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Linkage Of Indian Equity Market With Developed Economies Equity Markets
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Book Synopsis Linkage of Indian Equity Market with Developed Economies Equity Markets by : Dr G. Kamal
Download or read book Linkage of Indian Equity Market with Developed Economies Equity Markets written by Dr G. Kamal and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the present situation the performance of stock markets is taken as a tool to evaluate the economic condition of a country. Indian financial markets are highly volatile in nature, due to highly volume of trade is done by foreign institutional investors and this coupled with dollar - rupee conversation rates. Due to these reasons, the present study is taken up to analyse the interdependency of NIFTY 50 Future (India), NIKKIE 225 (Japan), NASDAQ 100 USA), Dowjones 30 (USA), Shanghai (China) and Bovespa (Brazil). The ten years performance of the specified index is taken for analysis purpose i.e. from 2012-2022. The test of granger causality and correlation is used after the evaluation of non- normality and stationery data. The study reveals that high degree high degree of correlation between the Dowjones 30, NASDAQ and NIKKIE with that of NIFTY 50 and co-movement among the selected indices is observed through granger causality.
Book Synopsis Equity Markets in India by : Shveta Singh
Download or read book Equity Markets in India written by Shveta Singh and published by Springer. This book was released on 2016-05-06 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book presents a comprehensive view of the Indian equity markets over the past two decades (1994-2014). Equity markets constitute the most important segment of stock exchanges; in fact, the status of equity returns is, by and large, considered as a barometer of the state of a country’s economy. Returns earned by the equity investors on their funds invested in equity markets have become a decisive factor in the growth of such markets. In this context, the book discusses all the major aspects of equity returns and also conducts a dis-aggregative analysis based on underlying factors like age, size, ownership structure, industry affiliation/sector, among others, to explain the factors affecting returns and risk. While on the one hand the study ascertains the market rates of return (earned) on equities from the investors’ perspective (by including both the capital gains and the dividend income), it also shows how to compute the rates of returns on equities from the corporate perspective (that is, rate of return earned on equity funds). It further assesses the required/expected rate of return and examines the volatility in stock returns, with a focus on its behaviour during the period of the study. It deepens investors’ understanding of equity investment, helping them to make more-informed investments. While of interest to the investor community, this book also contributes significantly to the existing literature on market returns and is a valuable reference resource for academics, researchers and market participants, financial institutions and other intermediaries, regulators and policy makers.
Book Synopsis Foreign Investors and Global Linkages of Indian Equity Markets by : Sunil S. Poshakwale
Download or read book Foreign Investors and Global Linkages of Indian Equity Markets written by Sunil S. Poshakwale and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the influence of foreign institutional investments in explaining the short and long run relationship of the Indian equity market with the global equity markets. Using daily return series and equity portfolio investments made by foreign institutional investors, we find that the activity of foreign equity portfolio investors contains significant information in explaining the short and long term comovements of the Indian market with the global equity markets. The linkages have become pronounced particularly in the second half of the sample period. We conclude that the rapid growth in the flow of the foreign equity portfolio investments is leading to greater integration of the Indian equity market with the global markets which may have significant implications for asset pricing and international portfolio diversification benefits.
Book Synopsis A Study on the Inter-Market Relationship Between Indian Stock Markets and Global Stock Markets by : Vedashree N
Download or read book A Study on the Inter-Market Relationship Between Indian Stock Markets and Global Stock Markets written by Vedashree N and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper investigates the possibility of classifying all the developed economies' stock markets as having an influence on the Indian stock markets and vice versa. To examine the validity of the above statement, the difference between Indian stock markets and the stock markets of developed and developing economies is ascertained using OLS regression analysis. Further, for the Granger causality test and the impulse response test, five developed economies, viz., US, UK, Hong Kong, Japan and Spain, and five developing economies, viz., Sri Lanka, Pakistan, Kenya, China, and Indonesia, are selected. The selection was made based on the GDP rates, and the countries with the highest GDP were selected. The study is conducted using 10 years' data relating to the stock index prices of the selected countries. The study concludes that not all the developed economies have an impact on India, as Japan is found not to influence Indian stock markets, whereas all the developing economies' stock markets are found to be affected by India.
Book Synopsis Linkages Between India and Three ASEAN Stock Markets by : Giridhari Rajkumar
Download or read book Linkages Between India and Three ASEAN Stock Markets written by Giridhari Rajkumar and published by . This book was released on 2017 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: Today, an investor has an array of investment choices including the opportunities to approach overseas market which were unavailable a few decades ago. In literature, the integration of stock markets has been widely discussed and analyzed. This paper examines the relationship between Indian stock market and the three stock markets of the ASEAN countries viz. Indonesia, Malaysia, and Singapore. Using the daily closing prices of the indices over a period of ten years i.e. 2004 to 2014, the study examined the inter-linkages of Indian stock market with the three markets. The Granger-causality and co-integration test were used to check the causal relationship. The study found that there is a significant short-term unidirectional influenced from the Indian stock market to the three ASEAN countries stock markets while no long-term relation (no co-integration) are found between the Indian equity market with that of three ASEAN countries viz. Indonesia, Malaysia, and Singapore equity markets.
Book Synopsis Dynamic Connectedness of Asian Equity Markets by : Roberto Guimarães-Filho
Download or read book Dynamic Connectedness of Asian Equity Markets written by Roberto Guimarães-Filho and published by International Monetary Fund. This book was released on 2016-03-09 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding how markets are connected and shocks are transmitted is an important issue for policymakers and market participants. In this paper, we examine the connectedness of Asian equity markets within the region and vis-à-vis other major global markets. Using time-varying connectedness measures, we address the following questions: (1) How has connectedness in asset returns and volatilities changed over time? Do markets become more connected during crises periods? (2) Which markets are major sources and major recipients of shocks? Has there been a shift in terms of the net shock givers and shock receivers (directional connectedness over time)? Finally, we investigate the connectedness between China’s equity markets and other countries’ equity markets since August 2015 to highlight the growing importance of emerging market economies, particularly China, as sources of shocks.
Book Synopsis Correlation Dynamics of Equity Markets in Pakistan and India by : Inayat Ullah
Download or read book Correlation Dynamics of Equity Markets in Pakistan and India written by Inayat Ullah and published by . This book was released on 2015 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the dynamic relationship among stock markets returns using daily data from April 2003, to December, 2011 for five equity market indices of developing and developed countries. We apply Johnson's Co-Integration and Unit-Root Tests to identify the correlation and co-integration of these five equity markets during the global financial crisis 2008. The analysis reveals a dynamic correlation between the equity markets of developing countries (i.e Pakistan & India) and developed countries (Europe). However the co-integration is weak among these countries which imply less intense spillover effect of the financial crisis on developing countries.
Book Synopsis Stock Market Integration by : Pradeep Kumar Panda
Download or read book Stock Market Integration written by Pradeep Kumar Panda and published by . This book was released on 2015 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: India has much less exposure in the stock market integration literature until recently. Given India's fast-growing economic influence, research on the Indian stock market still seems to be inadequate and needs further investigation. The present study extends the existing stock market integration literature in the following ways. First, to provide further evidence, we examine the dynamic price linkages and interdependence between the stock market of India and that of the U.S., U.K., Japan, Singapore, Honk Kong, Malaysia, South Korea, Taiwan, and China using daily stock price indices data covering the period January 2, 2001 to November 28, 2008. Second, this research examines examine the long-term and short-term dynamic relationship among the stock prices using Johansen-Juselius cointegration, vector error correction model and Granger causality test. Additionally, the innovation accounting analysis is conducted to further investigate the interactions between the Indian markets and others world markets. And lastly, the results from this research provide implications regarding international diversification and market efficiency that are important for investors and fund managers who are interested in investing in these markets. From the study, we can conclude that, Indian market is having a cointegrating relationship with US financial market. But relationship with other financial markets is not well established.
Book Synopsis Equity Market Development in Developing Countries by : Bryan L. Sudweeks
Download or read book Equity Market Development in Developing Countries written by Bryan L. Sudweeks and published by Praeger. This book was released on 1989-05-15 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book argues that the development of equity market is a crucial in the construction of a viable financial system for many developing countries. Drawing upon the Emerging Markets Database of the International Finance Corporation (World Bank) and analyzing a wide range of previously unavailable data, Sudweeks identifies the factors conducive to equity market development, and why these markets may be of interest to international portfolio managers. The book is written in non-technical language and brings together for the first time a variety of different views and experience in equity market development from the private, public, and academic sectors. Following a general introduction, Sudweeks addresses the theory behind the development of equity markets. Separate chapters discuss the benefits and costs of equity markets in developing countries, the general conditions for equity market development, measures to develop the supply and demand of shares, and portfolio implications of investing in developing countries. Three case studies examine equity market development in Brazil, India, and Korea to determine which factors have had an impact on market development. Sudweeks concludes that equity market development must be part of an overall financial development program, that equity market development is a complex, but somewhat predictable activity, and that successful equity market development requires a long-term commitment on the part of governments and key players.
Book Synopsis Indian equity markets : measures of fundamental value by : Rajnish Mehra
Download or read book Indian equity markets : measures of fundamental value written by Rajnish Mehra and published by . This book was released on 2010 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we take a critical look at the relationship between the value of capital stock in the Indian corporate sector and the valuation of claims to this capital stock in capital markets. We address the question of whether Indian equity valuations over the period 1991- 2008 are consistent with three key market fundamentals: corporate capital stock, after tax corporate cash flows and net corporate debt. Our analysis extends the neo-classical growth model to include intangible capital and key features of the tax code and uses national account statistics to estimate the equilibrium value of corporate equity relative to GDP. Our framework can provide policy makers with a benchmark to identify deviations in equity markets relative to those implied by economic fundamentals. In addition, it facilitates a quantitative assessment of policy changes such as, for example, the effect of changes in dividend taxation on stock prices. We caution the reader that although our framework is well suited to examining secular movements in the value of equity relative to GDP, it is not suitable to address high frequency price movements in the stock market. In fact, we know of no framework that can satisfactorily account for these movements in terms of the underlying fundamentals. High frequency volatility remains a puzzle. Based on our analysis, we conclude that in a large measure, Indian equity markets were fairly priced over the 1991-2008 period.
Book Synopsis Dynamic Linkage Among Pakistan, Emerging and Developed Equity Market by : Faisal Khan
Download or read book Dynamic Linkage Among Pakistan, Emerging and Developed Equity Market written by Faisal Khan and published by . This book was released on 2019 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study evaluates the relationship of Pakistan Stock Exchange 1 (PSX) with progressing and well-established equity markets from 1997 to 2014. The Johansen's multivariate cointegration tests i.e. maximum eigenvalue & trace statistics proposes three co-integrating vectors at 5% critical values with the progressing and well-established equity markets. Furthermore, vector correction model implies that PSX is positive and statistically robust in relation to India at lag 2, while negative and statistically significant in relation to China at lag 1 and USA at lag 2. Though, the bivariate co-integration trace and maximal eigenvalues recommends that the PSX individually have no relationship with other markets. This study further recommends that PSX is extremely unpredictable stock market in between from 44% to -24%. It might be desired by risky investors.
Book Synopsis From Stock Market Volatility to Economic Development- A Study of the Indian Context by : George Zaad
Download or read book From Stock Market Volatility to Economic Development- A Study of the Indian Context written by George Zaad and published by . This book was released on 2023-02-28 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The role of stock market in the process of economic development has been well recognised today. thedeveloping countries have started liberalising their financial markets giving considerable importance to the development of stock markets. However, in India stock market remained a dormant part of the financial system until the initiation of the structural adjustment programme . The structural adjustment programme implemented in a gradualistic pattern consisted of comprehensive fiscal, financial and external sector reforms. As part of it capital market reforms were launched.The process of reforms has led to a pace of growth of the stock market unparalleled in the history of any country. Stock market in India has grown exponentially as measured in terms of investor participation, amount raised from the market, number of stock exchanges and other intermediaries, number of listed stocks, trading volumes and turnover on the stock exchanges. Along with these physical changes, there has also been a change in the perception about stock markets and its role in the country's economic development. The present study aims to explore the impact of stock market development on the macro economy of the country, specifically in the post-reform period. It attempts to test the extent to which stock market development affects long-term economic growth, corporate capital structure, and behaviour of retail equity investors. The study also explores the direction of causality between stock prices and major macro economic variables.
Book Synopsis Integration of Indian Stock Market with Developed Markets by : Rajni Kant Rajhans
Download or read book Integration of Indian Stock Market with Developed Markets written by Rajni Kant Rajhans and published by . This book was released on 2016 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Financial markets around the world have seen a high degree of volatility in last 5 years and hence, after recent financial crisis in USA, followed by debt crisis in Europe have forced academicians and portfolio managers to re-evaluate the degree of integration between different financial markets of interest. This paper examines the short-term dynamic integration of Indian stock market (BSE) with developed stock markets (S&P500 and FTSE100). Output suggests that return on BSE Granger Causes return on FTSE100 as well as return on BSE Granger Causes return on S&P500. Further, return on FTSE100 doesn't Ganger Cause return on BSE while return on S&P500 Granger Causes return on BSE. This indicates that there is a unidirectional relationship between BSE & FTSE100 while a bidirectional relationship between BSE & S&P500. This result contradicts with other prior research findings (Janak, Raj, Sarat Dhal, 2008), which suggested that Indian stock markets doesn't Granger Cause US, European and other developed markets.
Book Synopsis Equity Markets and Economic Development by : Thomas Lagoarde-Segot
Download or read book Equity Markets and Economic Development written by Thomas Lagoarde-Segot and published by . This book was released on 2009 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this paper is to review the transmission mechanisms uniting equity market development and economic growth in developing countries. We find that the theoretical impact of equity markets is ambiguous. At the domestic level, the allocation function of equity markets appears conditioned by the extent of informational efficiency. Turning to international linkages, theoretical models suggest that equity market integration lowers the cost of capital, increases financial vulnerability and has a mixed impact on capital flows. Taking this into account, two conclusions arise. First, equity market development policies should focus on reaching and maintaining adequate levels of institutional transparency. Second, the optimal degree of international integration depends on the society's preference between international accessibility and domestic stability.
Book Synopsis Information Leadership and Volatility Spillover Across the Countries by : Dr. Kedar Nath Mukherjee
Download or read book Information Leadership and Volatility Spillover Across the Countries written by Dr. Kedar Nath Mukherjee and published by . This book was released on 2006 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Return and volatility spillover among Indian stock market with that of 12 other developed and emerging Asian countries over a period from November 1995 to May 2005 is studied. Daily opening and closing prices of all the major equity indices from the sample countries are examined by applying the GARCH model [Engle (1982) and Bollerslev (1986)] to explore the possibility of information leadership and volatility spillover across the national markets. Apart from different degrees of correlations, both in terms of return and squared return series, among Indian stock market with that of other Asian countries, the contemporaneous intraday return spillover among India and almost all the sample countries are found to be positive and significant. Based on the comparison among the spillover effects in both intraday and overnight return of the domestic market, it will be clear that the foreign market return spillover affect the Indian open-to-close return much greater than its close-to-open return. But in case of volatility spillover from the foreign markets to India, most of the new and pertinent information would be revealed in the opening prices of NIFTY and/or SENSEX, thereby having a stronger effect on the close-to-open (overnight) return in Indian equity market.
Book Synopsis An Alternative Perspective on the Bull Run in Indian Markets by : Ram Kumar Kakani
Download or read book An Alternative Perspective on the Bull Run in Indian Markets written by Ram Kumar Kakani and published by . This book was released on 2007 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper probes into the recent bull run of the Indian equity markets. Using capital market data and facts it is found that the recent equity markets bull run is a shallow one, especially during the last two years. It is observed that this shallowness is due to - (a) Index rally being driven by only a few big stocks with large number of underperformers; and (b) Increasing narrowness of even the broad equity markets. In fact, in the last two years, more than 82% of the gains in BSE Sensitive Index (India's barometer for equity markets) can be explained by a mere seven stocks. The results are no different with even NSE Nifty Index. While the foreign institutional investors own investment norms make the funds get concentrated to a few but the problem gets aggravated due to the role being played by the institutional intermediaries (especially the stock exchanges by promoting Famp;O), government, analysts, and investment bankers in the same and the wide spread inter-linkage among them. This paper explores the above issues and other links which are increasing the shallowness of the Indian equity markets. The above issues do aggravate the chances of systemic errors and failures leading to one side movements in the market.
Book Synopsis Characterizing Co-Movements Between Indian and Emerging Asian Equity Markets Through Wavelet Multi-Scale Analysis by : Aasif M.
Download or read book Characterizing Co-Movements Between Indian and Emerging Asian Equity Markets Through Wavelet Multi-Scale Analysis written by Aasif M. and published by . This book was released on 2016 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multi-scale representations are effective in characterising the time-frequency characteristics of financial return series. They have the capability to reveal the properties not evident with typical time domain analysis. Given the aforesaid, this study derives crucial insights from multi scale analysis to investigate the comovements between Indian and emerging Asian equity markets using wavelet correlation and wavelet coherence measures. It is reported that the Indian equity market is strongly integrated with Asian equity markets at lower frequency scales and relatively less blended at higher frequencies. On the other hand the results from cross correlations suggest that the lead-lag relationship becomes substantial as we turn to lower frequency scales and finally, wavelet coherence demonstrates that this correlation eventually grows strong in the interim of the crises period at lower frequency scales. Overall the findings are relevant and have strong policy and practical implications.
