Purpose: The present study is an exertion to test the long and short run linkages among the top equity markets (in terms of market capitalization and traded volume) as well as to capture the impact of the presence of BSE SENSEX along these markets.
Research Design/Methodology: The study employed secondary data which has been collected from finance.yahoo.com and world exchange federation. The data consists of monthly adjusted closing index prices and volume figures of top 11 equity markets. The sample period ranges over 01/31/2005 until 09/30/2017. The methodology adopted are ADF test, Johansen Co-integration, VECM and Granger Causality test.
Findings: Empirical results confirm the existence of both long and short run impacts among the selected markets. Unidirectional and bidirectional causality are present in the group as well as BSE SENSEX is found to be significantly causing the top markets.
Originality/Value: The contribution of this paper is to provide evidence on the stock market linkages and impact among the selected equity markets. To the best of the author’s knowledge, no previous study has used such a combination of stock exchanges and highlighted such theme.
Research limitations/implications: The importance of linkages among the stock exchanges in the global context has been well deliberated in the literature and need to be studied at distances in the expanded volatility atmosphere with the inclusion of other exchange variables such as volume, liquidity, market capitalization or in terms of other funds.
Exertion, Linkage, Paradigm, employ, deliberate, Trillion Dollars.
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