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A test of Integration between Emerging and Developed Nation’s Stock Markets

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Author Info
Mahesh Kumar Tambi (IIMT, Hyderabad- India)
Abstract

This paper makes an attempt to examine the financial integration between emerging countries and developed countries. Stock market data for six countries USA, CANADA, UK, India, Malaysia and Singapore have been used for the purpose of the study. Cointegration was tested on the basis of various alternative techniques. Results contradict existing literatures and suggest that although developments at international level significantly influence national stock markets, but they are driven mainly by the developments at domestic level. Study also indicates that world equity market is segmented; where developed nations and emerging markets have made separate grouping. In case of India we find that it is positively correlated with all the markets, but this relationship is not highly positive.

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Paper provided by EconWPA in its series International Finance with number 0506004.

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Length: 18 pages
Date of creation: 08 Jun 2005
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Handle: RePEc:wpa:wuwpif:0506004

Note: Type of Document - pdf; pages: 18
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Related research
Keywords: Financial markets Integration; Johansen test; VAR-ECM; Engle- Granger Two stage method; Developed nations; Developing Nations.;

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Find related papers by JEL classification:
F3 - International Economics - - International Finance
F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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  12. P N Smith & S Sorensen & M R Wickens, . "An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors," Discussion Papers 03/14, Department of Economics, University of York. [Downloadable!]
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