印度股票市场与部分世界市场的共同整合和因果关系
Farman Ali1, Pradeep Suri1, Tarunpreet Kaur1,2
1Department of Management, Uttaranchal University, Dehradun, Uttarakhand, 248001, India.
F1000Research
|August 23, 2024
概括
印度的股票市场与全球市场,特别是美国市场高度集成. 这种整合为投资者提供了多元化机会,并为价格发现的监管政策提供了信息.
科学领域:
- 金融经济学 金融经济学
- 计量经济学 计量经济学
- 国际金融 国际金融
背景情况:
- 印度股票市场与发达国家和新兴经济体的整合.
- 国家证券交易所 (NSE) 指数与全球基准指数的作用.
- 外国投资者对印度市场的兴趣在改革后和与亚洲和美国市场的相关性.
研究的目的:
- 探索印度和其他国家之间股票市场整合的趋势和驱动因素.
- 分析印度股票市场与国际指数之间的关系.
- 评估资本市场改革对外国投资的影响.
主要方法:
- 利用金融计量经济学模型,包括增强的迪基-富勒,单位根,相关性和约翰森协同整合测试.
- 研究了全球主要经济体和股票市场指数之间的跨国协同整合.
- 应用矢量错误纠正模型 (VECM) 来分析市场动态.
主要成果:
- 经验证据强烈支持印度和国际金融市场之间的重大整合.
- 印度市场 (NSE) 与美国市场 (NASDAQ) 具有高度的协同整合.
- 市场波动性增加表明存在全球传染效应.
结论:
- 调查结果显示,全球投资者有大量的投资和投资组合多元化机会.
- 该研究为监管机构提供了洞察力,以加强市场价格发现政策.
- 了解市场一体化对于管理金融传染和优化投资策略至关重要.
关键词:
全球市场 全球市场投资者 投资者 投资者约翰森的共同整合测试股票市场 股票市场 股票市场单位根检测 单位根检测VECM VECM VECM VECM VECM VECM VECM VECM VECM VECM VECM VECM VECM VECM VECM波动性 波动性 波动性更多相关视频
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