Exploring the Cointegration Relation among Top Eight Asian Stock Markets - Open Journal of Business and Management

OJBM > Vol.8 No.3, May 2020

Open Journal of Business and Management

Volume 8, Issue 3 (May 2020)

ISSN Print: 2329-3284 ISSN Online: 2329-3292

Google-based Impact Factor: 1.13 Citations

Exploring the Cointegration Relation among Top Eight Asian Stock Markets ()

HTML XML

Download as PDF (Size: 514KB) PP. 1076-1088

DOI: 10.4236/ojbm.2020.83068 858 Downloads 1,973 Views Citations

Author(s)

Muhammad Rizwanullah¹, Lizhi Liang^1*, Xiuyuan Yu¹, Jinan Zhou¹, Muhammad Nasrullah², Muhammad Uzair Ali³

Affiliation(s)

¹Collage of Public Administration, Xiangtan University, Xiangtan, China.
²College of Agricultural Economics and Management, Northeast Agricultural University, Harbin, China.
³Collage of Business, Xiangtan University, Xiangtan, China.

ABSTRACT

Asian stock market faces many favorable and unfavorable incidents of collapsing internal market in last decades. The local investors are interested especially in the countries like China, Malaysia, UAE and Bangladesh which are politically, geographically and strategically important as investment portfolio point of view. The investors have experience of moving many markets together in long run which is a bad news for investors to diversify their investment in different markets. Therefore, the objectives of the study is to find the direction and short and long run association among top eight Asian stock Markets by applying Johansen cointegration test and Granger Causality Test. The augmented unit root test and Phillips-Peron proved the presence of unit root in data at level. The cointegration analysis test based on trace statistics shows five cointegrating equation, while the maximum eigen valve test indicates two cointegrating equation at 5 percent significant level. Results imply that these markets are strongly cointegrated in long term which can diversify local and foreigner investors. The Granger Causality shows that 13 pairs of markets are bidirectional while 12 pairs are unidirectional and 3 pairs have no causality. From the result it is obtained that integrated markets are useful for decreasing the chances of financial stability and asymmetric shocks, which can strengthen the capability of the economy to absorb the shocks and adequate the risk of international financial contagion. It is concluded that for investor views there are still possibilities for efficient portfolio diversification across these markets. In addition further study should be carried out to find the reason of cointegration.

KEYWORDS

Cointegration, Eigenvalue, Portfolio, Granger Causality

Share and Cite:

Rizwanullah, M. , Liang, L. , Yu, X. , Zhou, J. , Nasrullah, M. and Ali, M. (2020) Exploring the Cointegration Relation among Top Eight Asian Stock Markets. Open Journal of Business and Management, 8, 1076-1088. doi: 10.4236/ojbm.2020.83068.

Cited by

[1]	On the asymmetric effects of insurance sector development on environmental quality: challenges and policy options for BRICS economies
	Environmental Science and …, 2022

[2]	Impact of COVID-19 on long run and short run financial integration among emerging Asian stock markets
	Business, Management and Economics …, 2022

[3]	Integration of stock markets using autoregressive distributed lag bounds test approach
	Global Business and Economics Review, 2022

[4]	Estimating the efficiency gap of maize yield across different irrigation methods in Pakistan
	Irrigation and Drainage, 2022

[5]	Common Components in Co-integrated System and Its Estimation and Application: Evidence from Five Stock Markets in Asia-Pacific Chinese Region
	Bulletin of Applied Economics, 2022

[6]	PRICE INTEGRATION IN RICE SURPLUS AREA IN INDONESIA
	INFOKUM, 2022

[7]	Autoregressive distributed lag (ARDL) approach to study the impact of climate change and other factors on rice production in South Korea
	2021

[8]	Investigation of Farmer (Orchard) Willingness to Pay for Climate Change. A Case Study of KP Pakistan
	2021

[9]	Investigating the impact of Covid-19pandemicon stock markets: Evidence from global equity indices
	… Journal of Research in Business & …, 2021

[10]	Allocative efficiency analysis of wheat and cotton in district Khanewal, Punjab, Pakistan
	2020

[11]	SHALLOT SPATIAL MARKET INTEGRATION BETWEEN SURPLUS AND DEFICIT AREAS

Journals Menu

Follow SCIRP

	+1 323-425-8868
	customer@scirp.org
	+86 18163351462(WhatsApp)
	1655362766

	Paper Publishing WeChat

Journals Menu

Home

About SCIRP

Service

Policies