Global equity markets: a study of cointegration.
Journal of Academy of Business and Economics, January, 2003 by Nath, Golaka C.; Patel, Bhavesh
ABSTRACT
The interlinkage global equity markets has been widely studied covering developed markets and some of the emerging markets. This study has focused on Indian equity market's interlinkage with some of the leading emerging markets and developed markets. We have used the Johansen's cointegration approach and Granger's causality to analyze the interlinkages. We have tried to use the VAR framework to test the interlinkages. We did not find any long-term equilibrium relationship among these markets. But we found that the existence of significant short-term relationship among the emerging markets excluding India. We found some amount of causality from the global markets to Indian market. The study covers the period from July 1990 to May 2003.
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