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Integration Of Financial Markets

Author

Listed:
  • 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.

Suggested Citation

  • Mahesh Kumar Tambi, 2005. "Integration Of Financial Markets," Finance 0504014, University Library of Munich, Germany.
  • Handle: RePEc:wpa:wuwpfi:0504014
    Note: Type of Document - pdf; pages: 19
    as

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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0504/0504014.pdf
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    References listed on IDEAS

    as
    1. 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, April.
    2. Korajczyk, Robert A, 1996. "A Measure of Stock Market Integration for Developed and Emerging Markets," World Bank Economic Review, World Bank Group, vol. 10(2), pages 267-289, May.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Financial markets Integration; Johansen test; VAR-ECM; Engle- Granger Two stage method; Developed nations; Developing Nations.;

    JEL classification:

    • G - Financial Economics

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