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An Empirical Investigation on Equity Market Integration of ASEAN-India
Abstract
This empirical study investigates the symmetric and asymmetric dynamic correlations and volatility linkages between ASEAN-5 and the Indian equity markets. Granger causality test results reveal that bidirectional causal relation between the pairs of India-Indonesia, and India-Singapore. However, India-Phillippines and India-Thailand have a unidirectional causal relationship. Variance decomposition results show that India's equity market volatility contributes moderate fluctuations in the variance of Indonesia, Phillippines, Singapore Thailand. Finally, the Markov regime transition probabilities show that the high transition probabilities of p11 and p22 for India-Malaysia, India-Philippines and India-Thailand indicates a high degree of regime stability. The study on financial integration provides important inputs to investors in sharing risk internationally since restrictions on investment are removed. This study provides an essential insight to policymakers, portfolio managers, domestic and international investors, risk analysts and financial researchers in an emerging market.
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