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Linkages between India and Three Asean Stock Markets: A Co-Integration Approach


Affiliations
1 Department of Management, Mizoram University, Mizoram, India
     

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Today, an investor has an array of investment choices including the opportunities to approach overseas market which were unavailable a few decades ago. In literature, the integration of stock markets has been widely discussed and analysed. This paper examines the relationship between Indian stock market and the three stock markets of the ASEAN countries viz. Indonesia, Malaysia, and Singapore. Using the daily closing prices of the indices over a period of ten years i.e. 2004 to 2014, the study examined the inter-linkages of Indian stock market with the three markets. The Granger-causality and co-integration test were used to check the causal relationship.The study found that there is a significant short-term unidirectional influenced from the Indian stock market to the three ASEAN countries stock markets while no long-term relation (no co-integration) are found between the Indian equity market with that of three ASEAN countries viz. Indonesia, Malaysia, and Singapore equity markets.

Keywords

Inter-linkages, Stock Market, Granger’s Causality Test, Co-integration, SENSEX, ASEAN.
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  • Linkages between India and Three Asean Stock Markets: A Co-Integration Approach

Abstract Views: 60  |  PDF Views: 0

Authors

Giridhari Singh Rajkumar
Department of Management, Mizoram University, Mizoram, India

Abstract


Today, an investor has an array of investment choices including the opportunities to approach overseas market which were unavailable a few decades ago. In literature, the integration of stock markets has been widely discussed and analysed. This paper examines the relationship between Indian stock market and the three stock markets of the ASEAN countries viz. Indonesia, Malaysia, and Singapore. Using the daily closing prices of the indices over a period of ten years i.e. 2004 to 2014, the study examined the inter-linkages of Indian stock market with the three markets. The Granger-causality and co-integration test were used to check the causal relationship.The study found that there is a significant short-term unidirectional influenced from the Indian stock market to the three ASEAN countries stock markets while no long-term relation (no co-integration) are found between the Indian equity market with that of three ASEAN countries viz. Indonesia, Malaysia, and Singapore equity markets.

Keywords


Inter-linkages, Stock Market, Granger’s Causality Test, Co-integration, SENSEX, ASEAN.