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International Equity Market Integration

Author

Listed:
  • Saumitra N. Bhaduri

    (Saumitra N. Bhaduri is Professor at the Madras School of Economics.)

  • Ashwin Andrew Samuel

    (Ashwin Andrew Samuel is at the Madras School of Economics.)

Abstract

The Indian stock market is one of the earliest in Asia, being in operation since 1875, but remained largely outside the global integration process until the late 1980s. In this context, international equity market integration is a topic that has been extensively researched, but still holds much interest from an academic and financial standpoint. The paper, using a Logistic Smooth Transition Regression method, estimates not only the extent of correlation between returns but also the pace of integration. The results suggest that there does exist a very small degree of correlation between the Indian markets and other world markets. However, the pace of the integration is insignificant in most of the cases.

Suggested Citation

  • Saumitra N. Bhaduri & Ashwin Andrew Samuel, 2009. "International Equity Market Integration," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(1), pages 45-66, April.
    • Handle: RePEc:sae:emffin:v:8:y:2009:i:1:p:45-66
    DOI: 10.1177/097265270900800103
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    References listed on IDEAS

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    Cited by:

    1. Lumengo Bonga-Bonga & Tebogo Maake, 2021. "The Relationship between Carry Trade and Asset Markets in South Africa," JRFM, MDPI, vol. 14(7), pages 1-13, July.
    2. Vardhan, Harsh & Sinha, Pankaj, 2014. "Influence of Foreign Institutional Investments (FIIs) on the Indian stock market," MPRA Paper 53611, University Library of Munich, Germany.
    3. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 4(1), pages 84-122, April.
    4. Harsh Vardhan & Pankaj Sinha, 2016. "Influence of Foreign Institutional Investments (FIIs) on the Indian Stock Market: An Insight by VAR Models," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 15(1), pages 49-83, April.

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