Is the Indian Stock Market Integrated with the US and Japanese Markets?

Ahmad, Khan Masood; Ashraf, Shahid; Ahmed, Shahid

doi:10.1177/139156140500600202

Cited by 24 publications

(22 citation statements)

References 28 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Although there is no dearth of literature on financial integration, there are only a few studies related to emerging stock markets of Asia. Moreover, the limited literature on the emerging stock markets in Asia has studied the comovements between the stock markets using cointegration and vector autoregression framework (Ahmad, Ashraf, & Ahmed, 2005; Bhattacharya & Samanta, 2001; Chelley-Steeley, 2005; Chung & Ng, 1992; Eun & Shim, 1989; Hoque, 2007; Voronkova, 2004; Wong, Agrawal, & Du, 2005; Yang, Hsiao, Li, & Wang, 2006). The studies do not take into account the interactions in terms of volatility among the markets.…”

Section: Introductionmentioning

confidence: 99%

Return and Volatility Spillovers Among Asian Stock Markets

Joshi

2011

Sage Open

View full text Add to dashboard Cite

The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity–Baba, Engle, Kraft, and Kroner (GARCH-BEKK) model during February 2, 2007, to February 29, 2010. The author finds evidence of bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The implication of weak integration is that investors will benefit from reduction of diversifiable risk.

show abstract

Section: Introductionmentioning

confidence: 99%

Return and Volatility Spillovers Among Asian Stock Markets

Joshi

2011

Sage Open

View full text Add to dashboard Cite

show abstract

“…For capturing investors’ sentiments in the Indian equity market, two measures of investor sentiment have been used, namely investor sentiment index by American Association of Individual Investors’ (AAII) sentiment survey (Anusakumar et al, 2017; Oprea & Brad, 2014) and A/D Ratio (Brown & Cliff, 2001; Naik & Padhi, 2016; Wang et al, 2006). While the Indian equity market is co-integrated with the global equity markets (Ahmad et al, 2005; Kumar & Pandey, 2011; Mukherjee & Bose, 2008; Mukhopadhyay, 2009; Srivastava, 2007; Wheatley, 1988); it is assumed that the investor sentiments of global investors will also be co-integrated, and thus, we use AAII sentiment index as a proxy for Indian investors’ sentiments. In order to capture a net effect of the market perception, we use bull-bear spread of the investor sentiments.…”

Section: Methodsmentioning

confidence: 99%

Determinants of the Commodity Futures Market Performance: An Indian Perspective

Dubey

Shankar

2020

South Asia Economic Journal

View full text Add to dashboard Cite

This article aims to find out interlinkages between equity and commodity markets through the channel of investors’ outlook in the equity market. The proxies used for gauging perception of investors are investor sentiment index and Advance–Decline ratio. The study also incorporates the introduction of Commodity Transaction Tax (CTT) and occurrence of National Spot Exchange Limited (NSEL) scam in the year 2013. Additionally, returns in commodity market are examined to be a function of equity returns. The empirical findings suggest that the liquidity of commodity futures is inversely related to investor sentiments in equity market, and commodity returns are also negatively related to equity returns. Therefore, equity and commodity markets are inversely related, as liquidity in both the markets reacts to the investor sentiments; contrarily, commodity returns experience a significantly negative impact from equity returns. Additionally, the results also provide evidence that investor sentiment in equity possesses the ability to predict liquidity in the commodity futures market. The study also suggests that the CTT and NSEL scam have significantly and positively affected the liquidity of the Indian commodity market.

show abstract

“…Ahmad et al [1] explored the long term and short term causal relationship between NASDAQ, Nikkei, NSE and BSE stock exchanges using Johansen cointegration and Granger causality tests. It was found that there was the absence of long-term co-movement and relationship between the Indian and the US/ Japanese stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The interplay of these governs the actual investment volume. With the change in exchange rate, inflation rate, interest rates etc., the common investor becomes skeptical about the economic condition of the country and withholds his decisions regarding investments.Ahmad et al [1] explored the long term and short term causal relationship between NASDAQ, Nikkei, NSE and BSE stock exchanges using Johansen cointegration and Granger causality tests. It was found that there was the absence of long-term co-movement and relationship between the Indian and the US/ Japanese stock markets.An attempt to understand the concept of mutual funds was made by Gera [2] and he explained its types and benefits.…”

mentioning

confidence: 99%

Investigation of Dynamics of Macroeconomy and Commodity Mutual Funds: Empirical Evidence from India

Agarwal¹,

Khan²

2019

TEL

View full text Add to dashboard Cite

Researchers discuss the effect of macroeconomics on the stock market but usually, effects on portfolios like the mutual funds are not very popular. In this research, an attempt was made to study the same. A longitudinal, exploratory study was performed taking three year daily (net asset value) NAVs of 41 mutual funds belonging to two categories (gold funds and energy funds) and series of 9 macroeconomic variables and analysed using time series methods to judge and highlight their impact on the chosen funds. Different macroeconomic variables were found to affect the two categories of funds differently. Investment in energy funds increased whenever there was an increase in money supply. Interest rates had a positive impact on gold mutual fund net asset values. Own fund information was found to have the major impact when excited with one standard deviation shock. The causality between various mutual funds and macroeconomic variables was established. The study highlighted the need to understand the global scenario by both the investor and the mutual fund manager. Since the macroeconomic variables interplay and affect the mutual funds, their understanding would help in stitching more profitable schemes. Theoretical Economics Letters vestments abroad are less. The investments of FIIs and FDIs are also less as compared to the massive investments by Indian investors. Indian Rupee has been depreciating for quite some time now, but the efforts are on to stabilize this fall. Currency appreciation, depreciation, devaluation etc. all depend on the market forces i.e. supply and demand. If the currency depreciates it benefits the exporters and if it appreciates it benefits the importers. RBI can also control the exchange rates to some extent by the use of foreign currency reserves. Whenever there is some rumor in the market arousing suspicion for the performance of companies, or there is some corporate disclosure, or some movement in the global markets, the investors start buying or selling shares aggressively thus affecting the stock markets. Government policies, national and international events, natural calamities, wars etc. all influence the market movements, investments, exports, and imports. The investor perceptions change very quickly based on the experience of other people. Thus it is important to know what all factors will affect the performance of stocks and in our study the performance of mutual funds.In the above backdrop, we define the objectives of our research as follows:  To examine the effect of various macroeconomic factors on mutual funds' performance and their relational outcome.  To establish the causality between various macroeconomic variables and the select mutual funds. Literature ReviewFrom previous researches, it is evident that mutual funds' performance is affected by macroeconomic factors and investor sentiments. The interplay of these governs the actual investment volume. With the change in exchange rate, inflation rate, interest rates etc., the common investor becomes skeptical about the economi...

show abstract

Is the Indian Stock Market Integrated with the US and Japanese Markets?

Cited by 24 publications

References 28 publications

Return and Volatility Spillovers Among Asian Stock Markets

Return and Volatility Spillovers Among Asian Stock Markets

Determinants of the Commodity Futures Market Performance: An Indian Perspective

Investigation of Dynamics of Macroeconomy and Commodity Mutual Funds: Empirical Evidence from India

Contact Info

Product

Resources

About