NDLI: Evolving Equity Market Interdependencies: Evidence from Emerging Markets

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Evolving Equity Market Interdependencies: Evidence from Emerging Markets

Content Provider	Scilit
Author	Talwar, Shalini
Copyright Year	2015
Description	This paper examines dynamic linkages among the equity markets of Mexico, Indonesia, Nigeria and Turkey employing dollar denominated daily closing price data of the chosen indices from January 2000 through December 2014. Empirical tests have been conducted for three periods: January 1, 2000-December 5, 2014; January 1, 2000-December 31, 2008 and January 1, 2009-December 5, 2014 to ascertain the causality and transmission of shock among these markets.The results of summary statistics of VAR reveal that some indices have causality relationships, indicating primacy of information content and efficacy in making superior predictions. Most markets Table large extent of contemporaneous correlation with their own innovation and the impact of other markets on their variance is limited to under 15%. Further, the interdependencies seem to be shifting, albeit subtly, in the post crisis period.
ISSN	1916971X
e-ISSN	19169728
DOI	10.5539/ijef.v7n8p38
Alternate Webpage(s)	http://ccsenet.org/journal/index.php/ijef/article/download/48014/27604
Journal	International Journal of Economics and Finance
Issue Number	8
Volume Number	7
Language	English
Publisher	Canadian Center of Science and Education
Publisher Date	2015-07-25
Access Restriction	Open
Subject Keyword	Equity Markets Impact of Other Markets
Content Type	Text
Resource Type	Article

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