Integration Of Financial Markets
AbstractPaper 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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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0504014.
Length: 19 pages
Date of creation: 15 Apr 2005
Date of revision:
Note: Type of Document - pdf; pages: 19
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Financial markets Integration; Johansen test; VAR-ECM; Engle- Granger Two stage method; Developed nations; Developing Nations.;
Find related papers by JEL classification:
- G - Financial Economics
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- 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.
- 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.
- Korajczyk, Robert A., 1995. "A measure of stock market integration for developed and emerging markets," Policy Research Working Paper Series 1482, The World Bank.
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