Stock Market Integration: Examining Linkages between India and Select Asian Markets

R. K. Kaundal, Sanjeet Sharma

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

In the recent years, globalization, economic assimilation and integration among countries and their financial markets have increased interdependency among Asian stock markets. This increased interdependency among the Asian stock markets may have impact on the global investors for their assets allocation decision and on the economic policies of economies for ensuring economic stability. Hence, there is a need to study the extent of integration between the Indian stock market and Asian stock markets, which is the primary objective of this study. The study uses monthly stock price indices of the Asian countries, namely India, Japan, Singapore, Hong Kong and Taiwan. This study covers the period from April 1994 to December 2009. The results obtained from the analysis by employing a wide range of statistical tools: Engle-Granger Test, Johansen Cointegration Test and Granger Causality Test. The results of the study indicate that Indian stock market is not integrated with the Asian stock markets considered in our study. It also implies that international investors can get portfolio diversification benefits in Indian market since Indian stock market is not affected by the market trends in Asian countries.

Original languageEnglish
Pages (from-to)3-18
Number of pages16
JournalForeign Trade Review
Volume45
Issue number3
DOIs
StatePublished - Oct 2010

Fingerprint

Dive into the research topics of 'Stock Market Integration: Examining Linkages between India and Select Asian Markets'. Together they form a unique fingerprint.

Cite this