 How far India has gone down the road towards financial integration with US since subprime crisis? An Econometric AnalysisMalayendu Saha and Amalendu Bhunia () MPRA Paper from University Library of Munich, Germany Abstract: The present paper aims to study the causal relationship between the US and Indian equity markets using Johansen’s cointegration and variance decomposition analyses. Since the opening up of the economy and subsequent economic and political reforms, India has made tremendous strides in the global equity markets and also been impinged on by the recent happenings. Eviews 7 package program has been used for arranging the data and conducting econometric analyses. The ADF test shows that the time series data used for the study are stationary and integrated of order one. The Johansen’s co-integration test reveals that there exists long run equilibrium relation between the selected variables. The Granger causality test in the vector error correction model suggests the evidence of feedback causality running between the six stock exchanges. However, there is no dependence of any of the individual exchange over the other. Keywords: Stock Market Integration; India; United States; Johansen’s Cointegration Analysis; Vector Error Correction Model; Variance Decomposition Analysis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:38731 Access Statistics for this paper More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC. |
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