INTEGRATION AND DYNAMIC LINKAGES OF THE INDIAN STOCK MARKET WITH BRIC – AN EMPIRICAL STUDY

Journal Title: Asian Economic and Financial Review - Year 2014, Vol 4, Issue 6

Abstract

The interrelationships, interdependencies, integration, and dynamic linkages in between countries, regions including BRIC, country-region, and developing-developed stock markets had been thoroughly researched in the literature. This study aims at investigating above relationships both in short and long-run with special reference to India. It undertakes daily closing values of the BRIC indices from 1st January 2003 to 31st December 2012. This study has used Jarque-Bera test, and ADF and PP tests for judging the normality and stationarity of the data series. Based on the above results this study undertakes Johansen and Juselius’s and Engle and Granger’s cointegration tests, and pairwise Granger causality tests to investigate short and long-run interrelationships and integration of the BRIC stock markets. To make this study more reliable the Vector Autoregression in the form of Impulse response functions and Variance Decomposition analysis are also used. This study has found that they are non-normal and non-stationary at level, but integrated of order 1 [i.e., I(1)]. It has found only one cointegration, i.e., long-run relationships and also short-run bidirectional Granger relationships in between the Indian and Brazilian stock markets. Also, the Chinese stock market Granger causes the Brazilian stock market which in turn has a causal effect on the Russian stock market. Based on the above results, it is found that the Indian stock market has strong impact on Brazilian and Russian stock markets. The interdependencies (mainly on India and China) and dynamic linkages are also evident in the BRIC stock markets. Overall, this study has found that BRIC stock markets are the most favourable destination for global investors in the coming future and among the BRIC the Indian stock market has the dominance.

Authors and Affiliations

Ranjan Dasgupta| Associate Professor, MBA Department, Institute of Engineering & Management (IEM), Kolkata, India

Keywords

Related Articles

Short Term Relationships between European Electricity Markets

This paper investigates the short term relationship between the three major European electricity markets: France, Germany and Italy. Using a multivariate analysis, we study the impact of each electricity price changes in...

IMPACTS OF INTERNATIONAL OIL PRICE CHANGES ON VIETNAM’S ECONOMY - AN INPUT-OUTPUT STUDY

In this paper we investigate the impacts of international oil price changes on Vietnam?s economy by using an input-output analysis. The goals of our study are: 1. establishing a price sub-model and output sub-model in th...

Relationship between Working Capital, Operating Cash Flows and Operating Income: Empirical Evidences from Listed Firms in Tehran Stock Exchange

The main purpose of this research is to investigate the relationship between working capital, operating cash flow and operating income, in the companies that listed in Tehran Stock Exchange. Panel analysis is applied to...

FINANCIAL ANALYSIS OF WAQF REAL ESTATE REVENUES IN THE WEST BANK: 1994-2014

This paper made a financial analysis of the revenues of the Palestinian Ministry of Waqf ( endowment ) and specifically its real estate revenues in the West Bank. It was found that 61% of the waqf ministry?s total reven...

IMPROVEMENT OF FIRM PERFORMANCE BY ACHIEVING COMPETITIVE ADVANTAGES THROUGH VERTICAL INTEGRATION IN THE APPAREL INDUSTRY OF BANGLADESH

In the manufacturing step of the global apparel value chain (GAVC) the firms face fierce competition due to availability of low cost labor and hence the opportunity to make higher profit is a tough job. According to Gere...

Download PDF file
  • EP ID EP2039
  • DOI -
  • Views 470
  • Downloads 21

How To Cite

Ranjan Dasgupta (2014). INTEGRATION AND DYNAMIC LINKAGES OF THE INDIAN STOCK MARKET WITH BRIC – AN EMPIRICAL STUDY. Asian Economic and Financial Review, 4(6), 715-731. https://europub.co.uk/articles/-A-2039