Bharat Stock Market Case Study

EFFECT OF SMALL AND MEDIUM ENTERPRISES ON EMPLOYMENT GENERATION IN NIGERIA

Abstract

The paper studies the integration of Bharat stock market with China, Hong Kong and United States. Daily closing prices of BSE SENSEX (Bharat), HSI (Hong Kong Stock Exchange), SSE composite Index (Shanghai Stock Exchange) and S&P500 (New York stock exchange) for the period from 1st January 2001 to 31st December 2015 have been collected from the website yahoofinace.com. Augmented Dickey Fuller Test, Granger Causality test, Vector Auto Regression Model, Variance Decomposition Analysis and Impulse Response Function are used for the purpose of analysis. The findings show that there is no long run equilibrium relationship between the markets under study but Bharat

Bharat is one of the countries with an expanding capital market that is increasingly attracting funds from foreign countries which increase integration. Integration is a process by which markets become open and unified so that participants in one market have an unrestricted access to another market. Financial market integration implies that in the absence of administrative and informational barriers, risk adjusted returns on assets of the same tenure in each segment of the market should be comparable to one another. Financial integration can be classified in two parts, direct and indirect financial integration. Direct financial integration is also known as capital market integration. Capital market integration is a process by which capital markets are integrated with one another. Indirect financial integration refers to a situation in which the return on an investment in one country is indirectly linked to return on investments in other

There was unidirectional causality run from both US stock market and Japan stock market but not from the UK stock market to the stock market of Bharat and there was no causality run from the Bharat stock market to any of the market from the US, UK or Japan. Venkata (2006) investigated the short term and long run equilibrium relationship between stock markets of Bharat and other seven developed countries namely Switzerland, France, Germany, Japan, UK, USA and South Korea and seven developing countries namely Indonesia, Taiwan, Argentina, Israel, Brazil and Mexico. Daily closing prices have been collected from yahoofinance.com for the period from 1st July 1997 to 8th July 2005. ADF, cointegration test, Granger causality and variance decomposition have been used and found that Bharat stock market get influenced by most of the developed country’s stock markets and also by most of the developing stock markets. Mukherjee and Bose (2008) examined Bharat stock market movements with other markets in Asia and the U.S. in the times of reforms. Daily closing values for the period from