International Journal For Multidisciplinary Research

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A Widely Indexed Open Access Peer Reviewed Multidisciplinary Bi-monthly Scholarly International Journal

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Causal Relationship among the Emerging Asian Economies: An Exploration

Author(s) Dhananjay Sahu
Country India
Abstract The present paper explores the extent of causality among four emerging Asian economies. It aims at finding the causal linkages between the National Stock Exchange (NIFTY), Singapore Stock Exchange (SGX), Taiwan stock Exchange (TWII) and South Korea Stock Exchange (KS11). The data set span for a period of eleven years from April 2007 to March 2018. Using daily data for the sample, time series properties have been diagnosed using ADF Unit Root test. Moving forward with the analysis, the presence of any causal linkages among the markets have been investigated using the Granger Causality Test. The results of the pair-wise Granger causality test assert bi-directional linkage between ‘National Stock Exchange (NIFTY) & Singapore Stock Exchange (SGX)’, ‘National Stock Exchange (NIFTY) & South Korea Stock Exchange (KS11)’ and between ‘Taiwan Stock Exchange (TWII) & South Korea Stock Exchange (KS11)’. A strong uni-directional relationship between ‘National Stock Exchange (CNX NIFTY) & Taiwan Stock Exchange (TWII)’ and a weak uni-directional relationship between ‘Singapore Stock Exchange (SGX) & South Korea Stock Exchange (KS11)’ as well as between ‘Singapore Stock Exchange (SGX) & Taiwan Stock Exchange (TWII)’ is also found. Thus, it can be concluded that India and Singapore are the most influential exchange among all the markets and South Korea is moderately influential whereas Taiwan stock market does not report any significant influence on other market.
Published In Volume 3, Issue 5, September-October 2021
Published On 2021-09-24
Cite This Causal Relationship among the Emerging Asian Economies: An Exploration - Dhananjay Sahu - IJFMR Volume 3, Issue 5, September-October 2021.

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