3rdFaculty
Research SeminarByMr. Sanjay Joshi on 29th November, 2014
3rd
Faculty Research Seminar held on 29th November, 2014 from 4:40 p.m.
to 5:20 p.m. in activity room (FYMBA – A Class). All faculty members were
present in the seminar. Mr. Sanjay Joshi, Faculty member of the departmenthas
presented his research work on “Integration of Selected World Stock Market:
Evidence from Co-integration analysis”. Major points discussed in the seminar
are as follows:
- The importance of globalization and
liberalization in international stock market where how a domestic investor can
gain potential benefits from international portfolio diversification.
-
The paper examines portfolio
diversification opportunity for developed and developing countries like Brazil,
Russia, India, China, US, UK and Japan.
-
Monthly closing prices were
employed from 1st January, 2008 to 31st June, 2014 and
sourced from yahoo finance website.
-
Stock market linkages were examined
through Johansen Co-integration test and further tested for VECM when 2
Co-integrating equation found from Trace and Max-Eigen statistics.
-
Conclusion reported as the study
indicates a long term relationship among
developed and developing countries’ stock markets exists. So the
presence of an equilibrium relationship does limit the potential benefits from
portfolio diversification of international investors aiming to share their
investment among India and other stock markets under study.
After
presentation, faculty members have asked their queries and gave fruitful
suggestions regarding sample periods and methodology and presentedoutput.