Time varying integration amongst the South Asian equity markets: An empirical study

Abstract

He has a teaching experience of about 27 years in the field of investment management, financial derivatives, corporate finance and financial econometrics.

Dynamics of Short and Long Term Debt Market Integration in the South Asian Economies

“…Gaussian family of copula model over Archimedean family which shows that given how dormant these markets are in this region, debt market association are normally distributed. Contrary to expectations that the goodness of fit test for debt market co-movements would again select the Clayton copula family similar to that for equity and currency asset class for the same region[53] [54], the nature of the markets per se gives ample evidence of the fact that the debt markets of the region are underdeveloped.…”

“…Results demonstrate that both short and long term debt markets of the South Asian region exhibit weak dependencies as indicated by low value of dependence parameters for majority of the country pairs. Trade integration between the countries, which is regarded as an important factor reinforcing cross-country linkages in capital markets[5], is poor among the South Asian countries as highlighted by[53];hence it can plausibly be the reason for low level of debt market linkages in the region. Low level of integration can also be ascribed to varied macroeconomic…”

Stock Market Linkages and Spillover Effects: An Empirical Analysis of Select Asian Markets

“…They identifyfiscal position, stock market performance, external position, governance and trade linkages as the key drivers of financial integration in the region. [37] examines the dynamic nature of equity market integration for the South Asian countries from January 2004 to March 2015 using Copula GARCH and Diebold and Yilmaz methods. They find very little or no integration among these markets.…”

Price discovery and pairs trading potentials: the case of metals markets

“…While, Salvadi Easwaran and Ramasundaram (2008) acknowledge the futures market are not much efficient in information processing, Iyer and Pillai (2010) supply the evidence of the differential impact of price integration during the expiration week for various commodities markets. Mukherjee (2011) revalidate the effects of futures trading on agricultural commodity prices and Sehgal et al (2018) convince that the commodity futures markets are quite efficient in price forecasting that will make a deep understanding of the role of the futures market in information dissemination. Dey and Maitra (2012) reveal unidirectional causality from futures to spot prices of Indian pepper market.…”