Returns and Volatility Linkages of Nifty 50 with Major World Indices

Download or read book Returns and Volatility Linkages of Nifty 50 with Major World Indices written by Md Mobashshir Hussain and published by . This book was released on 2019 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study examines the linkages between equity indices of India, US, UK, China, Hong Kong, Korea and Japan. Cointegration analysis of Johansen-Juselius with daily data from January 2008 to December 2018 suggests that there is one cointegrating vector as per the Trace statistic. Also, results of pairwise cointegration test indicate that India is cointegrated with US and China. Results of granger causality reveal that past returns of stock index in one country influence future returns in other countries, except for India-US, India-UK, Hong Kong-India and Japan-India. Results of granger causality on conditional variance series show there is two-way volatility spillovers between the markets of India-US and India-Japan. Also, there is unidirectional volatility spillover from India to Hong Kong. The findings of the present study have useful implications for economist, money managers and investors.