Direction of Causality among Japan, China and Indian Stock Markets
Journal Title: Scholars Journal of Economics, Business and Management - Year 2016, Vol 3, Issue 9
Abstract
This research work investigates the relationship in terms of direction of causality among Japan, China and Indian stock market based on daily time series data between January 4, 2010 to September 7, 2016 using pairwise correlation and pairwise Granger causality tests. Correlation statistics indicated that three stock markets associated positively. Granger causality test results demonstrated that there existed a unidirectional causality between Indian stock market and Japanese stock market as well as Chinese stock market and Japanese stock market. Keywords:Stock markets, India, China, Japan, correlation, causality test
Authors and Affiliations
Somnath Mukhuti, Amalendu Bhunia
Keywords
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