| Title: |
Cointegration of Indian Stock Market with Global Stock Markets: An Empirical Analysis Applying Vector Error Correction Model. |
| Authors: |
Sachdeva, Timcy1 timcy9@gmail.com; Bhullar, Pritpal Singh2 bhullar_pritpal36@yahoo.co.in; Gupta, Pradeep Kumar3 gupta.pk1977@gmail.com |
| Source: |
SCMS Journal of Indian Management. Jul-Sep2021, Vol. 18 Issue 3, p5-15. 11p. |
| Subject Terms: |
*FINANCIAL risk; *STOCK exchanges; *GRANGER causality test; *COINTEGRATION; *EXPORT marketing; *STOCK price indexes; VECTOR analysis |
| Geographic Terms: |
INDONESIA; BRAZIL |
| Abstract: |
The purpose of this paper is to study the cointegration of the Indian stock market with the global stock markets, including developed countries (USA, Germany, Japan) and developing countries (Brazil, China, Indonesia) economies' stock markets over the period from January 2000 to June 2020. The extent of cointegration is determined by applying the vector error correction model (VECM), Johansen cointegration test, and Granger Causality Test. The empirical results of the study reveal the existence of cointegration between the Indian Stock Market and the US Stock market. The findings of the study indicate that investors can develop diversified portfolio strategies to hedge their risk. The results showed that Indian investors can protect their investments from financial risk by investing in developing economies like Indonesia and Brazil as they are non-cointegrated and have no long-run relationship with the Indian stock market. Similar results are obtained from Japanese and German Stock indices that show the existence of hedging opportunities for Indian investors. [ABSTRACT FROM AUTHOR] |
| : |
Copyright of SCMS Journal of Indian Management is the property of SCMS Journal of Indian Management and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) |
| Database: |
Business Source Premier |