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Integration Of Financial Markets

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Author Info

  • Mahesh Kumar Tambi

    (ICFAI Institute for Management Teachers)

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    Abstract

    Paper analyzes the degree of integration of Indian stock market with other developing and developed nations’ stock markets using various techniques of cointegration like Engle Granger two stage method, Johansen cointegration method, VAR-ECM, Principle-Component Analysis and Impulse-response analysis.

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    File URL: http://128.118.178.162/eps/fin/papers/0504/0504014.pdf
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    Bibliographic Info

    Paper provided by EconWPA in its series Finance with number 0504014.

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    Length: 19 pages
    Date of creation: 15 Apr 2005
    Date of revision:
    Handle: RePEc:wpa:wuwpfi:0504014

    Note: Type of Document - pdf; pages: 19
    Contact details of provider:
    Web page: http://128.118.178.162

    Related research

    Keywords: Financial markets Integration; Johansen test; VAR-ECM; Engle- Granger Two stage method; Developed nations; Developing Nations.;

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    1. Georges de Ménil, 1999. "Real capital market integration in the EU: How far has it gone? What will the effect of the euro be?," Economic Policy, CEPR & CES & MSH, vol. 14(28), pages 165-201, 04.
    2. Korajczyk, Robert A, 1996. "A Measure of Stock Market Integration for Developed and Emerging Markets," World Bank Economic Review, World Bank Group, vol. 10(2), pages 267-89, May.
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