文章基本信息

标题：LONG RUN RELATIONSHIP BETWEEN SOUTH ASIAN EQUITY MARKETS AND EQUITY MARKETS OF DEVELOPED WORLD
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作者：Muhammad Mansoor
期刊名称：International Journal of Management and Strategy
电子版ISSN：2231-0703
出版年度：2012
卷号：3
期号：5
出版社：International Journal of Management and Strategy
摘要：This study examines the relationship between the Major Asian Equity markets and the Developed equity markets. This study used weekly stock prices indices of KSE100, BSE500, AORD500,ASPI250, CAC40, FTSE100, IBEX35, Nikkie 225, S&P500 and S&P/Tsx Composite Index for the period 1st week of January-2000 to last week of March/2012.This study applied Descriptive statistics, Augmented Dickey Fuller Test, Phillips perron test,Johansen and jelseluis Co-integration test, Granger causality test, Vector error correction model and Variance decomposition test find out the relationship among the Asian and developed equity markets. This study concludes that the South Asian equity markets have no relationshipwith developed equity markets in long run while show significant relationships in short run. This study assistance the investors in decision making to achieve diversification by making investment in South Asian equity market and developed equity markets.
关键词：Portfolio; Diversification; Stock market; Globalization; Co-integration; unit root test; South Asian Countries; Devloped countries.