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Manu, K. S.
- Dynamics of Indian Stock Market Integration with Global Stock Markets
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Authors
Affiliations
1 Department of Management Studies, Christ University, Bangalore, IN
2 Department of MBA, Acharya Institute of Technology, Bangalore, IN
1 Department of Management Studies, Christ University, Bangalore, IN
2 Department of MBA, Acharya Institute of Technology, Bangalore, IN
Source
Asian Journal of Management, Vol 8, No 3 (2017), Pagination: 559-568Abstract
Financial markets all over the world witnesses growing integration within as well as across boundaries, spurred by deregulation, globalization and technological advancement. This paper investigate the integration and dynamic linkage of Indian Stock market with selected global stock market portraying the scenario to investors to make appropriate investment decisions. It specifically examines the possible volatility for the Indian stock market to ease the process of investors for construction of portfolio investing in global stock markets. The study used daily returns from 1st April 2004 to 31st March 2015. Granger causality test is done determining the causality effect. The study found that, the Indian market exhibits a very strong positive correlation with global market. The regression results indicate a significant positive impact of global indices on Indian stock market, thus the Indian market gets affected by the fluctuations in global market. Overall, the Granger Causality test indicates some unidirectional and bi-directional Granger causality effect among the selected markets indicating a dynamic linkage pointing out role on each other’s’ movement. Thus suggesting the foreign institutional investors and Indian investors to accordingly take advantage of positive and negative movements and impart the same for optimum portfolio construction and can induce arbitrage opportunities even in day trading.Keywords
Stock Market Indices, Dynamic Linkages, Statistical Analysis, Granger-Causality Test.
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- Dynamic Relationship between Crude Oil, Gold and Exchange Rates:The Case of India
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Authors
Affiliations
1 Assistant Professor, Department of Management Studies, Christ University, Bangalore, Karnataka, IN
2 Student, BBA, Department of Management Studies, Christ University, Bangalore, Karnataka, IN
1 Assistant Professor, Department of Management Studies, Christ University, Bangalore, Karnataka, IN
2 Student, BBA, Department of Management Studies, Christ University, Bangalore, Karnataka, IN
Source
Asian Journal of Management, Vol 9, No 2 (2018), Pagination: 933-938Abstract
Gold and Crude Oil are the most trading commodities in the international market. EURO, USD, JPY and GBP are the four most trading currencies available for the market participants to trade. There are many factors which determine the changes in the Exchange rates. Similarly, change in the Gold prices and Crude Oil prices might impact the changes in the determination of Exchange rates. The study considered US Crude Oil (WTI- West Texas Intermediate) Prices,IB Oil(Indian Crude Basket)and Gold prices to assess the relationship. The study used Multiple Linear Regression Analysis and Granger causality test to analyze the relationship between gold, crude oil and exchange rates. The study found that only gold returns has positive impact on EURO/INR returns. Further granger causality test results revealsuni directional causality from Euro returns to Gold returns, Gold returns to JPY returns, IB Oil returns to JPY Returns and IB Oil returns to USD returns. The market participants are suggested to consider the effect of gold returns and IB Oil performance to take investment or trading decision in forex market (JPY/INR, USD/INR and EURO/INR exchange rates).Keywords
International Market, Multiple Regression Analysis, Granger Causality Test and Indian Crude Basket.References
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- Effect of Exchange Rates Volatility on Stock Market Performance
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Authors
K. S. Manu
1,
Padma Bhaskar
2
Affiliations
1 Assistant Professor, Department of Management Studies, Christ (Deemed to be University), Bengaluru, IN
2 Associate Professor, Department of MBA, BNM Institute of Technology, Bengaluru, IN
1 Assistant Professor, Department of Management Studies, Christ (Deemed to be University), Bengaluru, IN
2 Associate Professor, Department of MBA, BNM Institute of Technology, Bengaluru, IN