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- Title
Are Stock Markets Interdependent? An Empirical Study of Selected Market Indices.
- Authors
Pandya, Falguni H.
- Abstract
It has been acclaimed by various researchers that international diversification has reduced its charm as return-risk of the world markets are highly correlated due to information spillover effect and globalisation. This study examines inter linkages and interactions, if any, among the selected twelve indices of developed and emerging economies. The study applies descriptive statistics, correlation coefficients and Granger Causality test to check basic characteristics of each indices and their correlation and impact on each other. Granger Causality test for some indices shows that return of one market index had causal influence on return in other market index. The finding of this paper gives good insights to the international investors who are looking to reduce risk for a given level of return.
- Subjects
STOCK exchanges; PORTFOLIO diversification; EXTERNALITIES; GLOBALIZATION &; economic development; GRANGER causality test; INVESTORS; FINANCIAL markets; INTERNATIONAL economic integration
- Publication
International Journal of Financial Management, 2016, Vol 6, Issue 3, p57
- ISSN
2229-5682
- Publication type
Article
- DOI
10.21863/ijfm/2016.6.3.037