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Empirical Examination of Stock Market Volatility : An International Comparison


Affiliations
1 Associate Professor, Chandigarh University, Gharuan, Mohali - 140 413, Punjab, India
2 Assistant Professor, Ajay Kumar Garg Institute of Management, Ghaziabad - 201 009, Uttar Pradesh, India

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The purpose of this paper was to investigate the market integration among the four selected BRIC economies namely Brazil, Russia, India, and China from January 2008 to August 2015. Johansen cointegration test was used to study the long term relationship between the four stock markets. Further, to ascertain the short term association, vector error correction model and impulse response function were used. The results showed that there existed one long run cointegrating relationship between the four stock markets under study. Although there was no long run causality among the four stock markets, but there existed short term causality running from Russian, Chinese, and Brazilan stock markets to the Indian stock market.

Keywords

BRIC, Johansen Cointegration, Vector Error Correction Model, Impulse Response

G1, G15, N25

Paper Submission Date : May 1, 2017 ; Paper sent back for Revision : November 15, 2017 ; Paper Acceptance Date : December 21, 2017.

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  • Empirical Examination of Stock Market Volatility : An International Comparison

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Authors

Shalini Aggarwal
Associate Professor, Chandigarh University, Gharuan, Mohali - 140 413, Punjab, India
Simmi Khurana
Assistant Professor, Ajay Kumar Garg Institute of Management, Ghaziabad - 201 009, Uttar Pradesh, India

Abstract


The purpose of this paper was to investigate the market integration among the four selected BRIC economies namely Brazil, Russia, India, and China from January 2008 to August 2015. Johansen cointegration test was used to study the long term relationship between the four stock markets. Further, to ascertain the short term association, vector error correction model and impulse response function were used. The results showed that there existed one long run cointegrating relationship between the four stock markets under study. Although there was no long run causality among the four stock markets, but there existed short term causality running from Russian, Chinese, and Brazilan stock markets to the Indian stock market.

Keywords


BRIC, Johansen Cointegration, Vector Error Correction Model, Impulse Response

G1, G15, N25

Paper Submission Date : May 1, 2017 ; Paper sent back for Revision : November 15, 2017 ; Paper Acceptance Date : December 21, 2017.




DOI: https://doi.org/10.17010/ijf%2F2018%2Fv12i1%2F120741