Stock Markets Integration: Examining Dynamic Linkages between Select Asian and US Markets

Vision - The Journal of Business Perspective, 13 (1) 19-30, 2009

24 Pages Posted: 6 Dec 2015

See all articles by Saif Siddiqui

Saif Siddiqui

Centre for Management Studies, Jamia Millia Islamia (Central University), New Delhi, India

Date Written: 2009

Abstract

In the background of globalization, economic assimilation and integration among countries and their financial markets is evident. The interdependency among major world stock markets has also increased. This paper examines the relationships between selected Asian and US stock markets. It covers the period, 19/10/1999 to 25/04/2008, using daily closing data of twelve stock markets to investigate. The research methodology employed includes testing for stationarity, implementation of the Granger Causality test and Johansen Cointegration test.

Stock markets under study are found to be integrated. The degree of correlation between all the markets, but Japan, varies between moderate to high. The findings also prove that stock markets returns are not normally distributed. The time series understudy also show non-stationary patterns. Furthermore, it provided that no stock market is playing a very dominant role in influencing other markets. The US influence is not as noticeable as in the earlier researches. Comparing this study with previous ones, It can be said that stock market integration in relation with US markets is time varying.

The results of the present paper are useful for investors in management of their existing international portfolios.

Keywords: Stock Market Integration, Unit Root Test, Cointegration and Granger Causality

JEL Classification: G10, G15

Suggested Citation

Siddiqui, Saif, Stock Markets Integration: Examining Dynamic Linkages between Select Asian and US Markets (2009). Vision - The Journal of Business Perspective, 13 (1) 19-30, 2009, Available at SSRN: https://ssrn.com/abstract=2699400

Saif Siddiqui (Contact Author)

Centre for Management Studies, Jamia Millia Islamia (Central University), New Delhi, India ( email )

New Delhi
New Delhi, Delhi 110025
India

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