An Empirical Investigation of Linkages between India and Major Asian Stock Markets
The Indian Journal of Commerce, Vol 68 No.1, pp. 30-39, January 2015
10 Pages Posted: 7 Aug 2019
Date Written: January 1, 2015
The paper attempts to understand the inter-linkages and causal relationships between the stock exchanges. This study covers Tokyo Stock Exchange (TSE), Hong Kong Stock Exchange (HSE), Bombay Stock Exchange (BSE) and National Stock Exchanges (NSE). To establish the relationship, the daily closing data of the stock indices such as the Nikkei in Japan, Hangseng in Hong Kong with that of NSE Nifty and BSE Sensex in India during the period March 2007 to August 2014 are used. The Granger-causality and Cointegration test were used to check the causal relationship. The study found that there is uni-directional short-term causal influence from Indian stock markets to the Japanese and Hong-Kong stock market while no long-term relationships are found between the Indian and Japanese market as well as with the Hong Kong market over the study period.
Keywords: Asian Stock market, inter-likages, market efficiency, granger-causality, stock exchange
JEL Classification: G11, G14, G15
Suggested Citation: Suggested Citation