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Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets

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  • Guidi, Francesco

Abstract

This paper aims to explore links between the Indian stock market and three developed Asian markets (i.e. Hong Kong, Japan and Singapore). The index prices are non-stationary so we used cointegration methodologies in order to explore interdependencies. Johansen methodologies reject the hypothesis of long-run relationships among all stock markets, while the Gregory-Hansen test rejects the hypothesis of no cointegration with structural breaks. Our results suggest that in the long-term the benefits for investing in India are limited. We further estimated the time-varying conditional correlation relationships among these markets We find that correlations rise dramatically during periods of crisis, while they return to their initial levels after those periods.

Suggested Citation

  • Guidi, Francesco, 2010. "Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets," MPRA Paper 19853, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:19853
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    More about this item

    Keywords

    Stock markets; cointegration; time-varying correlations.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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