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Financial Crisis and Stock Market Integration: An Analysis of Select Economies

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  • Aman Srivastava
  • Shikha Bhatia
  • Prashant Gupta

Abstract

The financial integration of global markets has been an important topic of research and the behaviour of emerging markets is receiving even greater interest after the recent developments in financial markets across the world. The purpose of this article is to investigate the integration of the developed market of the US and emerging Asian stock markets before and after recent global financial crisis from the international portfolio diversification perspective. The study applies the concept of cointegration and uses Morgan Stanley Composite Index (MSCI) data for analysis, and the period of investigation is January 1992 to April 2014. The global indices which are sampled in the study are large and mid cap MSCI of USA, Japan, Singapore, Hong Kong and India. The findings of this study are very interesting and suggest the presence of strong long-term integration but the absence of short-term integration of Indian stock markets with global markets.

Suggested Citation

  • Aman Srivastava & Shikha Bhatia & Prashant Gupta, 2015. "Financial Crisis and Stock Market Integration: An Analysis of Select Economies," Global Business Review, International Management Institute, vol. 16(6), pages 1127-1142, December.
    • Handle: RePEc:sae:globus:v:16:y:2015:i:6:p:1127-1142
    DOI: 10.1177/0972150915604519
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