Theoretical and Applied Economics
No. 4 / 2022 (633), Winter
Cointegration and stock market interdependence: Evidence from India and selected Asian and African stock markets
Christ College Autonomous, Irinjalakuda, India
LITTLEFLOWER P. J
Christ College Autonomous, Irinjalakuda, India
Abstract. This research aims to investigate the kind of link and potential long-term and short-term relationships between the stock market indexes of India and certain Asian and African nations. The stock market indexes of India, Indonesia, South Africa, Japan, Singapore, and China are studied using annual data from 2000 to 2021. There is a strong correlation between the stock markets. With a correlation coefficient ranging from 0.68 to 0.82, all nations have substantial correlations with the Indian stock market, with the exception of the Chinese stock market. Augmented Dickey-Fuller Test is used to determine whether the time series data is stationary or not, it is discovered that all values of the series are stationary at their level form. The Johansen Co-integration Approach is used to analyse the long-term linkages between the stock market indexes. The result demonstrated that the NSE Nifty and other key stock exchange indexes in Asian and African markets have a long-term relationship.
Contents
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The nexus between global oil prices and Islamic and conventional stock markets in the developed and developing countries
American bilateral trade with emerging economies and its influence on world economic recovery post Covid-19: Analysis through VECM
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A cross country analysis of components of economic growth through the growth accounting approach
Financial liberalization and economic growth: The case of Algeria
Financial inclusion in sub-Saharan Africa: Benchmarking against peer developing countries
Cointegration and stock market interdependence: Evidence from India and selected Asian and African stock markets
Government subsidies and income inequality in Algeria: An analytical and empirical study
An analysis of the effect of widespread unemployment on corruption
The Russia-Ukraine invasion toward increasing food security threat for population: An empirical study using T-GARCH model
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Portfolio construction and performance evaluation: Evidence from India and Iran
Cost structures, technology levels and collusion
The trend of the economic evolution in Romania in the context of crises