A Study of Inter Linkages of Stock Exchanges of Islamic Countries and US

Rupreet Kaur

Authors

Rupreet Kaur

Keywords:

trade, investment, interlinkage, regression

Abstract

In the present era of globalization the trade is also interdependent in between the countries. The investors want to diversify the investments so that if he faces the loss from one side, he may recover it from the other side. In the case of stock exchanges, the investor wants to invest in the global stock exchange where there is no correlation among the stock exchanges. The current study attempts to study the interlinkage between the USA and Islamic countries. The study had chosen the Jakarta Stock Exchange (JKSE) from Indonesia, TASE from Israel (TA100), Kuala Lumpur Stock Exchange (KLSE) from Malaysia, Karachi Stock Exchange (KSE) from Pakistan and NYSE from USA for the purpose of the study. The closing data from 1st April 2005 to 31st Marc 2015 has been taken as the sample. For the analysis study used Auto Correlation, Unit root test, Granger Causality and Vector auto regression.

Downloads

How to Cite

A Study of Inter Linkages of Stock Exchanges of Islamic Countries and US. (2015). Global Journal of Management and Business Research, 15(C8), 1-7. https://journalofbusiness.org/index.php/GJMBR/article/view/1767

Download Citation

References

N Ahlgren, J Antell (2002) Testing for cointegration between international stock prices. 12(12), 851-861.

A Bala, K Mukund (2001) Interrelationship between Indian and US stock markets. 1(3), 141-148.

B Bhoi, S Dhal (1998) Integration of financial markets in India: an empirical evaluation. 19(4), 381-394.

B Bodla, M Turan (2006) Interlinkage dynamics of Asian stock markets. 16(1), 20-34.

Suchismita Bose (2005) Indian, US and Asian Stock Markets Recent Trends in Interlinkages.

Guglielmo Caporale, Nikitas Pittis, Nicola Spagnolo (2006) Volatility transmission and financial crises. 30(3), 376-390.

Kam Chan, Benton Gup, Ming‐shiun Pan (1997) International Stock Market Efficiency and Integration: A Study of Eighteen Nations. 24(6), 803-813.

K Chaudhuri (1997) Cointegration, error correction and Granger causality: an application with Latin American stock markets. 4(8), 469-471.

T Choudhry (1996) Interdependence of stock markets: evidence from Europe during the 1920s and 1930s. 6(3), 243-249.

I.-Y Chuang, J.-R Lu, K Tswei (2007) Interdependence of international equity variances: evidence from east Asian markets. 8(4), 311-327.

Gerald Dwyer, Myles Wallace (1992) Cointegration and market efficiency. 11(4), 318-327.

Enzo Weber (2007) Volatility and causality in Asia Pacific financial markets. 20(16), 1269-1292.

Elyas Elyasiani, Priyal Perera, Tribhuvan Puri (1998) Interdependence and dynamic linkages between stock markets of Sri Lanka and its trading partners. 8(1), 89-101.

Cheol Eun, Sangdal Shim (1989) International Transmission of Stock Market Movements. 24(2), 241.

H Grubel (1968) Internationally diversified portfolios: welfare gains and capital flows. 58, 1299-1314.

Hafiz Al, Asad Bin Hoque (2007) Co-movement of Bangladesh stock market with other markets. 33(10), 814-816.

S Hamori, Y Imamura (2000) International transmission of stock prices among G7 countries: LA-VAR approach. 7(9), 613-618.

S Jain, N Bhanumurthy (2005) Financial markets integration in India. 12(2), 15-32.

Angelos Kanas (1998) Linkages between the US and European equity markets: further evidence from cointegration tests. 8(6), 607-614.

Lamba (2005) Analysis of the Short-term Relationships between South Asian and Developed Equity Markets. 10(4).

Ronald Macdonald (2001) Transformation of External Shocks and Capital Market Integration. 268-283.

A Masih, R Masih (2001) Dynamic modeling of stock market interdependencies: an empirical investigation of Australia and the Asian NIC's. 4(2), 235-264.

Rajiv Menon, M Subha, S Sagaran (2009) Cointegration of Indian stock markets with other leading stock markets. 26(2), 87-94.

K Mukherjee, R Mishra (2005) Stock market inter linkages: a study of Indian and world equity markets. 58(1), 17-42.

Paresh Narayan, Russell Smyth, Mohan Nandha (2004) Interdependence and dynamic linkages between the emerging stock markets of South Asia. 44(3), 419-439.