Year: 2011
Type: article
Abstract: This study examines the linkages of the two leading emerging markets i.e. Chinese and Indian market with developed markets. Using daily data from January 2000 to December 2009, the stock market indices of China, India, United States, United Kingdom, Japan and Hong Kong are examined. The linkages are modelled using the correlation test, Granger causality and the co- integration test applying error correction model. It was found that Chinese and Indian markets are both correlated with all four major markets. Both markets have at least had a unilateral causality with all four developed markets. This suggests that the benefits of any short-term diversification, or speculative activities, are limited between them. Keywords: Market Linkages, Co-integration, China JEL Classifications : F3, F36, F37
Author: Gurcharan Singh Pritam Singh
Institution: University of Buckingham
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W2019783402