Stock Market Integration

R.K. Kaundal and Sanjeet Sharma

Foreign Trade Review, 2010, vol. 45, issue 3, 3-18

Abstract: In the recent years, globalization, economic assimilation and integration among countries and their financial markets have increased interdependency among Asian stock markets. This increased interdependency among the Asian stock markets may have impact on the global investors for their assets allocation decision and on the economic policies of economies for ensuring economic stability. Hence, there is a need to study the extent of integration between the Indian stock market and Asian stock markets, which is the primary objective of this study. The study uses monthly stock price indices of the Asian countries, namely India, Japan, Singapore, Hong Kong and Taiwan. This study covers the period from April 1994 to December 2009. The results obtained from the analysis by employing a wide range of statistical tools: Engle-Granger Test, Johansen Cointegration Test and Granger Causality Test. The results of the study indicate that Indian stock market is not integrated with the Asian stock markets considered in our study. It also implies that international investors can get portfolio diversification benefits in Indian market since Indian stock market is not affected by the market trends in Asian countries.

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0015732515100301 (text/html)

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:sae:fortra:v:45:y:2010:i:3:p:3-18

DOI: 10.1177/0015732515100301

Access Statistics for this article

More articles in Foreign Trade Review
Bibliographic data for series maintained by SAGE Publications ().