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A Study of Granger Causality in Asian Stock Markets

Author

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  • Mihir Dash

    (Alliance University, India)

Abstract

This study investigates the inter-linkages between the Indian stock market and the Chinese, Japanese, and South-East Asian stock markets, during 2000-2007, prior to the global financial crisis, using the augmented Dickey-Fuller test to test the returns series for stationarity, and the Granger causality test to test for causality of returns between the markets. The results of the study suggest that the Indian stock market is closely integrated with the South-East Asian markets and the Japanese market, and that the Chinese market is influenced by the Indian market, but in turn does not seem to exert influence on any of the markets. The results, thus, indicate integration of the Indian and Japanese markets with the South-East Asian markets, and relative isolation of the Chinese market.

Suggested Citation

  • Mihir Dash, 2015. "A Study of Granger Causality in Asian Stock Markets," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(3), pages 145-150.
    • Handle: RePEc:ods:journl:v:4:y:2015:i:3:p:145-150
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    File URL: http://www.jami.org.ua/Papers/JAMI_4_3_145-150.pdf
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    References listed on IDEAS

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    1. Suk-Joong Kim, 2018. "Information Leadership in the Advanced Asia-Pacific Stock Markets: Return, Volatility and Volume Information Spillovers from the US and Japan," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 9, pages 271-304, World Scientific Publishing Co. Pte. Ltd..
    2. Kar‐yiu Wong & Richard Y. K. Ho, 2002. "The Asian Crisis, 1997," Review of International Economics, Wiley Blackwell, vol. 10(1), pages 1-1, February.
    3. Ólan T. Henry & Nilss Olekalns & Rajith W.D. Lakshman, 2007. "Identifying Interdependencies Between South‐East Asian Stock Markets: A Non‐Linear Approach," Australian Economic Papers, Wiley Blackwell, vol. 46(2), pages 122-135, June.
    4. Latifa Fatnassi & Ezzeddine Abaoub, 2012. "Analysis Of The Cross-Country Predictability Via The Study Of Cointegration: The Case Of Six Asian Emerging Markets," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 1(4), pages 376-387.
    5. Mihir Dash, 2014. "Granger Causality and the Capital Asset Pricing Model," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 3(2), pages 68-73.
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    Cited by:

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