International Financial Markets Integration or Segmentation: A Case Study of Equity Markets

Puja Guha, Shivani Daga, Richa Gulati, Ganita Bhupal and Hena Oak
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Puja Guha: Delhi School of Economics
Shivani Daga: Delhi School of Economics
Richa Gulati: Delhi School of Economics
Ganita Bhupal: Delhi School of Economics
Hena Oak: Delhi School of Economics

Finance from University Library of Munich, Germany

Abstract: Over the past 15 years, financial markets have become increasingly global. The relationship among the equity markets of the developed and the emerging countries has been examined extensively in the literature. This paper studies the interdependence among the major stock markets of the world. Using the monthly data from January 1993 to September 2003, we examine the stock market indices of India (Sensex), Hong Kong (Hang Seng), the USA (DJIA) and the UK (FTSE-100). Co-integration technique has been employed to study the long-term linkages among the markets. We found that the equity markets of India and Hong Kong are co-integrated with the other markets whereas the markets of the USA and UK are not.

Keywords: Direct financial integration; segmentation; co-integration (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 18 pages
Date: 2004-12-08
New Economics Papers: this item is included in nep-acc, nep-fin and nep-fmk
Note: Type of Document - doc; pages: 18
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0412013

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