A test of Integration between Emerging and Developed Nation’s Stock Markets

Mahesh Kumar Tambi
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Mahesh Kumar Tambi: IIMT, Hyderabad- India

International Finance from University Library of Munich, Germany

Abstract: This paper makes an attempt to examine the financial integration between emerging countries and developed countries. Stock market data for six countries USA, CANADA, UK, India, Malaysia and Singapore have been used for the purpose of the study. Cointegration was tested on the basis of various alternative techniques. Results contradict existing literatures and suggest that although developments at international level significantly influence national stock markets, but they are driven mainly by the developments at domestic level. Study also indicates that world equity market is segmented; where developed nations and emerging markets have made separate grouping. In case of India we find that it is positively correlated with all the markets, but this relationship is not highly positive.

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: F3 F4 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2005-06-08
New Economics Papers: this item is included in nep-fmk
Note: Type of Document - pdf; pages: 18
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpif:0506004

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