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Cointegration of East Asian, Indian and European Markets– A Study of Impact on Indian Bourses

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  • J K SACHDEVA,
  • Jyoti Nair

Abstract

:With huge investments flowing from all over the world to India, FIIs (Foreign Institutional Investors) and DIIs (Domestic Institutional Investors), retail investors, investment advisors, brokers and portfolio consultants keep abreast with latest research on fundamentals and technicals. Interdependence between stock markets is an important aspect of international portfolio management. In this paper, impact of Asian Indices like Hang Sang, KOSPI, SET SIT and TSEC on opening prices of Indian index Nifty was studied with various tools like Johansen Cointegration Test, VAR Granger Causality and Pairwise Granger Causality test. Similarly impact of European indices like CAC, FTSE, Euronext, DAX and SMI on Nifty closing prices were studied with same tools. The 3 months, 6 months, one year and 5 year data were subjected to experiment whether series are cointegrated. It was observed that series are cointegrated at very short-term level but for longer period they are not cointegrated, however, they influence others. VAR Granger Causality Test and Pairwise Granger Causality reveal that Hang Sang, KOSPI, SIT and TW (TSEC of Taiwan) impact Nifty Open prices. Nifty influences only TW. KOSPI influences Hang Sang and SET. SET influences KOSPI and TW. Similarly, VAR Granger Causality Test and Pairwise Granger Causality also reveal Nifty closing prices influence CAC, DAX, FTSE

Suggested Citation

  • J K SACHDEVA, & Jyoti Nair, 2018. "Cointegration of East Asian, Indian and European Markets– A Study of Impact on Indian Bourses," Journal of Global Economy, Research Centre for Social Sciences,Mumbai, India, vol. 14(1), pages 3-27, March.
  • Handle: RePEc:jge:journl:1411
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    More about this item

    Keywords

    Investment; Nift; Asian markets; European markets; Stcoks; Cointegration;
    All these keywords.

    JEL classification:

    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • I2 - Health, Education, and Welfare - - Education

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