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- W2910761945 abstract "This study has made an attempt to analyse linkages between stock markets of India, Indonesia, Philippines and Taiwan. Monthly data is considered for the present study ranging from January 2000- December 2017. The study begins with description of data series of stock market returns, followed by correlation analysis which examined the degree of association between market returns. Then unit root tests (ADF and PP) were applied to determine stationary properties of time series. All the series were found to be integrated of same order i.e. I(1). Then Johansen test of co-integration is applied followed by VECM. The results of Johansen test of co integration confirm the presence of long run linkages among select stock markets. Further, the results of VECM confirm the existence of long causality from Indonesian, Taiwan, and Philippines market to Indian markets. The study suggests that the select markets allow short term diversification benefits to investors but the same is not true in long run due to some transitory movements." @default.
- W2910761945 created "2019-01-25" @default.
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- W2910761945 date "2018-12-25" @default.
- W2910761945 modified "2023-09-23" @default.
- W2910761945 title "Co-integration of Indian Stock Markets with Emerging Markets of Asia" @default.
- W2910761945 doi "https://doi.org/10.17492/focus.v5i2.14382" @default.
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