Return Linkages Among Returns from Stock Markets

Twelfth AIMS International Conference on Management, 2014

12 Pages Posted: 15 Nov 2015

See all articles by Gagan Deep Sharma

Gagan Deep Sharma

Guru Gobind Singh Indraprastha (GGSIP) University

Mrinalini Srivastava

Guru Gobind Singh Indraprastha (GGSIP) University

Date Written: December 14, 2014

Abstract

This paper studies inter-linkages among returns from stock markets in Japan, USA, England, India and China. Daily closing levels of benchmark indices in five countries are taken for period 6th January 2003 to 21st September 2013. Augmented Dickey-Fuller unit-root test is applied to check stationary nature of the series; Regression analysis, Granger’s causality model, Vector Auto Regression model, and Variance Decomposition Analysis to find out the linkages between returns. The study leads to two major findings. First, that there exist opportunities for diversification for the investors, and second is the domestic factors (macro economic variables) that influence stock markets.

Suggested Citation

Sharma, Gagan Deep and Srivastava, Mrinalini, Return Linkages Among Returns from Stock Markets (December 14, 2014). Twelfth AIMS International Conference on Management, 2014, Available at SSRN: https://ssrn.com/abstract=2690675

Gagan Deep Sharma (Contact Author)

Guru Gobind Singh Indraprastha (GGSIP) University ( email )

Sector 16 C,
Dwarka
Delhi, Delhi 110078
India

Mrinalini Srivastava

Guru Gobind Singh Indraprastha (GGSIP) University ( email )

Sector 16 C, Kashmere Gate
Dwarka
Delhi, DE 110006
India

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