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Do European, Middle-East and Asian Stock Markets Impact on Indian Stock Market? A Case Study Based on NIFTY Stock Index Forecasting
- Source :
- Scientific Annals of Economics and Business, Vol 69, Iss 4, Pp 599-613 (2022)
- Publication Year :
- 2022
- Publisher :
- Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house, 2022.
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Abstract
- This paper estimates NIFTY index from Indian stock market by considering a cluster of MSCI European, Middle East and Asian stock market indices. In the forecasting process, we obtain group of independent variables to test its relative impact over dependent variable (NIFTY) considering a sample size of daily observations from January 2000 to December 2021 abstracted from Bloomberg. We run OLS regression, Quantile estimations with additional parameter of VIF and BKW. We found significant impact association with China (Asian index) and Saudi Arabia (Middle East index) during the forecasting process compared to rest of sample indices that exceed unexpectedly out of VIF limits. Further, we recorded strong association of independent variables despite of statistical significance (
Details
- Language :
- English
- ISSN :
- 25013165
- Volume :
- 69
- Issue :
- 4
- Database :
- Directory of Open Access Journals
- Journal :
- Scientific Annals of Economics and Business
- Publication Type :
- Academic Journal
- Accession number :
- edsdoj.902846f8de54454ebec6f431b16b18b2
- Document Type :
- article
- Full Text :
- https://doi.org/10.47743/saeb-2022-0028