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A Study of Granger Causality in Asian Stock Markets

Author

Listed:
  • Mihir Dash

    (Alliance University, India)

Abstract

This study investigates the inter-linkages between the Indian stock market and the Chinese, Japanese, and South-East Asian stock markets, during 2000-2007, prior to the global financial crisis, using the augmented Dickey-Fuller test to test the returns series for stationarity, and the Granger causality test to test for causality of returns between the markets. The results of the study suggest that the Indian stock market is closely integrated with the South-East Asian markets and the Japanese market, and that the Chinese market is influenced by the Indian market, but in turn does not seem to exert influence on any of the markets. The results, thus, indicate integration of the Indian and Japanese markets with the South-East Asian markets, and relative isolation of the Chinese market.

Suggested Citation

  • Mihir Dash, 2015. "A Study of Granger Causality in Asian Stock Markets," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(3), pages 145-150.
  • Handle: RePEc:ods:journl:v:4:y:2015:i:3:p:145-150
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    File URL: http://www.jami.org.ua/Papers/JAMI_4_3_145-150.pdf
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    References listed on IDEAS

    as
    1. Kim, Suk-Joong, 2005. "Information leadership in the advanced Asia-Pacific stock markets: Return, volatility and volume information spillovers from the US and Japan," Journal of the Japanese and International Economies, Elsevier, vol. 19(3), pages 338-365, September.
    2. Ólan T. Henry, 2007. "Identifying Interdependencies Between South-East Asian Stock Markets: A Non-Linear Approach," Australian Economic Papers, Wiley Blackwell, vol. 46(2), pages 122-135, June.
    3. Latifa Fatnassi & Ezzeddine Abaoub, 2012. "Analysis Of The Cross-Country Predictability Via The Study Of Cointegration: The Case Of Six Asian Emerging Markets," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 1(4), pages 376-387.
    4. Mihir Dash, 2014. "Granger Causality and the Capital Asset Pricing Model," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 3(2), pages 68-73.
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    Citations

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    Cited by:

    1. Mallika Kumar & M. M. Sulphey, 2015. "Investment Option in Gold – A Study on Price Discovery of Gold Futures in India," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(4), pages 231-238, November.
    2. Mihir Dash, 2017. "A Study of Granger Causality in Latin American Stock Markets," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 6(2), pages 82-88, May.
    3. Nibu Raj Abraham, 2015. "Underpricing in the Malaysian IPO Market During 2009-2014," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(4), pages 194-200, November.
    4. T. Mohanasundaram & P. Karthikeyan, 2017. "Decisive Economic and Stock Market Indicators on Foreign Institutional Investments: Evidence from India," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 6(1), pages 43-57, February.
    5. Yu Zhang & Xiaosong Zheng, 2016. "A Study of Herd Behavior Based on the Chinese Stock Market," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 5(2), pages 131-135, May.

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