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International Journal of Enterprise Computing and BusInternational Journal of Enterprise Computing and BusInternational Journal of Enterprise Computing and BusInternational Journal of Enterprise Computing and BusinessinessinessinessSystemsSystemsSystemsSystemsISSN (Online) : 2230ISSN (Online) : 2230ISSN (Online) : 2230ISSN (Online) : 2230----8849884988498849
http://www.ijecbs.com
Vol. 1 Issue 2 January 2011
1
COMPARATIVE STUDY OF DISTRIBUTION OF INDIAN STOCKMARKET WITH OTHER ASIAN MARKETS
Nupur Gupta
Asst. Professor,Vivekanand Education Society’s Institute of Management Studies and ResearchMumbai
Dr. Vijay Agarwal
Associate Professor, BIT Mesra
ABSTRACT
The story that Asia is becoming the growth centre of the world economy is in circulation forsome time. Post the1997 East Asian Crisis which had caused significant reduction in assetprices and stock markets in several Asian countries, these economies boomed back. Theseeconomies maintained high interest rates thereby making them attractive toforeign investors. As a result these economies received a large inflow of funds andexperienced a dramatic run-up in asset prices. As a part of market integration, the capital
 
International Journal of Enterprise Computing and BusInternational Journal of Enterprise Computing and BusInternational Journal of Enterprise Computing and BusInternational Journal of Enterprise Computing and BusinessinessinessinessSystemsSystemsSystemsSystemsISSN (Online) : 2230ISSN (Online) : 2230ISSN (Online) : 2230ISSN (Online) : 2230----8849884988498849
http://www.ijecbs.com
Vol. 1 Issue 2 January 2011
2
market of India is no longer cut off from international economic events and their stock indexmovements. This paper finds the correlation of Indian Stock market with five other majorAsian economies: Japan, Hong Kong, Indonesia, Malaysia and Korea. A weak correlationconcludes that the Indian stock markets offer diversification benefits to institutional andinternational investors. The paper finds non normality feature in the stock return distributionof the six economies of Asia including India. The Indian markets showed features ofplatykurtic distribution, the volatility of its weekly returns were similar to it other Asiancounterparts. A negative skewness of returns, both in the short and long run indicatesconcentration of these returns towards higher returns and good opportunity for investment.
JEL Classification:
C87, E44, G15
 Keywords
: Correlation, Normal distribution, Stock Returns, Skewness
 
International Journal of Enterprise Computing and BusInternational Journal of Enterprise Computing and BusInternational Journal of Enterprise Computing and BusInternational Journal of Enterprise Computing and BusinessinessinessinessSystemsSystemsSystemsSystemsISSN (Online) : 2230ISSN (Online) : 2230ISSN (Online) : 2230ISSN (Online) : 2230----8849884988498849
http://www.ijecbs.com
Vol. 1 Issue 2 January 2011
3
1. Introduction
The story that Asia is becoming the growth centre of the world economy is in circulation forsome time. The dynamics of the world economy are changing. China and India happen to bethe 2
nd
and the 4th largest economies respectively in the world in terms of GDP atpurchasing power parity (Euro monitor 2010, Appendix A). The equity markets in emergingeconomies are on a high since 2005. The Asian economies are advancing technology wiseand are acting as an attraction for foreign capital. The increasing regionalization of economicactivities and the liberalization of financial markets since the late 1980s resulted in regionaleconomic integration, i.e., integration among the markets within the same region e.g. greaterco-movement in the stock prices of South East Asian countries due to economic ties, lowergeographical distance, and foreign investments or due to a common movement offundamentals which is called the
Contagion 
factor (Mukherjee and Mishra 2007). Due to theincreasing interdependence of major financial markets all over the world, the transmission ofstock return movements among major national markets has become a necessary researchtopic and is commonly termed as
international stock market integration.
The degree of acountry’s economic openness or capital control throws light on the degree of association withthe financial markets in the world. Greater integration would mean a free or relatively freeraccess to foreign financial markets. This better access would provide many firms a broadersource for fund raising.The distribution of stock returns is important for a variety of trading problems. The scientificportion of risk management requires an estimate of the probability of more extreme pricechanges. In statistics, normality tests are used to determine whether a data set is well-modelled by a normal distribution or not, or to compute how likely an underlying random

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