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Interlinkages of Asian and US Stock Market: A Study of Selected Indices

This paper investigates the inter-linkages among the selected indices, viz. NYSE (USA), Nikkei 225 (Japan) and emerging stock markets Shanghai Composite Index (China), Hang Seng (Hong Kong), Kospi (Korea) and BSE30 (India). This study covers the period from July 1997 to December 2014. The ADF test is applied to check the stationarity of the data and the cointegration among the stock indices is studied by applying the Johansen Cointegration Test. Granger causality test it is being applied to understand the lead-lag effect among the stock markets. The ARCH-LM test checks the arch effect in the residuals of the data and the volatility within the indexes is measured with the help of the GARCH.