Authors :
Anugya Nagpal; Krishna MC
Volume/Issue :
Volume 9 - 2024, Issue 4 - April
Google Scholar :
https://tinyurl.com/y4hevyh3
Scribd :
https://tinyurl.com/2n6b9fcv
DOI :
https://doi.org/10.38124/ijisrt/IJISRT24APR148
Note : A published paper may take 4-5 working days from the publication date to appear in PlumX Metrics, Semantic Scholar, and ResearchGate.
Abstract :
This study investigates the spillover effects of
major Asian stock market performances on the returns of
the Nifty 50, India's benchmark index. Employing
advanced econometric techniques, we analyze the
dynamic relationships between the Nifty 50 and key Asian
counterparts, considering both short-term and long-term
horizons. Our research delves into return spillovers
aiming to comprehensively assess the interconnectedness
and transmission of market movements across the region.
This study utilizes an extensive dataset covering Nifty 50
returns from April 1, 2013, to March 31, 2023, along with
meticulously documented returns from stock market
indexes linked to major strategic alliances in India. By
applying advanced multivariate time series analysis
techniques, encompassing Vector Autoregression (VAR),
Granger causality tests, and impulse response functions,
we model the intricate dynamics interweaving these
indexes with the Nifty 50. The research endeavors to
answer fundamental questions, including assessing short-
term and long-term effects resulting from major Asian
counterparts of India on Nifty returns, as well as
exploring noticeable patterns that indicate the direction
of causality between these counterparts and Nifty returns.
The outcomes of this study carry substantial implications
for decision-makers. Investors can make more informed
decisions, businesses planning strategic partnerships can
refine their strategies, and policymakers can formulate
economic and financial regulations that accurately reflect
the complexities of these dynamics. By unveiling the
ripple effects of these counterparts on the Nifty 50, this
research offers valuable insights into the evolving
dynamics of India's financial markets and their
integration into the global economy.
Keywords :
Nifty 50, Asian Stock Markets, Spillover Effects, Return Spillovers, Econometrics, Interconnectedness, Investment Strategies.
This study investigates the spillover effects of
major Asian stock market performances on the returns of
the Nifty 50, India's benchmark index. Employing
advanced econometric techniques, we analyze the
dynamic relationships between the Nifty 50 and key Asian
counterparts, considering both short-term and long-term
horizons. Our research delves into return spillovers
aiming to comprehensively assess the interconnectedness
and transmission of market movements across the region.
This study utilizes an extensive dataset covering Nifty 50
returns from April 1, 2013, to March 31, 2023, along with
meticulously documented returns from stock market
indexes linked to major strategic alliances in India. By
applying advanced multivariate time series analysis
techniques, encompassing Vector Autoregression (VAR),
Granger causality tests, and impulse response functions,
we model the intricate dynamics interweaving these
indexes with the Nifty 50. The research endeavors to
answer fundamental questions, including assessing short-
term and long-term effects resulting from major Asian
counterparts of India on Nifty returns, as well as
exploring noticeable patterns that indicate the direction
of causality between these counterparts and Nifty returns.
The outcomes of this study carry substantial implications
for decision-makers. Investors can make more informed
decisions, businesses planning strategic partnerships can
refine their strategies, and policymakers can formulate
economic and financial regulations that accurately reflect
the complexities of these dynamics. By unveiling the
ripple effects of these counterparts on the Nifty 50, this
research offers valuable insights into the evolving
dynamics of India's financial markets and their
integration into the global economy.
Keywords :
Nifty 50, Asian Stock Markets, Spillover Effects, Return Spillovers, Econometrics, Interconnectedness, Investment Strategies.
