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

Listed author(s):
  • Guidi, Francesco

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.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 19853.

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Date of creation: Jan 2010
Handle: RePEc:pra:mprapa:19853
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