Guidi, Francesco (2010): Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets|
|Keywords:||Stock markets; cointegration; time-varying correlations.|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
|Depositing User:||Francesco Guidi|
|Date Deposited:||08. Jan 2010 18:17|
|Last Modified:||15. Feb 2013 12:34|
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