How far India has gone down the road towards financial integration with US since subprime crisis? An Econometric Analysis
AbstractThe present paper aims to study the causal relationship between the US and Indian equity markets using Johansen’s cointegration and variance decomposition analyses. Since the opening up of the economy and subsequent economic and political reforms, India has made tremendous strides in the global equity markets and also been impinged on by the recent happenings. Eviews 7 package program has been used for arranging the data and conducting econometric analyses. The ADF test shows that the time series data used for the study are stationary and integrated of order one. The Johansen’s co-integration test reveals that there exists long run equilibrium relation between the selected variables. The Granger causality test in the vector error correction model suggests the evidence of feedback causality running between the six stock exchanges. However, there is no dependence of any of the individual exchange over the other.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 38731.
Date of creation: 29 Apr 2012
Date of revision:
Stock Market Integration; India; United States; Johansen’s Cointegration Analysis; Vector Error Correction Model; Variance Decomposition Analysis;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-22 (All new papers)
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