Insight into Mkt.Efficiency,Inter-Linkages & Volatility transmission across Stock Mkts of major eco

GREATER NOIDA, India - April 8, 2020 - PRLog -- As per the research study, authored by Prof. Vanita Tripathi and Ms. Ritika Seth from Delhi School of Economics, Department of Commerce, University of Delhi titled "Insight into Market Efficiency, Inter-Linkages & Volatility transmission across Stock Markets of major Developed & Emerging Economies", published in the latest issue of Finance India, Quarterly Journal of Finance, Vol. XXXIII No. 4, December 2019 issue examines the efficiency, inter-linkages and volatility transmission across the stock markets in USA, UK, Japanese, Indian and Chinese economies. The data set consists of daily stock indices of the five countries for 25 year period starting from January 7th 1991 till December 31st, 2015, covering approximately 5150 observations. The results indicate that only UK and Japanese stock markets follow random walk as per Lo & MacKinlay Variance Ratio test. Further findings in the study reveal the presence of significant short run inter–linkages, with the causality moving from USA and UK markets towards Asian markets. There is presence of long run co-integration among almost all the five countries. The result of ARCH–GARCH model reveals that the volatility in stock markets of countries do get affected by the volatile behaviour of stock markets of other countries.

The findings of the research study have major implications for policy makers, regulators, government, potential investors, academicians and researchers. Since, the stock markets of only two out of five countries follow a random walk, it would help the investors, mutual fund and portfolio managers to devise strategies to beat the inefficient markets and earn abnormal returns based on the past price information revealed through Technical Analysis. At the same time, strategies can be devised on the basis of fundamental analysis to earn abnormal returns from the efficient stock markets.

The absence of long run relationship among the stock markets of USA and UK with India would enable the portfolio managers to devise appropriate diversification strategies to reap long term gains. Since there is volatility transmission across these markets, the regulators in these markets must consider the effect of any policy or regulation change taking place in counter markets so as to take preventive measures well in advance as these developments might change the perception of investors across the other two markets.

The study contributes to the existing literature by giving significant results and proves the notion that USA stock market is dominating and has significant impact on the other four countries.

Finance India:Quarterly Journal of Finance of Indian Institute of Finance published since 1987 is a Two Tier Triple Blind Peer Review refereed Journal of more than 400 pages with a high SJIF Impact Factor Value for 2019 as 7.262.

https://www.financeindia.org/volumes/v33no4.htm