Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets

Francesco Guidi
Authors registered in the RePEc Author Service: Rakesh Gupta

MPRA Paper from University Library of Munich, Germany

Abstract: This paper aims to explore links between the Indian stock market and three developed Asian markets (i.e. Hong Kong, Japan and Singapore). The index prices are non-stationary so we used cointegration methodologies in order to explore interdependencies. Johansen methodologies reject the hypothesis of long-run relationships among all stock markets, while the Gregory-Hansen test rejects the hypothesis of no cointegration with structural breaks. Our results suggest that in the long-term the benefits for investing in India are limited. We further estimated the time-varying conditional correlation relationships among these markets We find that correlations rise dramatically during periods of crisis, while they return to their initial levels after those periods.

Keywords: Stock markets; cointegration; time-varying correlations. (search for similar items in EconPapers)
JEL-codes: C32 G15 (search for similar items in EconPapers)
Date: 2010-01
New Economics Papers: this item is included in nep-cwa and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets (2012)
Working Paper: Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets (2011)
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