Correlation among Indian financial markets: does unit root matter?

Faegh, A. and Rajashekar, H. (2014) Correlation among Indian financial markets: does unit root matter? Research Journal of Recent Sciences, 3 (6). pp. 50-58. ISSN 2277-2502

[img] Text (Full Text)
Com_2014_Faegh.pdf - Published Version
Restricted to Registered users only

Download (172kB) | Request a copy
Official URL:


In this research, the relationship among the four major financial markets of India including the currency, commodity, bond and stock markets is investigated during the period 2000-2012.Time series data are used at both original and first difference levels to calculate the correlation coefficient between variables under study. Validity of correlation coefficient will be evaluated through comparison of coefficient of determination and Durbin-Watson statistic. In order to identify the stationarity of data, the Augmented Dickey-Fuller test is used. Finally, the correlation coefficient between the variables is analyzed and compared before, after and during the year 2008 as the financial crisis year. The main findings of this study are: i. in the investigation of the relationship between variables based on the original level of data, the spurious regression has been observed. Therefore in order to obtain the real correlation coefficients, the first difference level of data is used. ii. On the whole, the considerable correlation coefficient does not exist between the variables. Though, the absolute of average for the correlation coefficients was relatively higher for the year 2008 compared to the period before and after that.

Item Type: Article
Uncontrolled Keywords: Financial Market and Financial Crisis and Spurious Regression and Stock and Bond and Commodity and And Currency Correlation.
Subjects: G Commerce > Commerce
Divisions: Department of > Commerce
Depositing User: Users 19 not found.
Date Deposited: 21 Oct 2019 10:38
Last Modified: 20 Jun 2022 07:26

Actions (login required)

View Item View Item