Faegh Ah and Rajashekar, H. (2014) The Indian financial markets integration during the financial crisis. Asian Journal of Research in Banking and Finance, 4 (6). ISSN 2249-7323
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This study empirically investigates the long-run equilibrium among Stock, Bond, Commodity, and Currency markets in India based on weekly data for the most recent period 20002012. To obtain more detailed results and particularly the assessment of effects of the global financial crisis of 2008, the period was divided to three sub-periods comprising 20002007, 2008, and 20092012. The research methodology used for the purpose includes testing the stationary nature of data with the Dickey Fuller test, optimal lag selection by using VAR Lag Order Selection Criterion, and co-integration test according to Johansen approach. This study suggests that while there has been no integration during the whole period of 20002012, there have been a slight, a strong and no integrations during 20002007, 2008, and 20092012 sub-periods respectively. The finding in this study is consistent with the phenomenon of flight to quality which implies that the economic turmoil leads to an increase in the relationship among economic variables.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Financial Market and Financial Crisis and Cointegration and Stock and Bond and Commodity and Currency Integration |
| Subjects: | G Commerce > Commerce |
| Divisions: | Department of > Commerce |
| Depositing User: | Users 19 not found. |
| Date Deposited: | 17 Oct 2019 09:56 |
| Last Modified: | 17 Oct 2019 09:56 |
| URI: | http://eprints.uni-mysore.ac.in/id/eprint/9255 |
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