Article Metrics

Article abstract view : 117 times
PDF full text: 116 times

Stock Market Integration among Asian Economies in a Case of India, China and Japan

Pritpal Singh Bhullar*

Abstract


Globalization has opened the door for global investors to avoid the saturation of investment opportunities in the domestic market. Latest technological advancement, accessibility to financial and global information, liberalization and globalization put the global market into a new investment framework. The present paper aims to examine the level of cointegration between three big Asian economic powers India, China and Japan. Twenty-years data has been analyzed by applying Johansen Cointegration, Vector Error Correction Model, and other econometric statistical tests in E-Views. The findings suggest a long-run relationship between India (BSE) and Japan Stock indices (Nikkie), but no such integration find of these two stock indices with China Stock Exchange (Shanghai).

Keywords:
Asian Economies, Stock Indices, VECM, Johansen Cointegration Test, E-Views

*University Business School, Maharaja Ranjit Singh Punjab Technical University, Dabwali Rd, Lal Singh Nagar, Bathinda, Punjab 151001, India.

 https://doi.org/10.21632/irjbs.12.2.137-143


Full Text:

PDF

References


Ameer, R. (2006). Integration of the South and East Asian stock markets: how long to go?.

Journal of Financial Reporting and Accounting,1(1), 61-102.

Arouri, M.E.H. & Nguyen, D.K. (2010). Time varying characteristics of cross market

linkages with empirical application to Gulf stock markets. Managerial Finance,3(1). 67-70.

Baker M, Foley C & Wurgler J (2009) Multinationals as Arbitraguers: the effect of stock

market valuation on foreign direct investment. Review of financial studies, 22(1) 337-369

Batareddy, M., Gopalaswamy, A.K. & Huang, C.H. (2012). The study of long-run

relationships: a study on Asian emerging and developed stock markets (Japan and US). International Journal of Emerging Markets, 7(1), 31-48.

Hasan, A., Saleem, H.M.N. & Abdullah, M.S. (2008). Long run relationship between an

emerging equity market and equity markets of the developed world an empirical analysisof Karachi stock exchange. International Research Journal of Finance and Economics, 16 (1), 52-62.

Ibrahim, M.H. (2005). International linkages of stock prices: the case of Indonesia.

Management Research News, 28(4), 93-115

Karagoz, K. & Ergun, S. (2010). Stock market integration among Balkan countries.

MIBES Transactions, 4(1), 49-59.

Marashdeh, H.A. & Shrestha, M.B. (2010). Stock market integration in the GCC

Countries. International Research Journal of Finance and Economics, 37, 102-114

Morales, L. and Callaghan, B.A. (2010), “The global financial crisis: world market or

regional contagion effects?”, paper presented at MFA (Mid-West Finance Association), Annual Meeting, Las Vegas, NV, 24-27 February

Rajwani, S. and Mukherjee (2013). Is the Indian stock market cointegrated with other Asian

markets? Management Research Review, 36(9), 899-918

Saha, M. and Bhunia, A. (2012). Financial market integration of South Asian countries.

Developing Country Studies, 2(1), 45-52.

S. A. Ampomah (2011). Stock market integration in Africa. Managerial Finance 37(3)

Sharma, G. (2010). Are the global stock markets inter-linked? Evidence from the literature”,

Global Journal of Management and Business Research, 10(1), 29-40

Siddiqui, S. & Seth, N. (2010). Probing relations between S&P CNX Nifty, BSE 30 and

Shanghai Composite. Management Dynamics, 10(1),71-79.

Tripathi, V. & Sethi, S. (2010). Integration of Indian stock market with major global stock

Markets. Asian Journal of Business and Accounting, 3(1), 117-134.

Yi, Z. & Tan, S.L. (2009). An empirical analysis of stock markets integration: comparison

study of Singapore and Malaysia. The Singapore Economic Review, 54(2), 217-232.






Copyright (c) 2019 INTERNATIONAL RESEARCH JOURNAL OF BUSINESS STUDIES

International Research Journal of Business Studies indexed in:

Image result for university of Saskatchewan small logo