INTEGRATION OF FINANCIAL MARKETS

Mahesh Kumar Tambi
Additional contact information
Mahesh Kumar Tambi: ICFAI Institute for Management Teachers

Finance from University Library of Munich, Germany

Abstract: Paper analyzes the degree of integration of Indian stock market with other developing and developed nations’ stock markets using various techniques of cointegration like Engle Granger two stage method, Johansen cointegration method, VAR-ECM, Principle-Component Analysis and Impulse-response analysis.

Keywords: Financial markets Integration; Johansen test; VAR-ECM; Engle- Granger Two stage method; Developed nations; Developing Nations. (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 19 pages
Date: 2005-04-15
New Economics Papers: this item is included in nep-cwa
Note: Type of Document - pdf; pages: 19
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0504/0504014.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0504014

Access Statistics for this paper

More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).