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Please use this identifier to cite or link to this item: http://hdl.handle.net/1812/543

Title: Analysis of stock market linkages: Chinese, Indian and major markets
Authors: Marliana Abas
Keywords: Chinese market
Indian market
Stock market linkage
Issue Date: Jul-2009
Publisher: University Malaya
Abstract: This study examines the linkages of the two leading emerging markets i.e. Chinese and Indian market with other developed markets. Using daily data from January 2000 to December 2008, we examine the stock market indices of China, India, United States, United Kingdom, Japan and Hong Kong. We model the linkages among these stock markets by using a simple correlation test, Granger causality test and co integration test using error correction model. We found that Chinese and Indian markets are correlated with all four developed markets under study. Both markets have at least had unilateral causality with all four developed markets. The empirical results suggest that the benefits of any short-term diversification, or speculative activities, are limited between them.
Description: Dissertation -- Faculty of Business and Accountancy, University of Malaya, 2009.
URI: http://dspace.fsktm.um.edu.my/handle/1812/543
Appears in Collections:Masters Dissertations : MBA

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