000			01939nam a2200217 4500
999			_c50905 _d50905
003			OSt
005			20190114125635.0
008			190114b ||||| |||| 00| 0 eng d
100			_aNautiyal, Neeraj _932890
245			_aA VECM Approach to Explain Dynamic Alliance Between Stock Markets
300			_a49-64 p
520			_aThis paper attempted to examine the extent of cross - country returns and comovement between the stock markets of six developed benchmark countries (USA, UK, Japan, Germany, France, and Hong Kong) and five emerging benchmark countries (Russia, India, China, Malaysia, and Korea). The study analyzed time series data between the periods from April 2006 to March 2016. This paper used time-series vector error correction model approach of stationarity test and cointegration test to establish long-run and short-run relationship between emerging and developed economies. To assess the stability of the relationship (response to shock) amongst the variables over time, forecast error variance decomposition was used. The empirical results suggested that short-run causality primarily ran from the Hong Kong market to India and from India to Malaysia, Germany to Korea, and also from France to China. The findings of the study showed that the speed of adjustment in the vector error correction model was significant but relatively slow. The variance decomposition analysis confirmed the short and long-run stock market linkage between the sample countries. Therefore, it was inferred that stock market integration and causation between different markets and indices had changed.
653			_aStock Market Linkage,
653			_aIntegration,
653			_aFinancial System,
653			_aDiversification,
653			_aDeveloping And Developed Markets,
700			_aKavidayal,P. C. _932891
773	0		_029384 _973058 _aGILANI,S. _o5559618 _tINDIAN JOURNAL OF FINANCE _x0973-8711
942			_2ddc _cJA-ARTICLE