Author

  • P. Sakthivel

    • Gokhale Institute of Politics and Economics Pune, India
    • India

  • B. Kamaiah

    • University of Hyderabad, Hyderabad, India
    • India

Abstract

The present study attempts to investigate the dynamic interlinkages among the Asian, European and US stock markets. Daily closing prices of twelve stock indices relating to the period from 3rd January 1998 to 30th June 2010 and are used in the analysis. Both short and long run relationships are examined through Johansen-Juselius co integration and Vector Error Correction models (VECM) and Impulse Response Function (IRF). The results of the co integration test show strong co integration relationship across international stock prices indices. The results of the Vector Error Correction model reveal that the US and some of European and Asian Stock markets lead the Indian stock market. Finally, the evidence suggests that the impact of the US market on Indian stock returns is much higher than other way round.

Keywords

References

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How to Cite

Sakthivel, P., & Kamaiah, B. (2012). Interlinkages among Asian, European and the U.S Stock Markets: A Multivariate Cointegration Analysis. Journal of Economics and Behavioral Studies, 4(3), 129-141. https://doi.org/10.22610/jebs.v4i3.310

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Research Paper

Published in

Vol. 4 No. 3 (2012) Global Markets, Human Capital & Consumer Behaviour View issue contents

Published

2012-03-15

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