Research Journal of Applied Sciences

Year: 2015
Volume: 10
Issue: 5
Page No. 203 - 211

Long Run Dynamic Linkages Between Emerging Stock Markets in Asia and a Developed Stock Market (DJIA)

Authors : Kasilingam Lingaraja, Murugesan Selvam and Vinayagamoorthi Vasanth

Abstract: The dynamic linkages between emerging Asian stock market indices and developed stock market index are examined in this study. Asian stock markets attract huge inflows of portfolio investments which promote the economic development in the continent. The purpose of the study is to make a better-quality point with respect to Dynamic Linkages among the Emerging Stock Market returns in Asia and Developed Stock Market (USA-Dow Jones Industrial Average). This study was based on secondary daily time series data for a period of 12 years from 1st January, 2002 to 31st December, 2013. Statistical tools like descriptive statistics, unit root, correlation matrix and Granger Causality Test were employed. It was found that the emerging stock market indices of Asia, namely, S&P CNX Nifty (India), FTSE Bursa (Malaysia) and Philippine Stock Index (Philippines), recorded dynamic linkages with Dow Jones Industrial Average (USA) and the other five Asian emerging market indices (i.e., SSE Composite Index (China), Jakarta Composite Index (Indonesia), Korea Stock Exchange Index (Korea), TSEC Weighted Index (Taiwan) and SET Index (Thailand)) did not develop dynamic linkages with USA (DJIA), a developed country. The findings of this study would help the investors in making efficient investment decisions in the indices of emerging stock markets in Asia.

How to cite this article:

Kasilingam Lingaraja, Murugesan Selvam and Vinayagamoorthi Vasanth, 2015. Long Run Dynamic Linkages Between Emerging Stock Markets in Asia and a Developed Stock Market (DJIA). Research Journal of Applied Sciences, 10: 203-211.

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