IDEAS home Printed from https://ideas.repec.org/a/eme/mrrpps/v36y2013i9p899-918.html
   My bibliography  Save this article

Is the Indian stock market cointegrated with other Asian markets?

Author

Listed:
  • Shegorika Rajwani
  • Jaydeep Mukherjee

Abstract

Purpose - The purpose of this paper is to investigate the linkages between Indian stock markets with other Asian stock markets namely, Hong Kong, Indonesia, Japan, South Korea, Malaysia, Taiwan and China. Such a study is particularly important because if the level of integration among the markets is high, then investing in different markets will not generate long term gains from portfolio diversification or reduction in risk. Design/methodology/approach - The paper applies unit root test in the presence of endogenous structural breaks that uses a Lagrange Multiplier (LM) test statistics and the Gregory and Hansen cointegration technique that allows for endogenous determined structural break in the relationship have been applied. Findings - The results suggest that the Indian stock markets are not integrated with any of the Asian markets either individually or collectively, and conclude that Indian markets are not sensitive to the dynamics in these markets in the long run. Originality/value - Since the level of integration has been studied keeping in mind the different economical phases like recession and boom, the study has incorporated the possibility of existence of structural breaks in the individual stock return series as well as in their relationship. The lack of evidence on interlinkage of Indian stock markets with other Asian markets suggests that the trend of Indian markets is not in sync with other markets, possibly due to difference in macroeconomic structure. Since the level of integration has been studied keeping in mind the different economical phases like recession and boom, the study has incorporated the possibility of existence of structural breaks in the individual stock return series as well as in their relationship. The lack of evidence on interlinkage of Indian stock markets with other Asian markets suggest that the trend of Indian markets is not in sync with other markets, possibly due to difference in macroeconomic structure.

Suggested Citation

  • Shegorika Rajwani & Jaydeep Mukherjee, 2013. "Is the Indian stock market cointegrated with other Asian markets?," Management Research Review, Emerald Group Publishing Limited, vol. 36(9), pages 899-918, August.
    • Handle: RePEc:eme:mrrpps:v:36:y:2013:i:9:p:899-918
    DOI: 10.1108/MRR-06-2012-0141
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/MRR-06-2012-0141/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/MRR-06-2012-0141/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/MRR-06-2012-0141?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ritesh Patel, 2021. "ASEAN-5 and Indian Financial Market Linkages: Evidence from Cointegration and Factor Analysis," Capital Markets Review, Malaysian Finance Association, vol. 29(1), pages 41-58.
    2. Ahmad, Nasir & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Does inter-region portfolio diversification pay more than the international diversification?," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 26-35.
    3. Rahim, Adam Mohamed & Masih, Mansur, 2018. "Comovement of stock markets of Singapore and its major Asian trading partners," MPRA Paper 110319, University Library of Munich, Germany.
    4. Wang, Qizhen & Zhu, Yingming & Yang, Liansheng & Mul, Remco A.H., 2017. "Coupling detrended fluctuation analysis of Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 337-350.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:mrrpps:v:36:y:2013:i:9:p:899-918. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.