Integration among Selected Asian Stock Markets

(Pages 669-679)

Prof. D.P. Warne1 and Dr. Suman2,*
1Senior Academic Analyst and Planner, Haryana State Higher Education Council, Panchkula-134112(Haryana, India) (Former Head and Dean, Faculty of Commerce and Management, Chaudhary Devi Lal University, Sirsa Haryana, India.
2Assistant Professor, Dept. of Commerce, Gandhi Memorial National College, Ambala Cantt. (Haryana)(India).
DOI: https://doi.org/10.55365/1923.x2023.21.71

Abstract:

The purpose of present study is to investigate the integration among selected Asian stock markets (India, Japan, H.K., China, South Korea, S. Lanka, Pakistan, Philippines, Taiwan and Indonesia). Daily closing prices of representative indices of selected stock exchanges of Asia for the period from 1 Jan. 2001 to 28th Feb. 2023 have been used for the purpose of analysis. Statistical tools namely descriptive statistics and correlation analysis and econometric techniques such as Augmented Dickey Fuller test, Granger Causality test and Johansen’s cointegration test have been used. The results of granger causality test found that both bidirectional and unidirectional causality occurs in most of the cases and also found long run equilibrium relationship as well as short run relationship among the selected stock markets of Asia. It concludes that investors cannot get abnormal gains by portfolio diversification in Asian stock markets under the study.


Keywords:

Stock market integration, portfolio diversification and Granger causality.


How to Cite:

Prof. D.P. Warne and Dr. Suman. Integration among Selected Asian Stock Markets. [ref]: vol.21.2023. available at: https://refpress.org/ref-vol21-a71/


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