Management Dynamics

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Probing Relations between S&P CNX Nifty, BSE 30 and Shanghai Composite


Affiliations
1 Centre for Management Studies, Jamia Millia Islamia (Central University), New Delhi - 110025, India
2 Institute of Management Studies, Noida - 201303, India
 

The study is a continuation of research on the issue of interdependence among the stock markets and indices. If the stock markets of different countries move together, then investing in different national stock markets would not generate any long-term gain to portfolio diversification. The study examines the interdependence between Nifty, BSE 30 and Shanghai Composite.

Present research considers a key issue that may interest investors, portfolio managers, corporate executives and policy makers. The study is based on secondary data, which covers the recent period using daily closing figure from 01/06/2004 to 01/06/2009.

Interdependency among global stock markets is studied primarily through Descriptive Statistics, Correlation of Returns, Unit Root and the Granger Causality. It can be concluded that Indian indexes are not integrated with SC. the results of the present paper would be useful for individual and institutional investors for the management of their assets portfolios and policy makers especially in Chinese markets.


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  • Probing Relations between S&P CNX Nifty, BSE 30 and Shanghai Composite

Abstract Views: 232  |  PDF Views: 155

Authors

Saif Siddiqui
Centre for Management Studies, Jamia Millia Islamia (Central University), New Delhi - 110025, India
Neha Seth
Institute of Management Studies, Noida - 201303, India

Abstract


The study is a continuation of research on the issue of interdependence among the stock markets and indices. If the stock markets of different countries move together, then investing in different national stock markets would not generate any long-term gain to portfolio diversification. The study examines the interdependence between Nifty, BSE 30 and Shanghai Composite.

Present research considers a key issue that may interest investors, portfolio managers, corporate executives and policy makers. The study is based on secondary data, which covers the recent period using daily closing figure from 01/06/2004 to 01/06/2009.

Interdependency among global stock markets is studied primarily through Descriptive Statistics, Correlation of Returns, Unit Root and the Granger Causality. It can be concluded that Indian indexes are not integrated with SC. the results of the present paper would be useful for individual and institutional investors for the management of their assets portfolios and policy makers especially in Chinese markets.