 Stock market co-integration and error-correction of global capital markets: a study of ADR issuing Asian countriesAditya Keshari and Amit Gautam International Journal of Indian Culture and Business Management, 2024, vol. 31, issue 1, 1-15 Abstract: The study examines the significance of cross-listing assets as an opportunity to diversify portfolios for retail investors from developing nations as a result of the global financial markets' partial integration. Recently, the global stock markets experienced extreme volatility due to the COVID-19 pandemic. The importance of assessing the extent of interconnectedness across major global stock markets is emphasised by this fact. Investors are inclined to find the most exogenous stock market with the sole objective of maximising wealth through portfolio diversification. The Johansen co-integration test is being used to determine the degree of interdependence between the stock markets of selected countries. Furthermore, the VEC model is applied for examining the effect of one market on another and also shows the speed of adjustment among the stock market indices. The US market shows the better speed of adjustment and has statistical significance throughout the sample period. Keywords: Asian stock market; variance decomposition analysis; VECM; impulse response function; Johansen co-integration test. (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:ids:ijicbm:v:31:y:2024:i:1:p:1-15 Access Statistics for this article More articles in International Journal of Indian Culture and Business Management from Inderscience Enterprises Ltd |
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