Interlinkages between Equity Markets of Select A5 Countries and US

Dr. Anjala Kalsie

doi:https://doi.org/10.17492/focus.v1i2.2485

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Interlinkages between Equity Markets of Select A5 Countries and US

Anjala Kalsie

Vol 1, Issue 2, July - December 2014 | Pages: 55-69 | Research Paper

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https://doi.org/10.17492/focus.v1i2.2485

Published Online: December 21, 2014

Author Details ( * ) denotes Corresponding author

1. * Anjala Kalsie, Assistant Professor, Faculty of Management Studies, University of Delhi, Delhi, India (kalsieanjala@gmail.com)

The objective of this paper is to assess inter-linkages between the equity markets of India, Indonesia, Thailand, Malaysia and Korea with US. The inter-linkages is assessed using co-integration approach. The analysis covers three periods i.e. pre-crisis period, during crisis and post-crisis period. The secondary objective is to analyse the direction of causality between US S& P 500 and the stock indices of India, Thailand, Malaysia, Indonesia and Korea respectively. The paper found that there are inter-linkages between the equity markets of India, Indonesia, Thailand, Malaysia and Korea with US. During the crises returns of S&P 500 are caused by returns of SENSEX, JKSE AND KOSPI.

Keywords

Inter-linkages, Equity Markets, Unit Root Test, Correlation, Co-integration, Causality

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