Return Linkages Among Returns from Stock Markets
Author | : Gagan Deep Sharma |
Publisher | : |
Total Pages | : 12 |
Release | : 2015 |
ISBN-10 | : OCLC:1306374885 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Return Linkages Among Returns from Stock Markets written by Gagan Deep Sharma and published by . This book was released on 2015 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies inter-linkages among returns from stock markets in Japan, USA, England, India and China. Daily closing levels of benchmark indices in five countries are taken for period 6th January 2003 to 21st September 2013. Augmented Dickey-Fuller unit-root test is applied to check stationary nature of the series; Regression analysis, Granger's causality model, Vector Auto Regression model, and Variance Decomposition Analysis to find out the linkages between returns. The study leads to two major findings. First, that there exist opportunities for diversification for the investors, and second is the domestic factors (macro economic variables) that influence stock markets.