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- Title
Stock Market Integration with respect to Selected Stock Exchanges of the World.
- Authors
Nedunchezhian, V. R.; Sakthia, P.
- Abstract
This article attempts to examine the short and long-tyj,,run relationship between the selected stock markets of the world. The markets include New York Stock Exchange (NYSE), NASDAQ stock exchange, Japan exchange group, Shanghai stock exchange and European Stock Exchange based on market capitalization. It covers the monthly data of major index returns for the period 2009 to 2018. The research methodology tools include descriptive statistics, correlation, regression, Augmented Dickey-Fuller (ADF) test as well as Phillips-Perrson (PP) test for testing of stationarity and use of VAR (Value at Risk) techniques like Granger Causality test and Johansen Cointegration test in order to find the cointegration among major world stock exchanges. The results find that there is no long run cointegration among the selected stock markets and Granger Causality test states that there is a one way causality from NIKKEI and EURONEXT, SHANGHAI and NIKKEI, Whereas other stock exchanges shows no Granger Causality which shows the short run relationship among world major stock exchanges.
- Subjects
SHANGHAI (China); STOCK exchanges; NIKKEI 225; GRANGER causality test; VALUE at risk; FOREIGN exchange market; MARKET capitalization
- Publication
ITIHAS - The Journal of Indian Management, 2019, Vol 9, Issue 2, p31
- ISSN
2249-7803
- Publication type
Article