STOCK MARKET INTERDEPENDENCE : EVIDENCE FROM INDIAN AND THE SINGAPORE STOCK MARKET
Journal Title: IJAR-Indian Journal of Applied Research - Year 2017, Vol 7, Issue 3
Abstract
In this research, the researcher is to explore the nature of the association and the possible existence of a short-run and long-run relationship between the stock-market indices of India and the Singapore. The idea behind this combination is to know how the stock markets of these two prominent countries are related to each other. The study employs monthly data from the stock indices, namely NIFTY (India) and SGX (Singapore) composite from September 2012 to December 2015. After testing for the normality of the data distribution and the stationarity of the time series data, this research discovered a strong correlation between the stock market indices of India and the Singapore. The research also attempts to discover the presence of unit root problem among these markets by applying the Augmented Dickey Fuller (ADF) test and Phillips-Perron (PP) test. The result suggests the absence of a non stationary and did not show evidence of random walk. However, the Indian stock market is seen to be a function of its own past lags and the past lags of the Singapore stock index.
Authors and Affiliations
Mrs. M. PUSHPALATHA, Dr. K. BALASUBRAMANI
Keywords
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