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Integration Of Financial Markets

  • Mahesh Kumar Tambi

    (ICFAI Institute for Management Teachers)

Registered author(s):

    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.

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    File URL: http://econwpa.repec.org/eps/fin/papers/0504/0504014.pdf
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    Paper provided by EconWPA in its series Finance with number 0504014.

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    Length: 19 pages
    Date of creation: 15 Apr 2005
    Date of revision:
    Handle: RePEc:wpa:wuwpfi:0504014
    Note: Type of Document - pdf; pages: 19
    Contact details of provider: Web page: http://econwpa.repec.org

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    1. 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 267-89, May.
    2. 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, 04.
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