Open AccessAre Asian Markets and Developed Markets Interlinked? An Application of Causality Approaches
Author(s) -
Anirudh Pradhan
Publication year - 2021
Publication title -
international journal for research in applied science and engineering technology
Language(s) - English
Resource type - Journals
ISSN - 2321-9653
DOI - 10.22214/ijraset.2021.38381
Subject(s) - econometrics , economics , granger causality , stock market , exchange rate , unit root test , stock (firearms) , augmented dickey–fuller test , stock exchange , inflation (cosmology) , causality (physics) , unit root , time series , mathematics , statistics , monetary economics , cointegration , geography , context (archaeology) , physics , archaeology , finance , quantum mechanics , theoretical physics
This paper examined the relationship between the stock market returns for three Asian countries and three developed countries. It Investigate two way causality among exchange rate, inflation rate, GDP, with stock returns of the sample countries. This paper examines long term and short term co movement of stock indices of stock market. To check the stationary this study apply unit root test, OLS test and found that data is stationary. This study used ADF test with and without intercept till data become intercept till the data become stationary. The data series is stationary at i(1) and 2 difference and intercept level as presented in above tables. The P value of ADF test in India GDP value is 0.0006, India exchange rate is 0.0002, and Indian stock return is 0.0001 which are less than 5%. It means data series is stationary. Bangladesh exchange rate is 0.0004, inflation rate is 0.0001, stock returns 0.0004. Also predicting the value of ADF test equation the coefficient value ids negative in all cases suggesting that the model is fit.. To investigate the causality The Granger causality test was applied to check the causal relationship between the variables and found that hypothesis is not rejected so there is no causality between the variable.