The Study on Co-Movement of Selected Stock Markets

Released on by Dr. Ashwin G. Modi
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  • The Study on Co-Movement of Selected Stock Markets Book Detail

  • Author : Dr. Ashwin G. Modi
  • Release Date : 2015
  • Publisher :
  • Genre :
  • Pages : 16
  • ISBN 13 :
  • File Size : 89,89 MB
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The Study on Co-Movement of Selected Stock Markets by Dr. Ashwin G. Modi PDF Summary

Book Description: The twenty-first century may well be the time when the balance of power shifts to Brazil, Russia, India and China, nations collectively referred to as BRICs economies. These nations constitute the shape of the future, giving rise to a new world economy. Leaders in BRICs are frenetically laying the groundwork for decades of new growth. Foreign Investors are investing considerably in the emerging economies with mainly two objectives; (1) To enhance the portfolio growth and; (2) To reduce portfolio risk through efficient international portfolio diversification. This paper studies various alternative techniques for recognizing co-movement resulting among the selected developed stock markets and the emerging stock markets of the world. The leading indices of the selected stock markets are considered as proxies of the markets. Using the daily Index data from July 1, 1997 to June 30, 2008, authors examine the stock market indices of India (SENSEX), Hong Kong (HANGSENG), Mexico (MXX), Russia (RTS), Brazil (BVSP), UK (FTSE-100) and US (DJIA and NASDAQ). Co-integration technique has been employed to study the short term and long-term relationships between the market pairs. The paper explores the issues like contributions of national market volatilities, external world market volatility, and some other factors influencing the correlation between stock market returns.

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