| SMART JOURNAL OF BUSINESS MANAGEMENT STUDIES |
VOL. 5 |
NO. 1 |
PAPER 9 |
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AN EMPIRICAL ANALYSIS OF DYNAMIC LINKAGES: A CASE OF INDIA, JAPAN, SINGAPORE AND US STOCK MARKETS |
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| B. J. Queensly Jeyanthi* and M. Albert William SJ** |
| * SG. Lecturer in Commerce, Jayaraj Annapackiam College for Women, Periakulam, Tamil Nadu, India |
| ** Vice Principal, Loyola College, Chennai, Tamil Nadu, India |
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| In this
study, we conducted a detailed large sample analysis of the dynamic
relationship between India, U.S., Japanese, and Singapore stock markets
on the time series data from April 2000 to March 2008 using Unit Root
Tests, Cross – Correlation Test , EG ADF and Higher – Order
Cointegration Test. The unit root test result suggests that these
markets are weak form efficient. But the EG –ADF test result reveals
that the Indian stock market is co- integrated with Singapore. But India
is isolated from USA and Japan markets. |
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