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THE INTEGRATION OF INDIAN AND SAARC STOCK MARKETS - AN EMPIRICAL STUDY

This study has attempted to find out relationships between BSE SENSEX and four SAARC Indices, namely, KSE 100, DSE 20, CSE Milanka and NEPSE indices both in the long-run and short-run, by using suitable statistical methods and Monthly indices data from April, 2007 to March, 2012. ADF and PP tests re... Full description

Journal Title: Indian Journal of Commerce and Management Studies Jan 2014, Vol.5(1), pp.9-17
Main Author: Dasgupta, Ranjan
Format: Electronic Article Electronic Article
Language: English
Subjects:
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ID: ISSN: 22490310
Link: http://search.proquest.com/docview/1511107406/?pq-origsite=primo
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title: THE INTEGRATION OF INDIAN AND SAARC STOCK MARKETS - AN EMPIRICAL STUDY
format: Article
creator:
  • Dasgupta, Ranjan
subjects:
  • South Asia
  • Studies
  • Cointegration Analysis
  • Causality
  • Economic Growth
  • Securities Markets
  • Integration
  • Economic Conditions & Forecasts
  • Experiment/Theoretical Treatment
  • Asia & the Pacific
  • Investment Analysis & Personal Finance
ispartof: Indian Journal of Commerce and Management Studies, Jan 2014, Vol.5(1), pp.9-17
description: This study has attempted to find out relationships between BSE SENSEX and four SAARC Indices, namely, KSE 100, DSE 20, CSE Milanka and NEPSE indices both in the long-run and short-run, by using suitable statistical methods and Monthly indices data from April, 2007 to March, 2012. ADF and PP tests results showed that all variables have contained a unit root and are integrated of order one. Johansen and Juselius's cointegration test has pointed out at least one cointegration vector and long-run relationships between BSE SENSEX with some other markets. The Granger causality test has also found few short-run unilateral and bilateral causal relationships between BSE SENSEX with the SAARC indices.. [PUBLICATION ]
language: eng
source: © ProQuest LLC All rights reserved
identifier: ISSN: 22490310
fulltext: fulltext
issn:
  • 22490310
  • 2249-0310
url: Link


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descriptionThis study has attempted to find out relationships between BSE SENSEX and four SAARC Indices, namely, KSE 100, DSE 20, CSE Milanka and NEPSE indices both in the long-run and short-run, by using suitable statistical methods and Monthly indices data from April, 2007 to March, 2012. ADF and PP tests results showed that all variables have contained a unit root and are integrated of order one. Johansen and Juselius's cointegration test has pointed out at least one cointegration vector and long-run relationships between BSE SENSEX with some other markets. The Granger causality test has also found few short-run unilateral and bilateral causal relationships between BSE SENSEX with the SAARC indices.. [PUBLICATION ]
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abstractThis study has attempted to find out relationships between BSE SENSEX and four SAARC Indices, namely, KSE 100, DSE 20, CSE Milanka and NEPSE indices both in the long-run and short-run, by using suitable statistical methods and Monthly indices data from April, 2007 to March, 2012. ADF and PP tests results showed that all variables have contained a unit root and are integrated of order one. Johansen and Juselius's cointegration test has pointed out at least one cointegration vector and long-run relationships between BSE SENSEX with some other markets. The Granger causality test has also found few short-run unilateral and bilateral causal relationships between BSE SENSEX with the SAARC indices.. [PUBLICATION ABSTRACT]
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