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Integration Of Financial Markets

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Author Info
Mahesh Kumar Tambi (ICFAI Institute for Management Teachers)
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://129.3.20.41/eps/fin/papers/0504/0504014.pdf
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Publisher Info
Paper provided by EconWPA in its series Finance with number 0504014.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 19 pages
Date of creation: 15 Apr 2005
Date of revision:
Handle: RePEc:wpa:wuwpfi:0504014

Note: Type of Document - pdf; pages: 19
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Web page: http://129.3.20.41

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Related research
Keywords: 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

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Rose, Andrew-K, 2004. "Equity Integration in Japan: An Application of a New Method," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(2), pages 1-17, May. [Downloadable!]
  2. Korajczyk, Robert A, 1996. "A Measure of Stock Market Integration for Developed and Emerging Markets," World Bank Economic Review, Oxford University Press, vol. 10(2), pages 267-89, May.
    Other versions:
  3. 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. [Downloadable!] (restricted)
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This page was last updated on 2009-11-17.

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