Chinese and Indian Stock Market Linkages with Developed Stock Markets
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
This work is licensed under a Creative Commons Attribution 3.0 License.
To make sure that you can receive messages from us, please add the 'macrothink.org' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.
Copyright © Macrothink Institute ISSN 1946-052X