INTEGRATION OF FINANCIAL MARKETS

Mahesh Kumar Tambi
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Mahesh Kumar Tambi: ICFAI Institute for Management Teachers

Finance from EconWPA

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)
New Economics Papers: this item is included in nep-cwa
Date: 2005-04-15
Note: Type of Document - pdf; pages: 19
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0504014

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