Details

Autor(en) / Beteiligte

• Seungwook Bahng

Titel

THE RESPONSE OF THE INDIAN STOCK MARKET TO THE MOVEMENT OF ASIA'S EMERGING MARKETS:FROM ISOLATION TOWARD INTEGRATION?

Ist Teil von

• Global Economic Review, 2003, 32(2), , pp.43-58

Ort / Verlag

동서문제연구원

Erscheinungsjahr

2003

Link zum Volltext

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• This paper investigates the existence of the inter-dependence between the Indian stock market and Asia's emerging markets since 1990. This study analyzes whether the MSCI Asian Index has significantly influenced the Bombay Stock Exchange Index before, during, and after the Asian financial crisis. To address this issue, we first use a rolling correlation, and conduct uni-directional and bi-directional causality tests using the Granger causality test. We then examine the impulse response functions and variance decompositions of forecast errors based on a VAR (vector auto-regression) model. These tests provide evidence that the influence of the Asian market on the Indian market has increased during and after the Asian financial crisis. We could interpret these results as evidence that the Indian market has been moving toward integration with other Asian markets. KCI Citation Count: 0