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A Study of Co Movement and Interdependence of Indian Stock Market with Selected Stock Markets

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TLDR
In this article, the authors examined the causal linkages among equity markets to better understand how shocks in one market are transmitted to other markets by applying various analytical tools such as correlation, unit root test (ADF test), and granger causality test were applied in study to find co movement and dependency of Indian market over selected markets.
Abstract
The Bombay stock exchange, Hong Kong Stock Exchange, Tokyo Stock Exchange & Shanghai Stock Exchange are among the oldest exchanges in Asia. The Study was carried out with objective to examine the causal linkages among equity markets to better understand how shocks in one market are transmitted to other markets. The study was done by taking data from 1/3/2000 to till 4/6/2011. The study was done by taking stock price data of BSE, HANGSENG, TSE & SSE. Various analytical tools such as correlation, unit root test (ADF test) and granger causality test were applied in study to find co movement & dependency of Indian market over selected markets. The correlation of daily prices gives an outcome that BSE is highly correlated with Hangseng & SSE. The granger causality test reveals an outcome that BSE is not granger cause by any of the selected market. Over all it can conclude that the selected markets are not much depending on each other.

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An Empirical Study of Co-movement in Selected Stock Exchanges

TL;DR: In this paper, the co-movement among the selected stock exchanges, that is, "BSE", "Hangseng", "MXX", "RTS", "BVSP", "FTSE-100", "Nikkei", and "NASDAQ", is explored.
Journal ArticleDOI

Overflow effect of credit rating announcements on stock exchange based on event study

TL;DR: In this paper, the impact of credit rating announcements on stock returns in stock markets was identified and four different sectors of Pakistan stock exchange were selected for four different segments of the stock market.
References
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A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1

TL;DR: In this paper, the authors present an examination of such models for variables integrated at most of order one, when tests for cointegration involve statistics with non-standard asymptotic distributions.
Journal ArticleDOI

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

Richard Roll
- 01 Sep 1984 - 
TL;DR: In this article, the effective bid-ask spread is measured by Spread = 2−cov where cov is the first-order serial covariance of price changes, and is shown empirically to be closely related to firm size.
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Common stochastic trends in international stock markets

TL;DR: In this paper, the authors present evidence concerning the number of common stochastic trends in the equity markets of the U.S., Japan, England, Germany, and Canada.
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Positive Feedback Investment Strategies and Destabilizing Rational Speculation

TL;DR: In this article, the role of rational speculators in financial markets was analyzed and it was shown that an increase in the number of forward-looking rational traders can lead to increased volatility of prices about fundamentals.
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