IDEAS home Printed from https://ideas.repec.org/a/ids/ijecbr/v22y2021i1p75-91.html
   My bibliography  Save this article

Analysing interlinkages of Indian stock market with other emerging Asian markets

Author

Listed:
  • Himanshu Goel
  • Narinder Pal Singh

Abstract

This study aims to analyse the international linkage of Bombay Stock Exchange (BSE) Sensex with the fastest emerging markets namely China, Korea, and Taiwan. The results of the Johansen cointegration test reveal that there exist no significant cointegration among the selected markets. Granger causality test reveals unidirectional causality running from India to China and bidirectional causality between India and Korea. However, no significant short run causality was found between India and Taiwan. The results of forecasted error variance decomposition (FEVD) and impulse response function (IRF) reveal that the Indian and Chinese stock markets are majorly impacted by their own shocks whereas the stock markets of Korea and Taiwan are significantly affected by shocks in BSE as well. The results of this study may prove significant for retail investors, portfolio managers, foreign institutional investors and high networth individuals in designing the optimal portfolio.

Suggested Citation

  • Himanshu Goel & Narinder Pal Singh, 2021. "Analysing interlinkages of Indian stock market with other emerging Asian markets," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 22(1), pages 75-91.
  • Handle: RePEc:ids:ijecbr:v:22:y:2021:i:1:p:75-91
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=116291
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

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

    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:ids:ijecbr:v:22:y:2021:i:1:p:75-91. 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: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=310 .

    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.