Integration of Intenarional Stock Markets: With Special Refernce to India
Krishna Reddy Chittedi
Jawaharlal Nehru University - Centre for Development Studies
March 11, 2010
Gandhi Institute of Technology and Management (GITAM), Journal of Management, Vol 9, No 3. 2011
After the liberalization of the Indian capital market its integration with international stock market has grown. The Present study is examining the stock market integration between India and developed countries such as USA, UK, Japan, France and Australia. The objective is to examine the stock indices of the above-mentioned developed countries with relation to India for a period of 10 years (1 October 1997-1 October, 2007) out the integration between them. For this purpose, Unit Roots, Granger Causality, cointegration and Error correction Mechanism are used. To examine the short-run and long-run relationships between India and the developing counties. The study found that co integration existing between India and developed countries. (USA, UK, Japan, France and Australia).
Number of Pages in PDF File: 16
Keywords: Stock Market integration, Johansen Julius co integration test, ECM, Engel Granger Casualty test, developed countries
JEL Classification: F30, G15Accepted Paper Series
Date posted: March 13, 2010 ; Last revised: November 10, 2011
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