomic indicators, mostly influencing the changes in Baltic stock markets are picked out and their influence on stock indices is described. Investment perspectives in the Baltic stock market are estimated in the near future using macroeconomic forecastings of every country.

Variance Ratio Test of Random Walk in Indian Stock Market

2015 ◽  
Vol 2 (2) ◽  
pp. 89-107
Author(s):  
Saloni Gupta ◽  
Neha Bothra
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Stock Returns ◽  
Ratio Test ◽  
Variance Ratio ◽  
Random Walk Hypothesis ◽  
Variance Ratio Test ◽  
Indian Stock Market ◽  
High Degree ◽  
The Relationship

We conduct tests of the null hypothesis of a random walk at the aggregate level of market indices and disaggregate level of individual shares to the Indian stock market over various data periods and a comparison of two sub-periods namely the pre liberalization and the post liberalization period. For this, we use the Lo-MacKinlay (1988) variance ratio test. Although the oldest test i.e. the serial correlation coefficient test is also applied to the same data to establish the relationship between the two tests but its results are not elaborated in this paper. The strength of this paper lies in the voluminous data base and a powerful testing tool that it makes use of. It is observed that the market is highly inefficient at daily returns level, thus imbibing high degree of predictability in stock returns, and even the weekly returns show the existence of trend. Monthly returns, however, support the random walk hypothesis across all periods. Thus it is concluded that further refinement of reform measures is required.

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