Journal Press India^®

Author Details ( * ) denotes Corresponding author

Growth of a country is dependent upon growth of industries which, in turn, depends upon capital market conditions because this market is going to give an element which is most important for the success and failure of every industry i.e., funds.  The Australian Securities Exchange market is the largest exchange in the world with market capitalisation of more than A$ 1.5 trillion. It is the finest and most advanced and automated exchange of the world. India is also having sophisticated stock exchange which is National Stock Exchange. The present paper made an attempt to investigate financial integration between NSE and ASX stock market taking daily closing index of ASX and NSE. The descriptive statistics showed NSE market provides slightly higher returns than ASX market. The results of Granger causality show that ASX does not Ganger cause return at NSE and NSE also does not Granger cause return at ASX. The Johansen Co-integration test also speaks about no co-integration between them. Therefore, during the study we did not find a strong financial integration between both the nations’ stock market.

Keywords

Stock Market; Integration; Granger causality; Johansen co-integration test India; Australia

1. Babu, M., Hariharan, C. &, Srinivasan, S. (2016). Inter linkages of Asian Pacific stock markets: An empirical study.  Amity Journal of Finance, 1(1), 48-56.
2. Bekaert, G., &  Harvey, C.R. (1995). Time-varying world market integration. The Journal of Finance, 50(2), 403-444.
3. Bhanumurthy, K. V., & Singh, A. K. (2014). Short run performance of IPO Market in India. International Journal of Financial management, 2(4), 11-22.
4. Bhole, L.M., & Mahakud, J. (2009). Financial institution and markets (5^th ed.). New Delhi: Tata McGraw-Hill Publishing Company.
5. Chaudhuri, K. (1997). Cointegration, error correction and Granger causality: An application with Latin American stock markets. Applied Economic Letters, 4, 469-471.
6. Chittedi, K.R. (2009). Global stock market development and integration: With special reference to BRIC countries. International Review of Applied Financial Issues and Economics, 2(1): 3-21.
7. Choudhary, S. &, Siag, R. (2010). Stock market interlinkages among major developed equity markets: Critical literature review. International Journal of Applied Research, 1(4), 87-91.
8. Faff, R.W, & Mittoo, U. R. (2003). Capital market integration and industrial structure: The case of Australia, Canada and the United States. Journal of Economic Integration, 18(3), 433-465.
9. Korajczyk, R.A. (1996). A measure of stock market integration for developed and emerging markets. The World Bank Economic Review, 10(2), 267-289.
10. Longin, F. & Solnik, B. (1995). Is the correlation in international equity returns constant: 1960-1990? Journal of International Money and Finance 14, 3-26.
11. Marimuthu, M. (2010). The co-movements of the regional stock markets and some implications on risk diversification. The IUP Journal of Applied Economics, 9(2), 61-80.
12. Mukherjee, D. (2007).  Comparative analysis of Indian stock market with international markets. Great Lakes Herald, 1(1), 39-71.
13. Paramati, S. R., Gupta, R. &, Roca, E. (2015). Stock market interdependence between Australia and its trading partners: Does trade intensity matter? Griffith Business School (Discussion Papers), No. 2015-06.
14. Palamalai, S., M., K. &, Devkumar, C. (2013). Stock market linkages in emerging Asia-Pacific Markets. SAGE Open, 3(4), 1-15.
15. Sheu, H.J., & Liao C.H. (2011). Dynamics of stock market integration between the US and the BRIC. African Journal of Business Management, 5(9): 3674-3689.
16. Singh, A. K. &, Shrivastav, R. K. (2016). Study of inter-linkages and inter-dependence between stock market of India and Sri Lanka. Business Analyst, 37(2), 197-207.
17. Singh, G. &, Singh, P. (2010). Chinese and Indian stock market linkages with developed stock markets. Asian Journal of Finance & Accounting (Macrothink Institute), 2(2), 21-39.
18. Vieito, J.P., Bhanumurthy, K.V., & Tripathi, V. (2013). Market Efficiency in G-20 Countries: The Paradox of Financial Crisis. Annals of Financial Economics, 8(1), 1-27.