12 Annexure

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Websites:
1. https://www.nseindia.com/
2. https://www.bseindia.com/
3. https://www.oecd.org/
4. https://finance.yahoo.com/
5. https://www.rbi.org.in/
6. https://www.investing.com/
7. https://data.worldbank.org/indicator/
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196
(Annexure I)
Questionnaire
Background of the Respondent: Section A
Personal Information
Name :
Email:
1. Gender:
Male
Female
2. Age Group:
Below 25 years
26 years -35 years
36 years -45 years
Above 45 years
3. Marital Status:
Single
Married
4. Occupation:
Student / Professional
Business
Service
5. Educational Qualification:
Bachelor
Under-Graduate
Post-Graduate or PhD Degree
Other
6. Percentage of Income Invested:

Below 10%
11% - 20%
21% - 30%
31% - 40%
Above 40%
7. Investment Avenues
Shares
Fixed Deposit
Real Estate
Gold
Mutual Funds
Insurance
197
Others
8. Sources of Investment Information

Brokers
Family
Friends
Newspapers
Television
Internet/social media
9. Have you attended any course of Stock Exchange?
Yes
No
10. How long have you attended the stock market?
1-under 3 years
3- under 5 years
5 years and more
11. Please estimate your average annual income (Rs.)
Rs 0.0 – Rs 2.5 lakh Rs 2.5 lakh – Rs 3.00 lakh Rs 3.00 lakh – Rs 5.00
lakh
Rs 5.00 lakh- Rs 7.5 lakh Rs 7.5 lakh – Rs 10.00 Rs 10.00 lakhs – Rs 12.50
lakh lakh
Rs 12.5 lakhs – Rs 15.00 > Rs 15 lakh
lakh
198
Section B
Strongly
Strongly Agree Neutral Disagree
Factors Statements agree (5) (4) (3) (2)
disagree
(1)
1. Investing in stock markets
enables me to purchase and
sell equities on a regular basis.
2.I am willing to accept a high
I. Decision risk in exchange for a high
Making(Dependent return.
Variable) 3. Investing in stocks is a
better approach for me to
enhance my wealth.
4. I believe long term
profit[More than 5 years]
5. I would purchase a high-
returning stock if a friend
recommended it to me
6. If I want to invest in stocks,
I will use information from
II. Information Search the news and the internet.
7. If I want to invest in a
particular company's stock, I
will rely on the advice of
financial experts.
8.I likely to sell my shares
whenever the price reaches its
recent high for the year.
9. I believe the position of the
year's high and low prices
III. Price anchoring defined the current range of
the stock price.
10. I fix a target price for
buying and selling the security
in advance
11 .For investment decisions,
the economic and financial
performance of a foreign
nation is crucial.
12.The position of the
domestic stock market is
affected by the global
V. Herding Behaviour financial crisis.
13.My decision to buy or sell
a stock depends on the actions
of other investors
14. When making investment
decisions, I adhere to a
specific group or community
15. I am not selective in
collecting information about
the investments made by me
during market crash
VI. Confirmation Bias
16. I value positive
during crisis information more than
negative information
regarding my investment
choices during Crash.
199
17. I disregard evidence that
contradicts my beliefs about
the future of my investment
decision.
18. I am a professional
investor.
19. I trust my own investment
judgements more than those
VII. Overconfidence of my colleagues or friends.
20. I always feel optimistic
about the future returns of my
investments
21. When market performance
is poor, I do not increase my
investment.
22. Investment returns are
more important than
preventing the loss of
VIII. Loss aversion investment.
23. I sell stocks that went up
in price fast.
24. Losing 1,000 rupees hurts
more than making 1,000
rupees.
25. To minimize my risk, I
avoid investing in companies
with a poor track record of
profitability.
26.When I make stock
IX. Representativeness investments, I look at how
companies have performed in
the past.
27.I buy hot stocks and stay
away from stocks that haven't
done well recently.
28. Greed for higher returns
drives my investment
decisions during crisis.
29. I prefer to sell equities
whenever their price begins to
X. Gambler’s fallacy rise.
30. I do not undertake
technical analysis on the
company and instead rely on
market sentiment.
31. I keep the stocks whose
value has gone down and do
not sell them.
32. Keeping loss-making
investments is more
XI. Regret Aversion detrimental than selling
profitable ones early.
33. I avoid taking decisions
with the fear of incurring
losses
200
Appendix Annexure II
Table 4.27 (a) Johansen cointegration test for Indices Returns
Trend assumption: Linear deterministic trend
Series: RIND RBRZ RRUSI RCH RSA RUSA RUK RJAP
Lags interval (in first differences): 1 to 8
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
Critical
No. of CE(s) EigenvalueStatistic Value Prob.**
None * 0.154303 3575.211 159.5297 0.0000
At most 1 * 0.150540 2968.354 125.6154 0.0000
At most 2 * 0.137917 2377.572 95.75366 0.0000
At most 3 * 0.123371 1840.202 69.81889 0.0000
At most 4 * 0.109016 1363.419 47.85613 0.0000
At most 5 * 0.102537 945.4495 29.79707 0.0000
At most 6 * 0.087598 553.7173 15.49471 0.0000
At most 7 * 0.059406 221.7629 3.841465 0.0000
Trace test indicates 8 cointegrating eqn(s) at the 0.05 level
* Denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
Critical
No. of CE(s) Eigenvalue Statistic Value Prob.**
None * 0.154303 606.8563 52.36261 0.0000
At most 1 * 0.150540 590.7822 46.23142 0.0000
At most 2 * 0.137917 537.3706 40.07757 0.0000
At most 3 * 0.123371 476.7825 33.87687 0.0000
At most 4 * 0.109016 417.9695 27.58434 0.0000
At most 5 * 0.102537 391.7321 21.13162 0.0000
At most 6 * 0.087598 331.9544 14.26460 0.0000
At most 7 * 0.059406 221.7629 3.841465 0.0000
Max-eigenvalue test indicates 8 cointegrating eqn(s) at the 0.05 level; * denotes rejection of the
hypothesis at the 0.05 level, **MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
RIND RBRZ RRUSI RCH RSA RUSA RUK RJAP
0.129909 1.942308 -67.39332 -17.67233 145.0312 133.4142 -231.7072 40.17726
201
139.3070 -128.9560 48.68359 11.78376 -84.35341 167.1821 -52.48818 -81.52100
97.25402 -134.1832 -65.53508 -20.37930 154.0121 -87.92202 112.5457 4.417539
51.02411 81.49127 -78.12184 79.05097 -24.06004 -8.272606 4.305280 -149.8845
-10.25283 -7.967292 -89.13103 -11.67677 -112.6379 105.7603 45.66167 96.04337
-141.4965 -29.25162 3.571489 119.7452 44.01041 48.72760 63.62192 -9.949562
86.27933 -29.96467 9.759388 123.2430 -31.43166 -102.6494 -67.31771 74.34011
56.69642 50.80047 40.38016 39.44650 60.62660 102.4708 87.61760 52.49892
Unrestricted Adjustment Coefficients (alpha):
D(RIND) 0.000182 -0.002196 -0.001449 -0.000763 3.77E-05 0.002994 -0.001789 -0.001047
D(RBRZ) -0.000169 0.003520 0.003898 -0.002229 0.000524 0.002121 -3.90E-05 -0.001532
D(RRUSI) 0.001773 -0.002022 0.002389 0.003794 0.004585 -0.000387 -0.000258 -0.001409
D(RCH) 0.000348 -0.000642 0.000526 -0.002140 0.000137 -0.003028 -0.003042 -0.000749
D(RSA) -0.002555 0.002058 -0.002768 -0.000514 0.002096 -0.000211 -0.000144 -0.000812
D(RUSA) -0.002762 -0.001918 0.000896 0.000135 -0.001231 -0.000694 0.001321 -0.001546
D(RUK) 0.002799 0.000549 -0.001608 -0.000273 -0.000776 -0.000649 0.001190 -0.001767
D(RJAP) -0.000547 0.002254 -1.95E-05 0.003664 -0.002174 2.36E-05 -0.002062 -0.000784
1 Cointegrating Log
Equation(s): likelihood 80755.30
Normalized cointegrating coefficients (standard error in parentheses)
1.000000 14.95128 -518.7728 -136.0361 1116.405 1026.981 -1783.609 309.2720
(58.6544) (49.6575) (59.1775) (80.9032) (89.6450) (89.0440) (65.6086)
Adjustment coefficients (standard error in parentheses)
D(RIND) 2.36E-05
(3.0E-05)
D(RBRZ) -2.20E-05
(3.9E-05)
D(RRUSI) 0.000230
(4.5E-05)
D(RCH) 4.52E-05
(3.4E-05)
D(RSA) -0.000332
(2.9E-05)
D(RUSA) -0.000359
(2.7E-05)
D(RUK) 0.000364
(2.6E-05)
D(RJAP) -7.10E-05
202
(3.4E-05)
2 Cointegrating Log
1.000000 0.000000 -29.91760 -7.851835 64.52101 61.00755 -104.3470 17.48083
(2.89178) (3.44365) (4.65137) (5.22031) (5.15841) (3.79423)
0.000000 1.000000 -32.69654 -8.573461 70.35408 64.60805 -112.3156 19.51613
(3.12353) (3.71963) (5.02414) (5.63868) (5.57182) (4.09830)
D(RIND) -0.305936 0.283579
(0.03218) (0.02980)
D(RBRZ) 0.490343 -0.454258
(0.04090) (0.03787)
D(RRUSI) -0.281477 0.264218
(0.04827) (0.04469)
D(RCH) -0.089395 0.083470
(0.03671) (0.03398)
D(RSA) 0.286385 -0.270376
(0.03041) (0.02816)
D(RUSA) -0.267509 0.241935
(0.02836) (0.02625)
D(RUK) 0.076831 -0.065349
(0.02788) (0.02581)
D(RJAP) 0.313994 -0.291790
(0.03630) (0.03361)
3 Cointegrating Log
1.000000 0.000000 0.000000 0.041608 0.170554 9.670113 -11.09692 -0.413932
(0.34374) (0.45177) (0.52146) (0.51345) (0.37881)
0.000000 1.000000 0.000000 0.053174 0.026351 8.502072 -10.40392 -0.040805
(0.31735) (0.41709) (0.48143) (0.47403) (0.34973)
0.000000 0.000000 1.000000 0.263839 -2.150923 -1.715961 3.116896 -0.598135
(0.10653) (0.14001) (0.16161) (0.15913) (0.11740)
D(RIND) -0.446816 0.477954 -0.024249
203
(0.03903) (0.04276) (0.02432)
D(RBRZ) 0.869484 -0.977367 -0.072698
(0.04863) (0.05327) (0.03030)
D(RRUSI) -0.049173 -0.056296 -0.374449
(0.05848) (0.06406) (0.03644)
D(RCH) -0.038276 0.012940 -0.089145
(0.04474) (0.04902) (0.02788)
D(RSA) 0.017216 0.101001 0.453802
(0.03624) (0.03970) (0.02258)
D(RUSA) -0.180333 0.121657 0.034037
(0.03449) (0.03778) (0.02149)
D(RUK) -0.079589 0.150468 -0.056529
(0.03369) (0.03691) (0.02099)
D(RJAP) 0.312095 -0.289171 0.147876
(0.04427) (0.04850) (0.02759)
4 Cointegrating Log
1.000000 0.000000 0.000000 0.000000 0.261149 10.26319 -11.83877 -0.337077
(0.48005) (0.55401) (0.54491) (0.40087)
0.000000 1.000000 0.000000 0.000000 0.142130 9.260024 -11.35200 0.057416
(0.45349) (0.52336) (0.51477) (0.37869)
0.000000 0.000000 1.000000 0.000000 -1.576449 2.044853 -1.587284 -0.110784
(0.11716) (0.13521) (0.13299) (0.09784)
0.000000 0.000000 0.000000 1.000000 -2.177360 -14.25418 17.82970 -1.847150
(0.70930) (0.81858) (0.80515) (0.59231)
D(RIND) -0.485733 0.415799 0.035336 -0.059867
(0.04069) (0.04661) (0.03018) (0.01935)
D(RBRZ) 0.755768 -1.158985 0.101410 -0.211154
(0.05034) (0.05766) (0.03734) (0.02394)
D(RRUSI) 0.144419 0.252891 -0.670852 0.196095
(0.06001) (0.06873) (0.04450) (0.02853)
D(RCH) -0.147482 -0.161475 0.078058 -0.193616
(0.04628) (0.05301) (0.03433) (0.02201)
D(RSA) -0.008985 0.059154 0.493918 0.085224
(0.03781) (0.04331) (0.02804) (0.01798)
204
D(RUSA) -0.173450 0.132650 0.023498 0.018610
(0.03601) (0.04124) (0.02671) (0.01712)
D(RUK) -0.093501 0.128250 -0.035229 -0.031778
(0.03517) (0.04028) (0.02608) (0.01672)
D(RJAP) 0.499045 0.009409 -0.138359 0.326264
(0.04492) (0.05145) (0.03332) (0.02136)
5 Cointegrating Log
1.000000 0.000000 0.000000 0.000000 0.000000 10.54888 -11.93329 -0.278527
(0.55837) (0.55120) (0.40596)
0.000000 1.000000 0.000000 0.000000 0.000000 9.415510 -11.40344 0.089281
(0.52394) (0.51722) (0.38093)
0.000000 0.000000 1.000000 0.000000 0.000000 0.320271 -1.016709 -0.464223
(0.10248) (0.10117) (0.07451)
0.000000 0.000000 0.000000 1.000000 0.000000 -16.63613 18.61777 -2.335314
(0.88641) (0.87503) (0.64446)
0.000000 0.000000 0.000000 0.000000 1.000000 -1.093966 0.361936 -0.224200
(0.06889) (0.06801) (0.05009)
D(RIND) -0.486119 0.415499 0.031976 -0.060308 0.002651
(0.04076) (0.04664) (0.03645) (0.01953) (0.05854)
D(RBRZ) 0.750393 -1.163161 0.054688 -0.217275 0.273486
(0.05040) (0.05767) (0.04508) (0.02415) (0.07239)
D(RRUSI) 0.097406 0.216358 -1.079550 0.142553 0.187768
(0.05853) (0.06698) (0.05235) (0.02805) (0.08407)
D(RCH) -0.148885 -0.162565 0.065860 -0.195214 0.221637
(0.04636) (0.05305) (0.04146) (0.02222) (0.06658)
D(RSA) -0.030472 0.042457 0.307125 0.060753 -1.194198
(0.03736) (0.04275) (0.03341) (0.01790) (0.05365)
D(RUSA) -0.160833 0.142454 0.133180 0.032979 0.034601
(0.03588) (0.04106) (0.03209) (0.01720) (0.05153)
D(RUK) -0.085546 0.134431 0.033925 -0.022718 0.205932
(0.03515) (0.04022) (0.03144) (0.01685) (0.05049)
D(RJAP) 0.521338 0.026732 0.055437 0.351653 -0.115711
(0.04453) (0.05095) (0.03982) (0.02134) (0.06396)
6 Cointegrating Log 81962.62
205
Equation(s): likelihood
1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -0.442536 -0.947208
(0.07296) (0.05656)
0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 -1.147259 -0.507556
(0.07961) (0.06172)
0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 -0.667843 -0.484525
(0.09140) (0.07085)
0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.496259 -1.280770
(0.09693) (0.07514)
0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 -0.829706 -0.154855
(0.05747) (0.04455)
0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 -1.089286 0.063389
(0.04898) (0.03797)
D(RIND) -0.909754 0.327920 0.042669 0.298204 0.134417 -0.059369
(0.05084) (0.04598) (0.03558) (0.03289) (0.05797) (0.05798)
D(RBRZ) 0.450321 -1.225195 0.062262 0.036670 0.366819 0.400332
(0.06392) (0.05781) (0.04473) (0.04135) (0.07288) (0.07290)
D(RRUSI) 0.152199 0.227686 -1.080933 0.096183 0.170725 0.123092
(0.07481) (0.06765) (0.05235) (0.04839) (0.08529) (0.08532)
D(RCH) 0.279617 -0.073981 0.055044 -0.557846 0.088357 -0.222529
(0.05813) (0.05257) (0.04068) (0.03760) (0.06627) (0.06629)
D(RSA) -0.000558 0.048641 0.306370 0.035438 -1.203502 0.462080
(0.04775) (0.04318) (0.03341) (0.03089) (0.05444) (0.05445)
D(RUSA) -0.062705 0.162740 0.130703 -0.050064 0.004080 -0.932966
(0.04579) (0.04141) (0.03204) (0.02962) (0.05221) (0.05222)
D(RUK) 0.006305 0.153420 0.031606 -0.100450 0.177363 0.495219
(0.04487) (0.04058) (0.03140) (0.02902) (0.05115) (0.05117)
D(RJAP) 0.517998 0.026042 0.055521 0.354479 -0.114672 0.046580
(0.05692) (0.05148) (0.03983) (0.03682) (0.06490) (0.06492)
7 Cointegrating Log
1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -1.474466
(0.07278)
206
0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -1.874456
(0.09882)
0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 -1.280225
(0.08617)
0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 -0.689503
(0.05935)
0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 -1.143406
(0.07095)
0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 -1.234440
(0.06941)
0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 -1.191449
(0.06627)
D(RIND) -1.064123 0.381533 0.025208 0.077700 0.190654 0.124290 0.219467
(0.05389) (0.04605) (0.03532) (0.04254) (0.05787) (0.06181) (0.06265)
D(RBRZ) 0.446952 -1.224025 0.061881 0.031858 0.368046 0.404339 0.445150
(0.06838) (0.05842) (0.04482) (0.05397) (0.07341) (0.07841) (0.07949)
D(RRUSI) 0.129963 0.235408 -1.083448 0.064421 0.178826 0.149547 0.182672
(0.08002) (0.06836) (0.05244) (0.06316) (0.08591) (0.09176) (0.09302)
D(RCH) 0.017118 0.017185 0.025352 -0.932804 0.183986 0.089774 0.021434
(0.06093) (0.05206) (0.03994) (0.04809) (0.06542) (0.06987) (0.07083)
D(RSA) -0.012993 0.052960 0.304964 0.017676 -1.198972 0.476874 0.262339
(0.05107) (0.04363) (0.03347) (0.04031) (0.05483) (0.05857) (0.05937)
D(RUSA) 0.051302 0.123146 0.143599 0.112785 -0.037453 -1.068604 0.652840
(0.04869) (0.04160) (0.03191) (0.03843) (0.05227) (0.05583) (0.05660)
D(RUK) 0.109012 0.117750 0.043224 0.046259 0.139947 0.373025 -1.016490
(0.04775) (0.04079) (0.03130) (0.03769) (0.05127) (0.05476) (0.05551)
D(RJAP) 0.340094 0.087828 0.035398 0.100356 -0.049861 0.258239 0.062935
(0.06031) (0.05152) (0.03953) (0.04760) (0.06475) (0.06916) (0.07011)
Source: author’s calculation
207
Table 4.27 (b) Vector Error Correction Estimates
Standard errors in ( ) & t-statistics in [ ]

Cointegrating
Eq: CointEq1
RIND(-1) 1.000000
RBRZ(-1) -1.439144
(0.04938)
[-29.1456]
RRUSI(-1) 0.201964
(0.04256)
[ 4.74588]
RCH(-1) 0.293678
(0.05506)
[ 5.33343]
RSA(-1) 0.799878
(0.06451)
[ 12.3999]
RUSA(-1) -1.170195
(0.07539)
[-15.5217]
RUK(-1) 1.550514
(0.07378)
[ 21.0162]
RJAP(-1) 0.241657
(0.05677)
[ 4.25679]
C 4.42E-06
Error Correction: D(RIND) D(RBRZ) D(RRUSI) D(RCH) D(RSA) D(RUSA) D(RUK) D(RJAP)
CointEq1 -0.156893 0.385926 -0.067516 -0.082276 -0.134460 0.098069 -0.207049 -0.064436
(0.01285) (0.01584) (0.01920) (0.01441) (0.01254) (0.01167) (0.01115) (0.01454)
[-12.2108] [ 24.3664] [-3.51659] [-5.70876] [-10.7191] [ 8.40041] [-18.5727] [-4.43212]
D(RIND(-1)) -0.522459 -0.208426 0.035499 0.067700 0.057071 -0.079672 0.146127 0.056348

(0.01777) (0.02191) (0.02656) (0.01994) (0.01735) (0.01615) (0.01542) (0.02011)
[-29.3942] [-9.51280] [ 1.33659] [ 3.39570] [ 3.28890] [-4.93337] [ 9.47547] [ 2.80178]
208
D(RIND(-2)) -0.266700 -0.050943 0.037288 0.023009 0.005758 -0.054231 0.074424 0.036674
(0.01608) (0.01982) (0.02402) (0.01803) (0.01570) (0.01461) (0.01395) (0.01819)
[-16.5892] [-2.57061] [ 1.55219] [ 1.27596] [ 0.36684] [-3.71265] [ 5.33555] [ 2.01609]
D(RBRZ(-1)) -0.149809 -0.322048 0.026233 -0.090191 -0.145588 0.116513 -0.180790 -0.075585

(0.01693) (0.02087) (0.02529) (0.01899) (0.01653) (0.01538) (0.01469) (0.01915)
[-8.85028] [-15.4342] [ 1.03715] [-4.75016] [-8.80979] [ 7.57570] [-12.3098] [-3.94638]
D(RBRZ(-2)) -0.042034 -0.135326 0.015106 -0.047989 -0.096112 0.072943 -0.089724 -0.048740

(0.01314) (0.01620) (0.01964) (0.01474) (0.01283) (0.01194) (0.01140) (0.01487)
[-3.19788] [-8.35200] [ 0.76910] [-3.25489] [-7.48967] [ 6.10770] [-7.86734] [-3.27714]
D(RRUSI(-1)) 0.008096 -0.065425 -0.671055 -0.025203 0.002486 -0.022146 0.010949 0.008458

(0.01071) (0.01320) (0.01600) (0.01201) (0.01046) (0.00973) (0.00929) (0.01212)
[ 0.75588] [-4.95530] [-41.9288] [-2.09777] [ 0.23777] [-2.27569] [ 1.17816] [ 0.69793]
D(RRUSI(-2)) -0.003842 -0.045029 -0.307241 -0.016739 -0.004662 -0.003339 -0.003221 -0.001510

(0.01057) (0.01303) (0.01579) (0.01185) (0.01032) (0.00960) (0.00917) (0.01196)
[-0.36355] [-3.45637] [-19.4551] [-1.41205] [-0.45186] [-0.34776] [-0.35128] [-0.12625]
D(RCH(-1)) 0.032535 -0.028775 0.075910 -0.633606 0.032795 -0.028693 0.051365 0.036346

(0.01409) (0.01736) (0.02105) (0.01580) (0.01375) (0.01280) (0.01222) (0.01594)
[ 2.30977] [-1.65722] [ 3.60658] [-40.1025] [ 2.38483] [-2.24198] [ 4.20289] [ 2.28047]
D(RCH(-2)) 0.007854 -0.048339 0.051164 -0.337394 -0.011370 -0.003819 0.028007 0.015698

(0.01396) (0.01721) (0.02086) (0.01566) (0.01363) (0.01269) (0.01212) (0.01580)
[ 0.56250] [-2.80842] [ 2.45222] [-21.5418] [-0.83410] [-0.30105] [ 2.31173] [ 0.99358]
D(RSA(-1)) 0.059136 -0.226879 0.019593 0.031985 -0.576219 -0.046752 0.085368 0.036786

(0.01744) (0.02150) (0.02606) (0.01956) (0.01703) (0.01585) (0.01513) (0.01973)
[ 3.39062] [-10.5528] [ 0.75181] [ 1.63492] [-33.8406] [-2.95024] [ 5.64135] [ 1.86403]
D(RSA(-2)) 0.077109 -0.001875 0.002024 0.008533 -0.281070 -0.082505 0.029229 0.019153

(0.01630) (0.02010) (0.02436) (0.01829) (0.01592) (0.01481) (0.01415) (0.01845)
[ 4.72918] [-0.09329] [ 0.08308] [ 0.46655] [-17.6570] [-5.56914] [ 2.06614] [ 1.03813]
D(RUSA(-1)) -0.069103 0.350454 -0.071823 -0.056376 -0.057325 -0.699921 -0.177311 -0.023230
209
(0.02024) (0.02495) (0.03025) (0.02271) (0.01976) (0.01839) (0.01756) (0.02290)
[-3.41384] [ 14.0450] [-2.37457] [-2.48294] [-2.90076] [-38.0561] [-10.0958] [-1.01423]
D(RUSA(-2)) -0.035154 0.140509 -0.030402 -0.022879 -0.050702 -0.334999 -0.041159 -0.005557

(0.01785) (0.02200) (0.02667) (0.02002) (0.01742) (0.01621) (0.01548) (0.02019)
[-1.96996] [ 6.38750] [-1.14013] [-1.14301] [-2.91024] [-20.6611] [-2.65830] [-0.27519]
D(RUK(-1)) 0.205178 -0.347635 0.114174 0.074739 0.134883 -0.124780 -0.445799 0.074705

(0.02148) (0.02648) (0.03210) (0.02410) (0.02097) (0.01952) (0.01864) (0.02431)
[ 9.55074] [-13.1273] [ 3.55673] [ 3.10159] [ 6.43111] [-6.39263] [-23.9169] [ 3.07327]
D(RUK(-2)) 0.135451 -0.183722 0.027128 0.002409 0.111634 -0.061465 -0.237999 0.015963

(0.01836) (0.02263) (0.02743) (0.02059) (0.01792) (0.01668) (0.01593) (0.02077)
[ 7.37826] [-8.11852] [ 0.98892] [ 0.11698] [ 6.22860] [-3.68493] [-14.9419] [ 0.76850]
D(RJAP(-1)) 0.023498 -0.075544 0.015089 0.020706 0.032619 -0.044385 0.021272 -0.681223

(0.01413) (0.01742) (0.02112) (0.01585) (0.01380) (0.01284) (0.01226) (0.01599)
[ 1.66246] [-4.33585] [ 0.71443] [ 1.30601] [ 2.36382] [-3.45615] [ 1.73455] [-42.5952]
D(RJAP(-2)) 0.014702 -0.047271 -0.017161 -0.010981 0.032403 -0.015010 0.005970 -0.302951

(0.01403) (0.01730) (0.02097) (0.01574) (0.01370) (0.01275) (0.01218) (0.01588)
[ 1.04766] [-2.73254] [-0.81837] [-0.69761] [ 2.36506] [-1.17713] [ 0.49033] [-19.0786]
C 6.40E-06 8.93E-07 1.77E-05 -1.58E-06 -5.29E-06 -7.02E-06 -2.46E-06 1.52E-08
(0.00026) (0.00032) (0.00038) (0.00029) (0.00025) (0.00023) (0.00022) (0.00029)
[ 0.02487] [ 0.00281] [ 0.04607] [-0.00547] [-0.02105] [-0.03003] [-0.01104] [ 5.2e-05]
R-squared 0.349836 0.454057 0.349596 0.336038 0.355378 0.442236 0.389888 0.352884
Adj. R-squared 0.346773 0.451485 0.346533 0.332910 0.352341 0.439608 0.387014 0.349836
Sum sq. resids 0.866670 1.316924 1.935093 1.090422 0.826050 0.715473 0.652431 1.109594
S.E. equation 0.015496 0.019102 0.023156 0.017382 0.015129 0.014080 0.013445 0.017534
F-statistic 114.2299 176.5636 114.1096 107.4442 117.0370 168.3221 135.6649 115.7677
Log likelihood 9976.755 9217.993 8520.057 9560.262 10063.81 10324.43 10491.70 9528.655
Akaike AIC -5.491455 -5.073060 -4.688203 -5.261793 -5.539458 -5.683169 -5.775408 -5.244365
Schwarz SC -5.460705 -5.042309 -4.657453 -5.231043 -5.508708 -5.652419 -5.744658 -5.213614
Mean dependent 7.06E-06 9.82E-07 1.21E-05 -2.15E-06 -2.13E-06 -2.50E-06 -2.29E-06 -1.02E-06
S.D. dependent 0.019174 0.025792 0.028645 0.021282 0.018799 0.018809 0.017173 0.021746
Determinant resid
covariance (dof adj.) 3.37E-29
210
Determinant resid
covariance 3.24E-29
Log likelihood 77793.86
Akaike information criterion -42.81327
Schwarz criterion -42.55360
Number of coefficients 152
211
Table 4.27 (c) Vector Error Correction Residual Diagnostics
D(RIND) = C(1)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733e-06 ) + C(2)*D(RIND(-1)) + C(3)*D(RIND(-2)) + C(4)*D(RBRZ(-1)) + C(5)*D(RBRZ(-2)) +
C(6)*D(RRUSI(-1)) + C(7)*D(RRUSI(-2)) + C(8)*D(RCH(-1)) + C(9)*D(RCH(-2)) + C(10)*D(RSA(-1)) +
C(11)*D(RSA(-2)) + C(12)*D(RUSA(-1)) + C(13)*D(RUSA(-2)) + C(14)*D(RUK(-1)) + C(15)*D(RUK(-2)) +
C(16)*D(RJAP(-1)) + C(17)*D(RJAP(-2)) + C(18)
D(RBRZ) = C(19)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
C(34)*D(RJAP(-1)) + C(35)*D(RJAP(-2)) + C(36)
D(RRUSI) = C(37)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
C(52)*D(RJAP(-1)) + C(53)*D(RJAP(-2)) + C(54)
D(RCH) = C(55)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
C(70)*D(RJAP(-1)) + C(71)*D(RJAP(-2)) + C(72)
D(RSA) = C(73)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
C(88)*D(RJAP(-1)) + C(89)*D(RJAP(-2)) + C(90)
D(RUSA) = C(91)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
C(106)*D(RJAP(-1)) + C(107)*D(RJAP(-2)) + C(108)
212
D(RUK) = C(109)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
C(124)*D(RJAP(-1)) + C(125)*D(RJAP(-2)) + C(126)
D(RJAP) = C(127)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
C(142)*D(RJAP(-1)) + C(143)*D(RJAP(-2)) + C(144)
Table 4.29 (a) Diagnostics to Extract P Value( Long Run and Short Run Causal Relationship)
No. Coefficient Std. Error t-Statistic Prob.
C(1) -0.156893 0.012849 -12.21084 0.0000

C(2) -0.522459 0.017774 -29.39424 0.0000
C(3) -0.266700 0.016077 -16.58924 0.0000
C(4) -0.149809 0.016927 -8.850276 0.0000
C(5) -0.042034 0.013144 -3.197876 0.0014
C(6) 0.008096 0.010711 0.755883 0.4497
C(7) -0.003842 0.010569 -0.363547 0.7162
C(8) 0.032535 0.014086 2.309772 0.0209
C(9) 0.007854 0.013963 0.562496 0.5738
C(10) 0.059136 0.017441 3.390621 0.0007
C(11) 0.077109 0.016305 4.729179 0.0000
C(12) -0.069103 0.020242 -3.413843 0.0006
C(13) -0.035154 0.017845 -1.969965 0.0489
C(14) 0.205178 0.021483 9.550741 0.0000
C(15) 0.135451 0.018358 7.378257 0.0000
C(16) 0.023498 0.014134 1.662463 0.0964
C(17) 0.014702 0.014034 1.047658 0.2948
C(18) 6.40E-06 0.000257 0.024867 0.9802
C(19) 0.385926 0.015838 24.36638 0.0000
C(20) -0.208426 0.021910 -9.512798 0.0000
C(21) -0.050943 0.019818 -2.570612 0.0102
C(22) -0.322048 0.020866 -15.43421 0.0000
213
C(23) -0.135326 0.016203 -8.351996 0.0000
C(24) -0.065425 0.013203 -4.955298 0.0000
C(25) -0.045029 0.013028 -3.456368 0.0005
C(26) -0.028775 0.017363 -1.657225 0.0975
C(27) -0.048339 0.017212 -2.808417 0.0050
C(28) -0.226879 0.021499 -10.55280 0.0000
C(29) -0.001875 0.020099 -0.093292 0.9257
C(30) 0.350454 0.024952 14.04503 0.0000
C(31) 0.140509 0.021997 6.387499 0.0000
C(32) -0.347635 0.026482 -13.12731 0.0000
C(33) -0.183722 0.022630 -8.118519 0.0000
C(34) -0.075544 0.017423 -4.335850 0.0000
C(35) -0.047271 0.017299 -2.732542 0.0063
C(36) 8.93E-07 0.000317 0.002814 0.9978
C(37) -0.067516 0.019199 -3.516589 0.0004
C(38) 0.035499 0.026559 1.336592 0.1814
C(39) 0.037288 0.024023 1.552193 0.1206
C(40) 0.026233 0.025293 1.037154 0.2997
C(41) 0.015106 0.019641 0.769104 0.4418
C(42) -0.671055 0.016005 -41.92885 0.0000
C(43) -0.307241 0.015792 -19.45513 0.0000
C(44) 0.075910 0.021048 3.606580 0.0003
C(45) 0.051164 0.020865 2.452218 0.0142
C(46) 0.019593 0.026061 0.751805 0.4522
C(47) 0.002024 0.024364 0.083082 0.9338
C(48) -0.071823 0.030247 -2.374571 0.0176
C(49) -0.030402 0.026665 -1.140134 0.2542
C(50) 0.114174 0.032101 3.556729 0.0004
C(51) 0.027128 0.027432 0.988923 0.3227
C(52) 0.015089 0.021120 0.714428 0.4750
C(53) -0.017161 0.020970 -0.818368 0.4132
C(54) 1.77E-05 0.000384 0.046066 0.9633
C(55) -0.082276 0.014412 -5.708758 0.0000
C(56) 0.067700 0.019937 3.395695 0.0007
C(57) 0.023009 0.018033 1.275962 0.2020
C(58) -0.090191 0.018987 -4.750156 0.0000
C(59) -0.047989 0.014744 -3.254893 0.0011
C(60) -0.025203 0.012014 -2.097766 0.0359
C(61) -0.016739 0.011855 -1.412047 0.1579
C(62) -0.633606 0.015800 -40.10252 0.0000
C(63) -0.337394 0.015662 -21.54185 0.0000
C(64) 0.031985 0.019563 1.634918 0.1021
C(65) 0.008533 0.018289 0.466553 0.6408
C(66) -0.056376 0.022705 -2.482939 0.0130
C(67) -0.022879 0.020017 -1.143012 0.2530
214
C(68) 0.074739 0.024097 3.101587 0.0019
C(69) 0.002409 0.020592 0.116981 0.9069
C(70) 0.020706 0.015854 1.306013 0.1916
C(71) -0.010981 0.015741 -0.697609 0.4854
C(72) -1.58E-06 0.000289 -0.005474 0.9956
C(73) -0.134460 0.012544 -10.71911 0.0000
C(74) 0.057071 0.017353 3.288897 0.0010
C(75) 0.005758 0.015695 0.366843 0.7137
C(76) -0.145588 0.016526 -8.809794 0.0000
C(77) -0.096112 0.012833 -7.489675 0.0000
C(78) 0.002486 0.010457 0.237767 0.8121
C(79) -0.004662 0.010318 -0.451860 0.6514
C(80) 0.032795 0.013752 2.384832 0.0171
C(81) -0.011370 0.013632 -0.834097 0.4042
C(82) -0.576219 0.017027 -33.84058 0.0000
C(83) -0.281070 0.015918 -17.65702 0.0000
C(84) -0.057325 0.019762 -2.900755 0.0037
C(85) -0.050702 0.017422 -2.910237 0.0036
C(86) 0.134883 0.020973 6.431109 0.0000
C(87) 0.111634 0.017923 6.228601 0.0000
C(88) 0.032619 0.013799 2.363824 0.0181
C(89) 0.032403 0.013701 2.365060 0.0180
C(90) -5.29E-06 0.000251 -0.021050 0.9832
C(91) 0.098069 0.011674 8.400412 0.0000
C(92) -0.079672 0.016150 -4.933366 0.0000
C(93) -0.054231 0.014607 -3.712654 0.0002
C(94) 0.116513 0.015380 7.575700 0.0000
C(95) 0.072943 0.011943 6.107702 0.0000
C(96) -0.022146 0.009732 -2.275691 0.0229
C(97) -0.003339 0.009603 -0.347757 0.7280
C(98) -0.028693 0.012798 -2.241979 0.0250
C(99) -0.003819 0.012687 -0.301054 0.7634
C(100) -0.046752 0.015847 -2.950244 0.0032
C(101) -0.082505 0.014815 -5.569143 0.0000
C(102) -0.699921 0.018392 -38.05613 0.0000
C(103) -0.334999 0.016214 -20.66114 0.0000
C(104) -0.124780 0.019519 -6.392631 0.0000
C(105) -0.061465 0.016680 -3.684925 0.0002
C(106) -0.044385 0.012842 -3.456151 0.0005
C(107) -0.015010 0.012751 -1.177132 0.2392
C(108) -7.02E-06 0.000234 -0.030032 0.9760
C(109) -0.207049 0.011148 -18.57267 0.0000
C(110) 0.146127 0.015422 9.475473 0.0000
C(111) 0.074424 0.013949 5.335548 0.0000
C(112) -0.180790 0.014687 -12.30979 0.0000
215
C(113) -0.089724 0.011405 -7.867343 0.0000
C(114) 0.010949 0.009293 1.178159 0.2387
C(115) -0.003221 0.009170 -0.351283 0.7254
C(116) 0.051365 0.012221 4.202894 0.0000
C(117) 0.028007 0.012115 2.311734 0.0208
C(118) 0.085368 0.015133 5.641345 0.0000
C(119) 0.029229 0.014147 2.066138 0.0388
C(120) -0.177311 0.017563 -10.09580 0.0000
C(121) -0.041159 0.015483 -2.658300 0.0079
C(122) -0.445799 0.018640 -23.91689 0.0000
C(123) -0.237999 0.015928 -14.94187 0.0000
C(124) 0.021272 0.012263 1.734554 0.0828
C(125) 0.005970 0.012176 0.490332 0.6239
C(126) -2.46E-06 0.000223 -0.011039 0.9912
C(127) -0.064436 0.014538 -4.432117 0.0000
C(128) 0.056348 0.020112 2.801778 0.0051
C(129) 0.036674 0.018191 2.016090 0.0438
C(130) -0.075585 0.019153 -3.946379 0.0001
C(131) -0.048740 0.014873 -3.277142 0.0010
C(132) 0.008458 0.012119 0.697927 0.4852
C(133) -0.001510 0.011959 -0.126246 0.8995
C(134) 0.036346 0.015938 2.280470 0.0226
C(135) 0.015698 0.015799 0.993578 0.3204
C(136) 0.036786 0.019735 1.864029 0.0623
C(137) 0.019153 0.018449 1.038129 0.2992
C(138) -0.023230 0.022904 -1.014225 0.3105
C(139) -0.005557 0.020192 -0.275192 0.7832
C(140) 0.074705 0.024308 3.073271 0.0021
C(141) 0.015963 0.020772 0.768495 0.4422
C(142) -0.681223 0.015993 -42.59524 0.0000
C(143) -0.302951 0.015879 -19.07856 0.0000
C(144) 1.52E-08 0.000291 5.22E-05 1.0000
Determinant residual covariance 3.24E-29
Equation: D(RIND) = C(1)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(2)*D(RIND(-1)) + C(3)*D(RIND(-2)) + C(4)
*D(RBRZ(-1)) + C(5)*D(RBRZ(-2)) + C(6)*D(RRUSI(-1)) + C(7)
*D(RRUSI(-2)) + C(8)*D(RCH(-1)) + C(9)*D(RCH(-2)) + C(10)
*D(RSA(-1)) + C(11)*D(RSA(-2)) + C(12)*D(RUSA(-1)) + C(13)
*D(RUSA(-2)) + C(14)*D(RUK(-1)) + C(15)*D(RUK(-2)) + C(16)
216
*D(RJAP(-1)) + C(17)*D(RJAP(-2)) + C(18)
Observations: 3627
R-squared 0.349836 Mean dependent var 7.06E-06
Adjusted R-squared 0.346774 S.D. dependent var 0.019174
S.E. of regression 0.015496 Sum squared resid 0.866670
Durbin-Watson stat 2.120825
Equation: D(RBRZ) = C(19)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(20)*D(RIND(-1)) + C(21)*D(RIND(-2)) +
C(22)*D(RBRZ(-1)) + C(23)*D(RBRZ(-2)) + C(24)*D(RRUSI(-1)) +
C(25)*D(RRUSI(-2)) + C(26)*D(RCH(-1)) + C(27)*D(RCH(-2)) +
C(28)*D(RSA(-1)) + C(29)*D(RSA(-2)) + C(30)*D(RUSA(-1)) + C(31)
*D(RJAP(-1)) + C(35)*D(RJAP(-2)) + C(36)
Observations: 3627
Equation: D(RRUSI) = C(37)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(38)*D(RIND(-1)) + C(39)*D(RIND(-2)) +
*D(RJAP(-1)) + C(53)*D(RJAP(-2)) + C(54)
Observations: 3627
Equation: D(RCH) = C(55)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(56)*D(RIND(-1)) + C(57)*D(RIND(-2)) +
217
*D(RJAP(-1)) + C(71)*D(RJAP(-2)) + C(72)
Observations: 3627
R-squared 0.336038 Mean dependent var -2.15E-06
Equation: D(RSA) = C(73)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(74)*D(RIND(-1)) + C(75)*D(RIND(-2)) +
*D(RJAP(-1)) + C(89)*D(RJAP(-2)) + C(90)
Observations: 3627
Equation: D(RUSA) = C(91)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(92)*D(RIND(-1)) + C(93)*D(RIND(-2)) +
C(100)*D(RSA(-1)) + C(101)*D(RSA(-2)) + C(102)*D(RUSA(-1)) +
C(103)*D(RUSA(-2)) + C(104)*D(RUK(-1)) + C(105)*D(RUK(-2)) +
C(106)*D(RJAP(-1)) + C(107)*D(RJAP(-2)) + C(108)
Observations: 3627
Equation: D(RUK) = C(109)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
218
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(110)*D(RIND(-1)) + C(111)*D(RIND(-2)) +
C(112)*D(RBRZ(-1)) + C(113)*D(RBRZ(-2)) + C(114)*D(RRUSI(-1))
+ C(115)*D(RRUSI(-2)) + C(116)*D(RCH(-1)) + C(117)*D(RCH(-2))
+ C(118)*D(RSA(-1)) + C(119)*D(RSA(-2)) + C(120)*D(RUSA(-1)) +
C(124)*D(RJAP(-1)) + C(125)*D(RJAP(-2)) + C(126)
Observations: 3627
Equation: D(RJAP) = C(127)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(128)*D(RIND(-1)) + C(129)*D(RIND(-2)) +
C(142)*D(RJAP(-1)) + C(143)*D(RJAP(-2)) + C(144)
Observations: 3627
219
Table 4.31 (a) Vector Error Correction Estimates II during Crisis
Cointegrating Eq: CointEq1
RIND(-1) 1.000000
RBRZ(-1) -2.753142
(0.79810)
[-3.44964]
RRUSI(-1) -2.173731
(0.61615)
[-3.52795]
RCH(-1) -1.981964
(1.17388)
[-1.68838]
RSA(-1) 3.029635
(0.98736)
[ 3.06843]
RUSA(-1) 21.90456
(1.13048)
[ 19.3763]
RUK(-1) -27.27760
(1.26237)
[-21.6083]
RJAP(-1) 3.265677
(0.94891)
[ 3.44152]
C -0.007222
CointEq1 0.008910 0.001952 0.010994 0.004871 -0.000500 -0.021048 -0.046464 -0.007796

(0.00344) (0.00464) (0.00587) (0.00280) (0.00363) (0.00363) (0.00259) (0.00337)
[ 2.59169] [ 0.42050] [ 1.87340] [ 1.74230] [-0.13770] [-5.79072] [ 17.9136] [-2.31619]
D(RIND(-1)) -0.683478 -0.075905 -0.050793 0.057575 -0.102766 0.028645 0.022200 0.018484

(0.03664) (0.04948) (0.06254) (0.02980) (0.03870) (0.03874) (0.02764) (0.03587)
220
[-18.6530] [-1.53391] [-0.81213] [ 1.93230] [-2.65531] [ 0.73942] [ 0.80305] [ 0.51527]
D(RIND(-2)) -0.396222 0.012192 -0.007870 -0.019992 -0.177585 0.045856 0.001279 -0.095336

(0.03516) (0.04748) (0.06001) (0.02859) (0.03714) (0.03717) (0.02653) (0.03442)
[-11.2694] [ 0.25677] [-0.13115] [-0.69925] [-4.78201] [ 1.23362] [ 0.04820] [-2.76971]
D(RBRZ(-1)) -0.084893 -0.810555 0.020566 -0.031682 -0.067087 -0.040390 0.117125 0.017463

(0.02714) (0.03666) (0.04633) (0.02207) (0.02867) (0.02870) (0.02048) (0.02657)
[-3.12778] [-22.1130] [ 0.44392] [-1.43548] [-2.34013] [-1.40753] [ 5.71980] [ 0.65720]
D(RBRZ(-2)) 0.003313 -0.367768 -0.016071 -0.000537 -0.106295 0.005879 0.071844 0.047576

(0.02671) (0.03608) (0.04560) (0.02172) (0.02822) (0.02824) (0.02015) (0.02615)
[ 0.12402] [-10.1941] [-0.35246] [-0.02470] [-3.76725] [ 0.20816] [ 3.56479] [ 1.81915]
D(RRUSI(-1)) -0.026148 -0.022280 -0.775905 -0.006006 -0.018130 -0.010817 0.089416 -0.014930

(0.02204) (0.02977) (0.03763) (0.01793) (0.02328) (0.02331) (0.01663) (0.02158)
[-1.18611] [-0.74836] [-20.6203] [-0.33503] [-0.77861] [-0.46411] [ 5.37623] [-0.69179]
D(RRUSI(-2)) -0.003588 -0.008360 -0.338766 -0.013071 -0.023966 -0.006641 0.039237 -0.020758

(0.02159) (0.02916) (0.03685) (0.01756) (0.02280) (0.02283) (0.01629) (0.02114)
[-0.16618] [-0.28673] [-9.19264] [-0.74451] [-1.05094] [-0.29095] [ 2.40886] [-0.98207]
D(RCH(-1)) -0.008875 0.071187 -0.040502 -0.643515 0.081867 -0.054966 0.129713 0.070444

(0.04648) (0.06278) (0.07934) (0.03780) (0.04910) (0.04915) (0.03507) (0.04551)
[-0.19093] [ 1.13396] [-0.51046] [-17.0242] [ 1.66741] [-1.11844] [ 3.69869] [ 1.54793]
D(RCH(-2)) 0.011349 -0.046298 0.119323 -0.278555 -0.026761 -0.033138 0.065807 0.007963

(0.04656) (0.06288) (0.07947) (0.03786) (0.04917) (0.04922) (0.03512) (0.04558)
[ 0.24377] [-0.73636] [ 1.50154] [-7.35775] [-0.54420] [-0.67324] [ 1.87353] [ 0.17470]
D(RSA(-1)) -0.037046 -0.041518 0.064879 -0.010106 -0.725692 0.076357 -0.094217 0.072158

(0.03488) (0.04710) (0.05953) (0.02836) (0.03684) (0.03687) (0.02631) (0.03414)
[-1.06221] [-0.88145] [ 1.08983] [-0.35634] [-19.6996] [ 2.07078] [-3.58067] [ 2.11329]
D(RSA(-2)) 0.132358 0.252611 -0.082639 -0.007071 -0.336014 -0.126951 -0.106109 0.064276

(0.03551) (0.04796) (0.06061) (0.02888) (0.03751) (0.03754) (0.02679) (0.03477)
[ 3.72726] [ 5.26737] [-1.36338] [-0.24486] [-8.95856] [-3.38143] [-3.96059] [ 1.84885]
D(RUSA(-1)) -0.141922 0.103357 -0.105153 -0.121311 0.038333 -0.529786 -0.821651 0.134212

(0.06677) (0.09018) (0.11397) (0.05430) (0.07053) (0.07060) (0.05038) (0.06537)
[-2.12544] [ 1.14615] [-0.92260] [-2.23415] [ 0.54351] [-7.50449] [-16.3100] [ 2.05306]
D(RUSA(-2)) -0.070394 0.031638 -0.023242 -0.057678 0.013916 -0.136810 -0.244827 0.098112

(0.04716) (0.06368) (0.08049) (0.03835) (0.04981) (0.04986) (0.03558) (0.04617)
[-1.49278] [ 0.49679] [-0.28876] [-1.50413] [ 0.27940] [-2.74412] [-6.88164] [ 2.12519]
221
D(RUK(-1)) 0.341399 0.009687 0.112042 0.094390 0.106918 -0.404639 0.154241 -0.044275
(0.06798) (0.09181) (0.11604) (0.05528) (0.07181) (0.07188) (0.05129) (0.06656)
[ 5.02177] [ 0.10551] [ 0.96554] [ 1.70739] [ 1.48898] [-5.62970] [ 3.00722] [-0.66522]
D(RUK(-2)) 0.146173 -0.031602 -0.005535 -0.002561 0.097452 -0.248628 0.023784 -0.069520

(0.04887) (0.06599) (0.08341) (0.03974) (0.05161) (0.05166) (0.03687) (0.04784)
[ 2.99135] [-0.47888] [-0.06636] [-0.06445] [ 1.88813] [-4.81253] [ 0.64514] [-1.45319]
D(RJAP(-1)) 0.032707 -0.021090 -0.092878 0.000338 0.079555 -0.040789 -0.143487 -0.650886

(0.03950) (0.05334) (0.06742) (0.03212) (0.04172) (0.04176) (0.02980) (0.03867)
[ 0.82806] [-0.39537] [-1.37762] [ 0.01053] [ 1.90691] [-0.97676] [-4.81508] [-16.8321]
D(RJAP(-2)) 0.037288 -0.040256 -0.074331 -0.063627 -0.002928 -0.029299 -0.112867 -0.257302

(0.03893) (0.05258) (0.06645) (0.03166) (0.04112) (0.04116) (0.02937) (0.03811)
[ 0.95781] [-0.76568] [-1.11861] [-2.00989] [-0.07120] [-0.71185] [-3.84282] [-6.75104]
C 2.59E-05 -2.64E-05 6.92E-05 -2.31E-05 -5.58E-05 -4.59E-05 -2.42E-05 -3.43E-05

(0.00062) (0.00084) (0.00106) (0.00051) (0.00066) (0.00066) (0.00047) (0.00061)
[ 0.04162] [-0.03140] [ 0.06512] [-0.04570] [-0.08481] [-0.06967] [-0.05141] [-0.05620]
R-squared 0.479786 0.561219 0.451757 0.350399 0.452745 0.578856 0.642661 0.363325

Adj. R-squared 0.466032 0.549619 0.437263 0.333225 0.438277 0.567722 0.633214 0.346492
Sum sq. resids 0.164801 0.300577 0.480145 0.108976 0.183856 0.184211 0.093804 0.157955
S.E. equation 0.016009 0.021621 0.027326 0.013018 0.016910 0.016926 0.012078 0.015673
F-statistic 34.88411 48.37794 31.16696 20.40229 31.29153 51.98796 68.02432 21.58436
Log likelihood 1804.164 1605.545 1450.744 1940.862 1768.003 1767.366 1990.411 1818.186
Akaike AIC -5.404429 -4.803466 -4.335081 -5.818039 -5.295016 -5.293088 -5.967960 -5.446856
Schwarz SC -5.282058 -4.681094 -4.212710 -5.695668 -5.172644 -5.170717 -5.845588 -5.324484
Mean dependent 4.54E-05 -1.82E-06 6.79E-05 -1.55E-05 -2.43E-05 -2.72E-05 -6.89E-06 -4.37E-05
S.D. dependent 0.021909 0.032217 0.036427 0.015943 0.022562 0.025744 0.019943 0.019388
Determinant resid covariance

(dof adj.) 3.41E-29
Determinant resid covariance 2.74E-29
222
F1000Research 2022, 11:1098 Last updated: 15 MAR 2023
RESEARCH ARTICLE
Modelling time-varying volatility using GARCH models:

evidence from the Indian stock market [version 2; peer
review: 2 approved]
Farman Ali , Pradeep Suri, Tarunpreet Kaur, Deepa Bisht
Department of Management, Uttaranchal University, Dehradun, Uttarakhand, 248001, India
v2 First published: 27 Sep 2022, 11:1098 Open Peer Review

https://doi.org/10.12688/f1000research.124998.1
Latest published: 08 Dec 2022, 11:1098
https://doi.org/10.12688/f1000research.124998.2 Approval Status
1 2
Abstract
Background: In this study, we examined the volatility of the Indian version 2
stock market from 2008 to 2021. Owing to the financial crisis, volatility (revision) view
forecasting of the Indian stock market has become crucial for 08 Dec 2022
economic and financial analysts. An empirical study of the returns of
the NSE indices revealed an autoregressive conditional
version 1
heteroskedastic trend in the Indian stock market.
27 Sep 2022 view view
Methods: Using GARCH 1, 1 (generalized autoregressive conditional
heteroskedasticity) and FIGARCH (fractionally integrated GARCH), we
examine investor behaviour and the persistence of long-term 1. Diksha Panwar , IILM University, Noida
volatility. NCR, India
Results: The empirical findings of the estimated models suggest that
shocks persist for a long time in NSE returns. Furthermore, bad news 2. Suleman Sarwar , University of Jeddah,
has a greater impact on stock volatility than good news. The return on Jeddah, Saudi Arabia
assets is stable but highly volatile, even though the Indian economy
has experienced the global crash to some extent. Any reports and responses or comments on the
Conclusions: Models of volatility derived from the GARCH equation
article can be found at the end of the article.
provide accurate forecasts and are useful for portfolio allocation,
performance measurement, and option valuation.
Keywords
GARCH Model, Stock market, Volatility, NSE Return, Financial Crisis
This article is included in the Uttaranchal

University gateway.
Page 1 of 18
Corresponding author: Farman Ali ([email protected])

Author roles: Ali F: Conceptualization, Data Curation, Formal Analysis, Investigation, Visualization, Writing – Original Draft Preparation,
Writing – Review & Editing; Suri P: Formal Analysis, Supervision, Validation, Visualization; Kaur T: Data Curation, Formal Analysis,
Validation, Writing – Original Draft Preparation; Bisht D: Conceptualization, Formal Analysis, Writing – Review & Editing
Competing interests: No competing interests were disclosed.
Grant information: The author(s) declared that no grants were involved in supporting this work.
Copyright: © 2022 Ali F et al. This is an open access article distributed under the terms of the Creative Commons Attribution License,
which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
How to cite this article: Ali F, Suri P, Kaur T and Bisht D. Modelling time-varying volatility using GARCH models: evidence from the
Indian stock market [version 2; peer review: 2 approved] F1000Research 2022, 11:1098
First published: 27 Sep 2022, 11:1098 https://doi.org/10.12688/f1000research.124998.1
Page 2 of 18
REVISED Amendments from Version 1

I’ve incorporated the minor changes suggested by the reviewer into the previous version. The initial recommendation was
to include a citation in the opening, followed by the systematic addition of a few additional papers to the literature review.
I have added a few additional references, which I have studied in order to clarify the Introduction and literature review
portions. The concluding portion cannot be altered because it contains computed results; nonetheless, it has been split into
two paragraphs.
Any further responses from the reviewers can be found at the end of the article
1. Introduction
In recent years, both academics and financial analysts have shown an increasing interest in modelling and forecasting the
volatility of financial time series, which is an increasingly fertile area of behavioural finance research. Since volatility
affects many economic and financial applications, such as portfolio optimization, risk and returns analysis and asset
pricing, it is a highly relevant concept. Asymmetry in the volatility process of unanticipated shocks is a prominent feature
of financial market time series. Negative news often has a greater impact on the conditional variance of equity returns than
positive news due to the leverage effect (Black, 1976). Globalizing the interdependence and size of major financial
markets, the transmission of financial market information to India has become a subject of interest. An economic spillover
occurs when one event sets off another event in a similar way, impacting economies both within and outside the country
(Nandy & Chattopadhyay, 2019). In 2008, when Lehman Brothers collapsed in the US, a domino effect was created
and hit economies worldwide, including India. Currently financial markets are closely interconnected and driven by
trust (Prasad & Reddy, 2009). In times of crisis, investors make errors of judgment as long as a group of investors
make irrational decisions, leading to the worsening of the situation in the stock market (Ye et al., 2020). Developed
and emerging markets have been a riveting field of research on behavioural finance owing to interlinked stock markets
worldwide. Coronavirus disease (COVID-19) also causes a shock to the majority of countries because of the inter-
connected market (Karkowska & Urjasz, 2021). The Indian stock market has thus far been resilient amidst the COVID-19
crosswind, despite the disrupting waves of the pandemic. According to Dhall & Singh (2020), the COVID-19 pandemic
has induced herding behaviour at the industry level. The volatility spillover between oil and the stock market has
confirmed bidirectional spillover in the Karachi stock market, unidirectional spillover in the Shanghai stock market, and
mixed evidence in the Bombay stock market (Sarwar et al., 2020). The Indian economy witnessed a subsequent global
crash to some extent. A study by Huang et al. (2020) concludes that foreign investors significantly increase crash risk in
groups with low levels of real earnings management, while they have no significant effect on crash risk in groups with
high levels of real earnings management. In India, it is very difficult to pinpoint the exact impact of the financial crisis, but
it seems that the crisis has spilled over into some sectors. Recently, global regulatory lockdowns caused by COVID-19
have severely impacted both the real and financial sectors. The Indian stock market has been extremely volatile in recent
decades. There are several reasons for this extreme volatility, including macroeconomic conditions and the types of
investors. In terms of risk hedging and portfolio optimization, very few empirical investigations have examined volatility
spillovers. TGARCH, EGARCH, and FIGARCH techniques are employed in this study on the Indian stock market in
order to contribute to volatility spillover and risk hedging. In India, shock transmission has substantially increased,
resulting in increased volatility. Fractionally integrated generalized autoregressive conditional heteroskedasticity
(FIGARCH) has been applied to predict the persistence of the volatility of the Indian indices (NSE). A major goal of
this study is to understand how one volatility index’s shocks can affect another’s volatility index.
This paper has the following structure. The literature review is in Section 2. The data and methodologies are presented in
Section 3. In Section 4, we present our results. In Section 5, we summarize the paper.
2. Literature review
Recent studies have investigated the cointegration relationship of the stock market amid crises (Aggarwal & Raja, 2019,
Bouri et al., 2017, Zhang & Wei, 2010). Some studies have explained the causal linkage while in several other studies
authors have performed comprehensive analysis by applying the generalized autoregressive conditional heteroskedas-
ticity (GARCH) 1,1 model developed by Bollerslev (1986). Recent developments in the field of behavioural finance have
revealed the volatility clustering in the Indian stock market by analysing time series data. A GARCH model is believed to
be extremely useful for modelling and forecasting asset return volatility over time (Engle & Patton, 2001).
Maloney & Mulherin (2003) predicted investors’ irrational behaviour using a volatility forecasting model. Fehr & Tyran
(2005) observed that a small group of irrational investors affects the aggregate outcome of the market during crashes; a
small amount of individual irrationality may lead to large deviations from the aggregate predictions of rational models.
Sadorsky (2006) found that for heating oil and natural gas, the TGARCH model (threshold GARCH model) fits well,
Page 3 of 18
whereas the GARCH model fits well for crude oil and unleaded gasoline. Alberg et al. (2008) analysed the dynamic
nature of returns in terms of serial correlation, asymmetric volatility clustering, and leptokurtic innovation. Liu & Hung
(2010) suggested that modelling the asymmetric component is more important than specifying the error distribution for
enhancing volatility forecasts of financial returns when fat tails, leptokurtosis and leverage are present. Muthukumaran
et al. (2011) argued that the Indian stock market was highly distressed by global financial crunches. Abdalla & Winker
(2012) hypothesized that volatility and expected stock returns are positively correlated. Geels (2013) discussed the green
growth discourse which resulted in a major green stimulus program, but this positive effect seems to be coming to an end.
Standard Capital Asset Pricing model (CAPM) analysis of investor attitudes and macroeconomic conditions using
daily stock price volatility as a proxy indicated that equity returns are responsive to market premium (Haque & Sarwar,
2013). Lim & Sek (2013) analysed stock market volatility in Malaysia, finding that the GARCH model works well during
a crisis while the TGARCH model works well in the post-crisis period. Asgharian et al. (2013) added the first principal
component to the model, which outperformed all other specifications, demonstrating that the constructed principle
component is a solid proxy for the economic cycle. Mahalingam & Selvam (2014), amid crises, hypothesized two
different sample periods for Bombay stock exchange (BSE) index returns and found that more than 90% of the data were
influenced by past values. Danso & Adomako (2014) identified the capital structure of firms in South Africa and found
that Africa was not isolated from the impact of the 2007-2008 financial crises. Ding et al. (2014) demonstrated that the
influence of the investor’s sentiment trend on stock returns build upon the direction of the investor’s sentiments change
(optimistic or pessimistic). Labuschagne et al. (2015) argued that GARCH models produce more accurate results than
risk-neutral historic distribution (RNHD) models for constant interest rates. Nowhere in the existing literature has it been
mentioned that investors also act rationally during a crisis. Mamun et al. (2015) concluded that the investors have a greed
of return, annoyance, and anger; again they are able to evaluate and take all of these behavioural emotions as well as
certain key rational attributes in terms of their risk appetite. Bir et al. (2015) examined the volatility shocks in series, and
found that volatility clusters are evident in empirical results. Balcilar et al. (2015) suggested that the causal relationships
between oil prices are strong. During certain subperiods, but not all, both variables have predictive potential for each
other. Molnár (2016) converted a GARCH (1,1) model to a range-GARCH (1,1) model. On 30 shares and six stock
indices as well as simulated data, the range-GARCH model outperforms the standard GARCH model, both in terms of
in-sample fit and out-of-sample forecasting. Akinsomi et al. (2018) observed the shifting of investors from anti-herding
behaviour within the highly volatile market to herding behaviour within the low volatile market. An et al. (2018)
found that firms located in countries with higher individualism have a higher stock price crash risk. Using GARCH, Wang
et al. (2018) examined how the spillover effect varies over time. Sarwar, Khalfaoui et al. (2019) investigated the portfolio
and hedging implications based on dynamic conditional correlation (DCC) and corrected DCC (cDCC) GARCH models,
and the evidence indicated that oil-importing nations are significantly affected by lagged oil price shocks, although there
is less evidence of interdependence between stock markets for both oil-importing and oil-exporting countries. Singh
(2019) studied the presence of the Monday effect in fear sentiments for all currency pairs, denoting high positive returns
with substantial value, and the Friday effect displaying negative returns. GARCH and TGARCH (Ben et al., 2019) were
used to analyse asymmetric volatility dynamics in major cryptocurrency markets. Sarwar et al. (2019) found a strong
correlation between firm stocks and oil assets. Additionally, there is strong evidence that volatility spills over from stocks
to oil. The conditional volatilities of equity indices show widespread evidence of asymmetry, structural changes spread to
other markets with a big order of magnitude (Harris et al., 2019). Hsu et al. (2020) suggested that negative stock-bond
return correlations resulting from investor flight-to-safety become less prominent when stock market uncertainty indices
are extremely high. Some studies also identified that the long-term volatility of the stock market depends upon many
macroeconomic variables. Sarwar, Khalfaoui, et al. (2019) revealed that shock dependence and conditional volatility
have a greater impact than volatility spillover. Furthermore, the bidirectional spillover between Nikkei stock returns and
oil returns, as well as the unidirectional spillover between Indian stock returns and oil returns, are validated. However,
there have been no indications of volatility spillover in China. Fang et al. (2020) and Lyócsa & Molnár (2020) applied a
nonlinear autoregressive model in which the autoregressive coefficient is determined by typical Google searches related
to COVID-19 and observed volatility between November 2019 and May 2020. Previous studies (Fang et al., 2020)
revealed that the autoregressive coefficient was negative throughout the whole event time; however, as market
uncertainty and attention to the virus increased, the coefficient’s magnitude increased as well. Narasimha & Mushinada
(2020) point out that investors are concerned about cognitive biases and therefore adapt to changing market dynamics. Vo
(2020) investigated the strong positive correlation between foreign investors and crash risk due to asymmetric
information in emerging markets. Among BRICS countries (Brazil, Russia, India, China, and South Africa) a diverse
response to stock market volatility has been reported including negative and positive shocks (Salisu & Gupta, 2021). Cui
& Zhang (2020) suggested that negative information creates fear among investors, which leads to a larger stock price
crash risk. Nikkinen & Peltomäki (2020) investigated the investors’ crash fears by analysing the published news on stock
market shocks and developing complex associations between information and stock market returns. He et al. (2020)
examined the ability of futures markets to price discoveries through margin trading in the stock market. Kumar & Misra
(2020) found widespread evidence of long-term similarity between the NIFTY 50 index and the global market. Naik et al.
(2020a) examined the robustness of GARCH for both heteroskedasticity and volatility clustering. Elyasiani et al. (2021)
Page 4 of 18
analysed market greed by incorporating the skewness index of investing, which captures investor excitement more than
investor fear. Mighri et al. (2022) found that precious metal prices and US stock market indices are quantile dependent
during crisis. Engle & Patton (2007) determined that the GARCH model allows long-term volatility predictions to be
reliant on socioeconomic dynamics and provides estimates of volatility to be expected in a freshly launched market.
Ghani et al. (2022) suggested that the economic policy uncertainty index has a predictive power to forecast. Even during
COVID-19, numerous researchers applied the GARCH model; nonetheless, the hedging strategy was expensive, with oil
providing maximum hedging effectiveness for Hong Kong (Mensi et al., 2022).
Previous studies have almost exclusively examined the integration of Asian economies with other developed countries
such as the United States and Japan amidst crises. It was reported in the literature (Salisu & Akanni, 2020) that during the
crisis, the domino effects hit economies worldwide in the short-run and long-run. This is inconsistent with the arguments
given by Aggarwal & Raja (2019), Rajwani & Mukherjee (2013) and Menon et al. (2009).
Although most of the current economic crisis has passed, further studies are still required to address developed and
emerging Asian markets. To assess the persistence of volatility the FIGARCH model is applied to the Indian stock
market. It is necessary to investigate whether the effect persists over time and, if so, for how long? Does the variance of the
forecast error in one market change due to a shock in another market? Contributing to existing theory and strategic
financial decision-making for investors, this study offers valuable insights. Since the economy is expected to grow rapidly
and foreign investors are becoming increasingly interested in the country, it is imperative to understand how market
volatility in India varies over time, persists, and is predictable. This may be useful in order to formulate hedging strategies
and diversify international portfolios.
3. Methods
In our study, we used data from the NSE-NIFTY 50 (National Stock Exchange) indices. We collected data from two
websites1 for the long run; covering most of the recession from January 1, 2008 to December 2, 2021. The period of study
is based on the daily return. We calculated the daily return by applying the [Return = log (The closing price of indices/
Closing price of indices (-1))] equation to the closing price. We analysed the data using the EViews 12 software package.
3.1 Hypothesis
H0: Error variance has homoscedastic properties (no ARCH effect) as followed by Lim & Sek (2013), Donadelli et al.
(2017), Naik et al. (2020b), Chowdhury et al. (2020) and Dai et al. (2021).
H1: Error variance is heteroscedastic (ARCH effects).
The autoregressive Conditional Heteroscedasticity (ARCH)2 model of volatility explains that heteroscedasticity may be
autocorrelated over time. Conditional informs that variance depends on errors made in the past; heteroscedasticity means
unequal variance. This model was proposed by Noble Prize winners (Engle et al., 1987). Suppose that the variance is yt.
The model is conditional for the variance yt on yt-1, thus
Var ðyt jyt1 Þ ¼ σ 2t ¼ α0 þ α1 y2t1 (1)
We have included the α0 ≥ zero (0) and α1 ≥ zero (0) to remove the (-) variance. In a series if the mean is equal to zero
(this can be achieved by centring), then the model can be expressed as follows:
yt ¼ σ t ϵ t , (2)
pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
With σ t ¼ α0 þ α1 y2t1 ,
iid
and ϵ t ðμ ¼ 0,σ 2 ¼ 1Þ
In ARCH (1) model equation (2) y2t has the AR ð1Þ model
y2t ¼ α0 þ α1 y2t1 þ error (3)
1
The different websites used to collect the data of Indices are www.nse.com and www.yahoofinance.com.
2
The generalized autoregressive conditional heteroskedasticity (GARCH) process was introduced by economist and Nobel Memorial Prize
winner Robert F. Engle in 1982. The approach is intended to estimate financial markets’ volatility.
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(a) A causal model can only be transformed into a legitimate infinite order MA only when α21 < 13
(b) yt is white noise when 0 ≤ α1 ≤ 1:
ARCH (m) process variance at a time is dependent upon observations at previous m times.
Varðyt jyt1 ,…,ytm Þ ¼ σ 2t ¼ α0 þ α1 y2t1 þ ⋯ þ αm y2tm : (4)
In theory, yt series squared will be AR (m) with certain constraints applied to coefficients. GARCH models use
past squared observations and past variances to calculate variances over time. The model (GARCH 1,1) can be
defined as
σ 2t ¼ α0 þ α1 y2t1 þ β1 σ 2t1 (5)
Covariance stationery observed with the GARCH (1,1) model, this is α1 + β1 < 1.
The leverage effect predicts that an asset’s price will become more volatile when its price decreases. In response to ‘bad
news’, volatility tends to rise, and volatility tends to fall in response to ‘good news’. This is due to financial and operating
leverage (Nelson, 1991). A simple variance specification of exponential GARCH is given by:

εt1
2 2
log σ t ¼ ω þ β log σ t1 þ aj þ γ εt1 (6)
σ t1 σ t1
The logarithmic form of the conditional variance implies that the leverage effect is exponential and that forecasts of
variance are not negative. This hypothesis can be tested to determine whether there is a leverage effect. γ > 0 If γ 6¼ 0, then
the impact is asymmetric.
Furthermore, the TGARCH model was introduced by Zakoian (1994). The conditional variance of stock market index
returns is based on the assumption that unexpected changes in index returns have different effects on the conditional
variance of the index returns. Threshold GARCH is a combination of ARCH and GARCH models. It specifies the
conditional variance as follows:
X
q X
p
σ 2t ¼ ω þ ai ε2ti þ γε2t1 d t1 þ β j σ 2tj (7)
i¼1 j¼1
where dt = 1 if εt < 0 and dt = 0.
In this model, the good news (εt > 0) and bad news (εt < 0) have differential effects on the conditional variance. Good news
has an impact a, while bad news has an impact a + γ it. If γ > 0 then the leverage effect exists and bad news increases
volatility, while if γ 6¼ 0 the news impact is asymmetric.
The FIGARCH model modifies this specification by incorporating a fractional difference term (Baillie & Morana, 2009).
This variance can be expressed as:

σ 2t ¼ ω þ 1 βðLÞ ∅ðLÞπ ðLÞ∈2t 1 þ βðLÞσ 2t1 (8)
3.2 Descriptive statistics

The NSE shows large shifts during times of crisis, followed by large shifts in the opposite direction, representing the wild
and calm periods of volatility clustering. Figure 1 displays a clustering of volatility for NSE returns on a daily basis, as
demonstrated by Mandelbrot & Taylor (1967) where “large changes tend to be followed by large changes, of either sign,
and small changes tend to be followed by small changes.”
Figure 2 illustrates that leptokurtic statistical distributions with kurtosis larger than three result in a greater degree of stock
market volatility. While the daily return of the NSE’s Jarque-Bera (32031.42) measures the market’s high volatility, the
form of the curve, the magnitude of kurtosis, and the low probability value suggest that it may be possible to reject the null
hypothesis.
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Figure 1. The volatility clustering of NSE return (source: author’s calculation). NSE: National Stock Exchange;
RNSE: returns of NSE.
Figure 2. Time series and histogram plot of returns to NSE (source: author’s calculations). NSE: National Stock
Exchange; RNSE: returns of NSE.
Table 1. The least square coefficients of NSE daily return (dependent variable: RNSE).
Variable Coefficient Std. error t-Statistic Prob.

C 0.000292 0.000236 1.234557 0.2171
RNSE (-1) 0.030297 0.017041 1.777853 0.0755
Source: author’s calculations. NSE: National Stock Exchange; RNSE: returns of NSE.
In Table 1, the least square method is used to identify correlations between the dependent variable and independent
variables by combining the mean and median, and the GARCH model is used to calculate the error distribution.
Table 2 shows that the statistics (73.209) and probability value (0.00) are statistically significant for the presence of
ARCH effects. It is also estimated the value of α1=0.145, this indicates that the null hypothesis has been rejected. The
heteroscedasticity test confirmed the existence of ARCH effects in the Indian stock market.
Table 3 reveals the variance equation hence the GARCH (1,1) model is justified for the presence of time-varying
conditional volatility of NSE returns.
The mean equation from Table 3 can be derived as:
R_NSE ¼ 0:000691 þ 0:060154 (9)
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Table 2. Heteroskedasticity Test: ARCH. dependent variable; RESID^2 (method: least squares).
F-statistic 74.75665 Prob. F (1,3440) 0.0000

Obs*R-squared 73.20917 Prob. Chi-Square (1) 0.0000
Variable Coefficient Std. error t-Statistic Prob.
C 0.000164 1.37E-05 11.95115 0.0000
RESID^2(-1) 0.145839 0.016867 8.646193 0.0000
Source: author’s calculations. ARCH: autoregressive conditional heteroskedasticity.
Table 3. GARCH (1,1) statistics for the daily returns of NSE.
Dependent variable: RNSE

Pre sample variance: backcast (parameter = 0.7)
GARCH = C (3) + C (4) *RESID (-1) ^2 + C (5) *GARCH (-1)
Variable Coefficient Std. error z-Statistic Prob.
C 0.000691 0.000154 4.473434 0.0000
RNSE (-1) 0.060154 0.018635 3.227959 0.0012
Variance equation
C 1.75E-06 2.97E-07 5.898412 0.0000
RESID (-1) ^2 0.098858 0.006572 15.04136 0.0000
GARCH (-1) 0.893763 0.007090 126.0605 0.0000
Source: author’s calculations. GARCH: generalized autoregressive conditional heteroskedasticity; NSE: National Stock Exchange; RNSE:
returns of NSE.
At present, the average return of the NSE is 0.000691 and its past value significantly forecasts the current series by
0.0601.
The coefficients were positive and statistically significant. We obtained the following variance equation for the NSE
return:
σ 2t ¼ α0 þ α1 y2t1 þ β1 σ 2t1
R_NSE ¼ 0:00000175 þ 0:893 þ 0:098 (10)
For the long term with constant variances, the GARCH and ARCH parameters are statistically significant at the 1% level
(Table 3). The results of the GARCH model are as follows. The time-varying volatility of NSE daily returns includes a
constant (0.00000175), past errors (0.893), and a component that depends upon past errors (0.098).
The GARCH (1,1) model and ARCH parameters indicate the persistence of volatility shocks. As a consequence,
today’s shock is implied to remain in the forecast for years to come. In addition, we also examined the long-term
dynamics of the Indian stock market using the FIGARCH. The lagged volatility and fitted variance are confirmed from
the estimation output, and when comparing Table 3 and Table 4 GARCH and FIGARCH, we can see that the ARCH
coefficient increases away from 1.00 whereas the GARCH coefficient decreases away from 1.00. This result highlights
the long-term persistence of volatility shock in the Indian stock markets. Moreover, we analysed the impact of good
and bad news on the volatility of the Indian stock market using the TGARCH and exponential GARCH (EGARCH)
models. The multiplicative dummy variable (Table 5) was added to the GARCH model to identify statistically significant
differences when the shocks were negative.
Nevertheless, the volatility behaviour of market index returns varies across market stages, and the Indian stock market has
undergone various stages of development. We estimate the time varying volatility of positive shock; σ 2t = 0.00000377 +
0.874 + (-0.001).
Page 8 of 18
Table 4. The outcome of FIGARCH for the daily returns of NSE.

Method: ML ARCH - normal distribution (BFGS/Marquardt steps)
GARCH = C (3) + C (4) *RESID (-1) ^2 + C (5) *GARCH (-1)
C 0.000702 0.000152 4.613667 0.0000
RNSE (-1) 0.063443 0.018065 3.511953 0.0004
Variance equation
C (3) 3.44E-06 6.17E-07 5.566320 0.0000
RESID (-1) ^2 0.066285 0.027797 2.384627 0.0171
GARCH (-1) 0.649706 0.050215 12.93856 0.0000
D 0.636527 0.055110 11.55020 0.0000
Source: author’s calculations. FIGARCH: fractionally integrated generalized autoregressive conditional heteroskedasticity; GARCH: gen-
eralized autoregressive conditional heteroskedasticity; ML ARCH: Lagrange multiplier autoregressive conditional heteroskedasticity; NSE:
National Stock Exchange; RNSE: returns of NSE.
Table 5. The results of TGARCH.

Method: ML ARCH - normal distribution (Marquardt/EViews legacy)
GARCH = C (3) + C (4) *RESID (-1) ^2 + C (5) *RESID (-1) ^2*(RESID (-1) <0) + C (6) *GARCH (-1)
C 0.000425 0.000152 2.806794 0.0050
RNSE (-1) 0.081077 0.015409 5.261564 0.0000
Variance equation
C 3.77E-06 3.03E-07 12.44776 0.0000
RESID (-1) ^2 -0.001007 3.49E-12 -2.89E+08 0.0000
RESID (-1) ^2*(RESID (-1) <0) 0.193074 0.011060 17.45670 0.0000
GARCH (-1) 0.874378 0.005747 152.1319 0.0000
Source: author’s calculations. GARCH: generalized autoregressive conditional heteroskedasticity; ML ARCH: Lagrange multiplier auto-
regressive conditional heteroskedasticity; RNSE: returns of National Stock Exchange; TGARCH: threshold GARCH.
Similarly, we estimate the time varying volatility of negative shock
σ 2t ¼ 0:00000377 þ 0:874 þ ð0:001 þ 0:193Þ (11)
The difference between good and bad news in the NSE index is 0.193 which is the coefficient of the asymmetric term. The
coefficient of the asymmetric term is negative (Table 6) and statistically significant at 1% level. In exponential terms this
indicates that bad news has a greater effect on the volatility of NSE than good news.
As previously discussed, the basic GARCH model assumes that positive and negative shocks of the same absolute
magnitude have the same impact on future conditional variances in the Indian stock markets. In contrast, previous studies
(Alberg et al., 2008, Labuschagne et al., 2015, Mathur et al., 2016) have shown that the volatility of aggregate equity
index returns can respond asymmetrically to past negative and positive returns, with poor returns resulting in higher
volatility in the future. In economics, this is often referred to as the “leverage effect.”
4. Results
From the above analyses it is clear that, regardless of the fit effect or estimation accuracy, GARCH models can be
appropriately adapted to the volatility of the Indian stock market. Furthermore, GARCH (1,1, symmetric model),
TGARCH and EGARCH (asymmetric models), perform well in our out-of-sample estimation. These empirical
results can generally be categorized into two sections, beginning with the ARCH, GARCH, and FIGARCH models
Page 9 of 18
Table 6. Estimating the results of EGARCH.

LOG (GARCH) = C (3) + C (4) *ABS (RESID (-1)/@SQRT (GARCH (-1))) +
C (5) *RESID (-1)/@SQRT (GARCH (-1)) + C (6) *LOG (GARCH (-1))
C 0.000306 0.000144 2.128865 0.0333
RNSE (-1) 0.075119 0.018037 4.164641 0.0000
C (3) -0.276483 0.025319 -10.91984 0.0000
C (4) 0.163321 0.010552 15.47766 0.0000
C (5) -0.105789 0.006731 -15.71784 0.0000
C (6) 0.983311 0.002144 458.5340 0.0000
R-squared -0.001095 Mean dependent var 0.000301
Adjusted R-squared -0.001386 S.D. dependent var 0.013864
S.E. of regression 0.013873 Akaike info criterion -6.241322
Sum squared residual 0.662295 Schwarz criterion -6.230615
Log likelihood 10750.44 Hannan-Quinn criter. -6.237497
EGARCH: exponential generalized autoregressive conditional heteroskedasticity; GARCH: generalized autoregressive conditional hetero-
skedasticity; RNSE: returns of National Stock Exchange; TGARCH: threshold GARCH.
followed by an analysis of the TGARCH and EGARCH models using their main objectives. The preliminary analysis of
the NSE indices is based on the analysis of different descriptive statistics. Table 3 demonstrates significant coefficients for
constant variance, ARCH, and GARCH parameters at the 1% level. These results pertain to the GARCH heteroscedas-
ticity model. The constant (0.00000175) was coupled with its past (0.893) and past errors (0.0.098). Our findings
are consistent with Mathur et al. (2016). These parameters also indicate resilience of volatility shocks. Based on the
estimated output, lagged volatility and fitted variance are significant. Figure 3 indicates that long-term forecast periods
are associated with greater uncertainty, and short-term forecast periods are associated with lower uncertainty. Based on
Figure 3. GARCH (1,1) NSE volatility forecasting and horizons (source: author’s calculations). GARCH: general-
ized autoregressive conditional heteroskedasticity; NSE: National Stock Exchange; RNSE: returns of National Stock
Exchange.
Page 10 of 18
this study, investors can select companies in accordance with their risk aversion. The conditional volatility of the
market return series from January 2008 to December 2021 shows volatility shifting across time, with violent price swings
clustering around the boom. Higher prices emerged in response to solid economic fundamentals, but the real cause
appears to be imperfections in the Indian market.
When comparing the findings produced using GARCH and FIGARCH, as shown in Table 4, the ARCH coefficient
increases away from 1.00 whereas the GARCH coefficient falls away from 1.00. The consequences of current shocks are
evident in the variance prediction for subsequent years. The difference between positive and negative news in the NSE
index is 0.193, which is the asymmetric term’s coefficient. Our research revealed that the volatility of the Indian stock
market could be affected asymmetrically by recent negative and positive returns, with a particularly negative rate of return
resulting in greater future volatility.
5. Conclusion
The heteroscedasticity test confirms that there is an arch effect in the Indian stock market. Thus, the GARCH (1,1) model
is justified for time-varying conditional volatility of NSE returns. As shown in Table 4, the mean equation is r_nse =
0.000691 + 0.060154. This study is based on secondary data for a period of 13 years ranging from January 2008 to
December 2021.The GARCH (1,1), FIGARCH and EGARCH approaches are applied to determine the long-term
persistence of volatility. Based on the results, the null hypothesis is rejected. The returns on stocks appear to be stable,
though very volatile. As a result of the current shocks, future forecasts of variance are likely to be affected for several
years. Information, news, and events can also significantly impact the stocks’ volatility.
We observed an asymmetrical reaction in the NSE return series in response to both good and bad news. Due to the
leverage effect, a negative innovation (news) would have a greater impact on volatility than a positive innovation (news).
According to this stylized fact, the innovation sign significantly affects the volatility of returns and bad news increases
volatility more than good news. Therefore, we conclude that bad news in the Indian stock market increases volatility more
than good news. Volatility models derived from the GARCH equation provide accurate forecasts and are useful for
portfolio allocation, performance measurement, and option valuation.
Moreover, it would be useful to investigate the volatility forecasting and impact of good and bad news on the inclusion of
a larger sample of countries from Asia, Africa, North America and Europe in comparison to the pre- and post-crisis
periods.
Data availability
Underlying data
Figshare: Modelling time-varying volatility using GARCH models. https://doi.org/10.6084/m9.figshare.20681203.v2
(Ali et al., 2022)
This project contains the following underlying data:
• Data.xlsx (data from the NSE-NIFTY 50 [National Stock Exchange] indices)
Data are available under the terms of the Creative Commons Attribution 4.0 International license (CC-BY 4.0).
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Page 13 of 18
Open Peer Review

Current Peer Review Status:
Version 2
Reviewer Report 16 December 2022
https://doi.org/10.5256/f1000research.141816.r157808
© 2022 Sarwar S. This is an open access peer review report distributed under the terms of the Creative Commons
Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the
original work is properly cited.
Suleman Sarwar
Finance and Economics Department, College of Business, University of Jeddah, Jeddah, Saudi
Arabia
The authors have addressed all the reported comments. I have no further comments.
Competing Interests: No competing interests were disclosed.
Reviewer Expertise: My area of expertise are financial economics, portfolio analysis, energy
economics and environmental economics etc.
I confirm that I have read this submission and believe that I have an appropriate level of
expertise to confirm that it is of an acceptable scientific standard.
Version 1
Reviewer Report 02 December 2022
© 2022 Sarwar S. This is an open access peer review report distributed under the terms of the Creative Commons
Suleman Sarwar
1 Finance and Economics Department, College of Business, University of Jeddah, Jeddah, Saudi
Arabia
2 Finance and Economics Department, College of Business, University of Jeddah, Jeddah, Saudi
Page 14 of 18
Arabia
Review Comments to authors:
Introduction:
1. There are a few sentences which need references, such as “In times of crisis, investors make errors
of judgment as long as a group of investors make irrational decisions, leading to the worsening of the
situation in the stock market.”
2. In the introduction, the author has to clearly mention the main contribution of this study. See
for example1,2.
Literature:
3. I suggest that author has to write the literature in a systematic way,
4. I recommend some of the recent studies need to be included in literature, such as 2019, 2020
etc.3,4,5,6,7.
Data and Results:
If we focus on results section, it needs modifications.
5. Why is it important to discuss this Indian Market instead of other markets?
Conclusion:
6. First paragraph of conclusion is too lengthy, please report the main findings and specific
(instead of general) policy implications.
References
1. Mighri Z, Ragoubi H, Sarwar S, Wang Y: Quantile Granger causality between US stock market
indices and precious metal prices. Resources Policy. 2022; 76. Publisher Full Text
2. Sarwar S, Shahbaz M, Anwar A, Tiwari A: The importance of oil assets for portfolio optimization:
The analysis of firm level stocks. Energy Economics. 2019; 78: 217-234 Publisher Full Text
3. Khalfaoui R, Baumöhl E, Sarwar S, Výrost T: Connectedness between energy and nonenergy
commodity markets: Evidence from quantile coherency networks. Resources Policy. 2021; 74.
Publisher Full Text
4. Sarwar S, Tiwari A, Tingqiu C: Analyzing volatility spillovers between oil market and Asian stock
markets. Resources Policy. 2020; 66. Publisher Full Text
5. Khalfaoui R, Sarwar S, Tiwari A: Analysing volatility spillover between the oil market and the
stock market in oil-importing and oil-exporting countries: Implications on portfolio management.
Resources Policy. 2019; 62: 22-32 Publisher Full Text
6. Sarwar S, Khalfaoui R, Waheed R, Dastgerdi H: Volatility spillovers and hedging: Evidence from
Asian oil-importing countries. Resources Policy. 2019; 61: 479-488 Publisher Full Text
7. Haque A, Sarwar S: Effect of Fundamental and Stock Market Variables on Equity Return in
Pakistan. Science International. 2013; 25 (4).
Page 15 of 18
Is the work clearly and accurately presented and does it cite the current literature?
Partly
Is the study design appropriate and is the work technically sound?

Yes
Are sufficient details of methods and analysis provided to allow replication by others?
Partly
If applicable, is the statistical analysis and its interpretation appropriate?

Partly
Are all the source data underlying the results available to ensure full reproducibility?
Yes
Are the conclusions drawn adequately supported by the results?

Yes
Reviewer Expertise: My area of expertise are financial economics, portfolio analysis, energy
economics and environmental economics etc.
expertise to confirm that it is of an acceptable scientific standard, however I have
significant reservations, as outlined above.
Reviewer Report 10 October 2022
© 2022 Panwar D. This is an open access peer review report distributed under the terms of the Creative
Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium,
provided the original work is properly cited. The author(s) is/are employees of the US Government and therefore
domestic copyright protection in USA does not apply to this work. The work may be protected under the copyright
laws of other jurisdictions when used in those jurisdictions.
Diksha Panwar
1 IILM University, Noida NCR, New Delhi, India
2 IILM University, Noida NCR, New Delhi, India
The theme is intriguing, and I can see value in research: - “Modelling time-varying volatility
using GARCH models: evidence from the Indian stock market”- Forecasting the volatility of the
Indian stock market has become essential for economic and financial analysts as a result of the
financial crisis. An analysis of the NSE index returns showed that the Indian stock market had an
Page 16 of 18
autoregressive conditional heteroskedastic trend. The author of this paper has looked into the
Indian stock market's volatility from 2008 through 2021. The GARCH equation, which is helpful for
portfolio allocation, performance evaluation, and option valuation, has been utilised by them to
produce precise projections.
The introduction is well written and constructed extremely nicely: - The introduction is so well
constructed as it grabs the interest of the reader, as well as it was clear, brief, purposeful, and
focused.
The presentation of the result and discussion part has been well-organised: - The GARCH
model, which is properly fitted to the volatility of the Indian stock market, was employed by the
author for this study. If we take a closer look, the study may be divided into two sections: an
investigation of the TGARCH and EGARCH models based on their primary goals, and then the
ARCH, GARCH, and FIGARCH models. Based on the examination of various descriptive statistics,
the NSE indices' preliminary study. Lagged volatility and fitted variance are substantial based on
the estimated output. If we dig deeper into the data, we find that longer prediction durations are
linked to higher levels of uncertainty whereas shorter forecast periods are linked to lower levels of
uncertainty. According to this study, investors can choose companies based on how risky they are.
The potential instability of the market return series from January 2008 to December 2021 shows
volatility shifting across time, with violent price swings clustering around the boom.
I certify that I have reviewed this work and possess the requisite level of knowledge to testify to
its scientific quality.
*Further research can be conducted using big data analytics techniques to get more
accurate forecasting of Indian stock market*
Yes

Yes
Yes

Yes
Yes

Yes
Page 17 of 18
Reviewer Expertise: Operations, Digital Marketing, Financial Marketing. Modelling
expertise to confirm that it is of an acceptable scientific standard.
The benefits of publishing with F1000Research:
• Your article is published within days, with no editorial bias
• You can publish traditional articles, null/negative results, case reports, data notes and more
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Page 18 of 18
F1000Research 2023, 11:1241 Last updated: 10 OCT 2023
RESEARCH ARTICLE
Cointegration and causality relationship of Indian stock

market with selected world markets [version 2; peer review: 1
approved, 1 approved with reservations]
Farman Ali, Pradeep Suri, Tarunpreet Kaur, Deepa Bisht
Department of Management, Uttaranchal University, Dehradun, Uttarakhand, 248001, India
v2 First published: 01 Nov 2022, 11:1241 Open Peer Review

Latest published: 10 Aug 2023, 11:1241
https://doi.org/10.12688/f1000research.123849.2 Approval Status
1 2
Abstract
Background: The purpose of this study is to explore the trends and version 2
causes of established and emerging nations' stock market integration (revision) view view
with India. The National Stock Exchange (NSE) indices act as a 10 Aug 2023
counterweight to international market indices.
This study investigates the sustained interest of foreign investors in
version 1
the Indian stock market in the wake of capital market reforms, as well
01 Nov 2022 view view
as whether it moves in tandem with other markets in Asia and the
United States.
Methods: Our study examined the possibility of cross-country 1. Uttam Golder , Jashore University of
cointegration between the largest economies and indices around the Science and Technology, Jessore District,
world using multiple financial econometric models, such as
Bangladesh
Augmented Dickey-Fuller, Unit Root, Correlation, and Johansen
Cointegration. 2. Nurul Syuhada Baharuddin, Universiti
Results: The findings of this study significantly support the notion
that Indian and international financial markets are highly integrated. Teknologi MARA Terengganu, Terengganu,
Vector error correction model indicates that the Indian market (NSE) is Malaysia
highly cointegrated with the US market (National Association of Nur Azwani Mohamad Azmin, Universiti
Securities Dealers Automated Quotations) and increased volatility
signifies global contagion. Teknologi MARA, Terengganu, Malaysia
Conclusion: A cursory examination of the data reveals distinct
Any reports and responses or comments on the
investment and portfolio diversification options for global investors.
This could assist regulators in formulating more effective rules article can be found at the end of the article.
regarding price discovery processes.
Keywords
Stock market, Investors, Volatility, Global market, Unit root test, VECM,
Johansen cointegration test
Page 1 of 24
This article is included in the Uttaranchal

University gateway.
Corresponding author: Farman Ali ([email protected])

Author roles: Ali F: Conceptualization, Investigation, Software, Visualization, Writing – Original Draft Preparation, Writing – Review &
Editing; Suri P: Supervision, Validation; Kaur T: Formal Analysis, Methodology, Validation; Bisht D: Data Curation, Investigation, Writing –
Review & Editing
Competing interests: No competing interests were disclosed.
Grant information: The author(s) declared that no grants were involved in supporting this work.
Copyright: © 2023 Ali F et al. This is an open access article distributed under the terms of the Creative Commons Attribution License,
which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
How to cite this article: Ali F, Suri P, Kaur T and Bisht D. Cointegration and causality relationship of Indian stock market with
selected world markets [version 2; peer review: 1 approved, 1 approved with reservations] F1000Research 2023, 11:1241
First published: 01 Nov 2022, 11:1241 https://doi.org/10.12688/f1000research.123849.1
Page 2 of 24
REVISED Amendments from Version 1

Following the reviewers’ comments, we revised the manuscript significantly, and we believe we have addressed all of the
concerns raised in the review.
Here is a point-by-point response to each reviewer’s comments:
1. We have added the data range used for this research article to the abstract.
2. A few critical points have been added to the introduction part of the Research article as suggested by reviewers.
3. According to the reviewers, we have also included some additional articles in the literature review. Following the
introduction, the remaining article structure is added.
4. We have also taken this opportunity to further enhance the clarity and organization of the manuscript to ensure that our
research is presented coherently and effectively to readers.
5. All the sentences are well-framed and checked by Grammarly.
6. The citation style has been modified where the remarks were given by the reviewers.
7. Full form of FIGARCH has been defined.
8. The table no.1 descriptive statistics have been reduced to four decimals as suggested by reviewers.
9. The Unit root test has been well explained.
10. In the findings some new supportive evidence from the previous research is added.
Any further responses from the reviewers can be found at the end of the article
1. Introduction
Global stock market connections have been studied extensively. However, there has not been a great deal of academic
interest in examining the interdependence of Emerging stock markets. An economic spillier occurs when one event sets
off another event in a similar way, having an impact on economies both within and outside a country. In 2008, when
Lehman Brothers collapsed in the U. S., the domino effect hit the economies worldwide including India (Aloui et al.,
2016). Financial markets today are closely interconnected and driven by trust. Therefore, the developed and emerging
markets have been a riveting field for the research of behavioural finance due to interlinked stock markets across the
world. Lai et al. (2016) examined during the crisis, investors make errors of judgment as long as a group of investors takes
irrational decisions that lead to worsening the situation of the stock market.
COVID-19 also delivered a shock to the economies of most countries, because of the nature of the interconnected global
market (Karkowska and Urjasz, 2021). The Indian stock market has been broadly resilient amidst the COVID-19 crisis so
far, despite the devastating waves of the pandemic (Kapoor et al., 2020). However, the Indian economy has witnessed
some impact from the global crash. Seth and Panda (2020) discussed that it is hard to pinpoint exactly the impact of any
financial crisis on the Indian stock market, but it seems that the COVID-19 crisis has spilled over into some sectors.
Numerous studies (Shaikh, 2021; Dhall and Singh, 2020; Singh and Neog, 2020) have argued on insignificant causal
linkage of the stock markets across the world. Some authors such as Zhang and Hamori (2021), have also focused on
the possible factors and impacts of the global crisis on the Indian market. Hoque et al. (2007) investigated the co-movement
of the Bangladesh market with those of Japan, the United States, and India and discovered evidence of a shared stochastic
trend. In his paper, it was clear that shocks in the US affected Bangladesh, which is an emerging country. Rajwani and
Mukherjee (2013) examined the interconnectedness of the Indian stock market with other Asian stock markets and
discovered that the Indian stock market is not interconnected with any of the Asian stock markets, demonstrating the
insensitivity of the Indian stock markets to other markets. Several studies have identified both short-term and long-
term cointegration and interconnected financial markets between different economies of the world (Stawiarski, 2021;
Yarovaya and Lau, 2016). The global financial markets are closely interconnected and driven by the emotions of the
investors (Huang et al., 2020). Hence, this manuscript focuses a causal linkage and cointegration between the global crisis
and the Indian stock. In previous studies such as Mukherjee and Bose (2008) and Rajwani and Mukherjee (2013), Asian
economies have been integrated with the economies of developed nations such as Japan and the United States.
In this study, we contribute to the literature on strategic financial decision-making for investors. Using vector auto
regressive correlation (VAR) and vector error correction method (VECM) to assess the cointegration (Yarovaya and Lau,
2016; Kanjilal and Ghosh, 2017; Aggarwal and Raja, 2019), have documented the multivariate cointegration-vector auto-
regression method and their results indicate that the Indian stock market return depends on the world market returns. This
study’s main objective is to comprehend how the volatility index of the Indian stock market might be impacted by the
volatility index of some other countries. The Indian Capital Market has been examined by various academics at various
times for its efficiency and co-integration. Utilizing the Engle-Granger test of co-integration, this study examines the co-
integration characteristics of the Indian Capital Market with global markets in the post-liberalization period. Since there
are so many markets and so much trade, no amount of research can adequately explain the behaviour. Indian capital
markets and other capital markets around the world are investigated in this study.
Page 3 of 24
Accordingly, the article is organized as follows: Section 2 summarizes existing studies that have used cointegration tests
on the stock market. Section 3 describes the technique used in the article. Section 4 goes over the data, including possible
structural breaks. Section 5 displays the cointegration test findings. Section 6 explores the ramifications of the findings,
and Section 6 concludes.
2. Literature review
A series of recent studies (Choudhary and Singhal, 2020; Kumar et al., 2021; Sahoo and Kumar, 2021; Kartal et al., 2022)
has investigated the cointegration relationship of the stock market amid crisis. Some studies (He et al., 2020; Stawiarski,
2021) have explained the causal linkage of Indian stock market with Asian countries while in some other studies, a
number of authors have recognized the comprehensive analysis by applying Generalized Autoregressive Conditional
Heteroskedasticity Model (Narasimha and Mushinada, 2020) and found very high volatility index of Indian stock market
in comparison to developed countries during the COVID-19 crisis. While recent advances in the field of behavioural
finance have highlighted the volatility clustering in the Indian stock market through the use of time series data analysis
and predictive analytics. According to Khaing et al. (2020), stock trend extraction results matched genuine price
movement. These patterns were retrieved with the news effect curve during the global recession 2008-2009. These
criteria include timestamp conversion, identifying the necessary verb, stock reference, and identifying advanced trends.
Chen (2021) created the new neural network model to develop the prediction model’s concepts. Belciug et al. (2021)
evaluated the efficacy of a statistical learning framework using an algorithm based on a competitive/collaborative method
for generating a reliable real-time forecast of the next stock market transaction price for a share during upswing of the
market. Biswas et al. (2021) reviewed numerous models and approaches used in stock market prediction and focused on
their advantages and disadvantages during the crisis. Numerous studies have argued that there is insignificant (Goudarzi
and Ramanarayanan, 2011) and significant (Aggarwal and Raja, 2019) causal linkage among the stock markets across the
world. Some scholars, such as Jain and Biswal (2016), have also focused on the possible drivers of rupee value decline
and the influence of the 2014-2015 global crisis on the Indian stock market. It is well established that the global financial
markets are closely interconnected Muthukumaran et al. (2011) and are driven by the emotions of investors. Several
studies have identified interconnected financial markets between different economies of the world during1996-1997
crisis Yang et al. (2003) by applying VAR (vector auto-regression). There is a strong co-movement between developing
and mature markets, and studies have found a larger correlation among well-established equities markets (Bekaert and
Harvey, 2003; Carrieri et al., 2007). On the other hand, some early literature implies the existence of diversification
benefits by investing in both developed and developing economies due to relatively lower correlations between stock
markets of such economies (Bekaert and Harvey, 1995; Foerster and Karolyi, 1999). Different experts have come to
different conclusions about how stock markets around the world are related to each other. In addition, the relationship
between global stock markets is temporally variable; national and global events can alter the nature and intensity of a
relationship over time. Depending on its intensity, the phenomenon could last a short time or last for a very long time.
Globalization has changed the relationship between various financial markets worldwide (Can Inci et al., 2011). Ahmad
et al. (2005) have investigated only short term linkage whilst no significant linkage was found among the Indian Stock
Market (NSE), Japanese (Nikkei) and US equity market (Dow Jones) amid crisis by using Granger-causality test. Menon
et al. (2009) found that the Indian stock market did not have any causal linkage with the US and Japanese stock markets
during the 2008 crisis period by hypothesizing Engle Granger test of co-integration. Siddiqui (2009) concluded that the
Indian stock market is integrated with the global market. Some others studies such as Rajwani and Mukherjee (2013) have
argued the Indian stock market is not interconnected with the Asian markets. Narayan et al. (2014) have investigated
highly positive time varying bilateral correlations by analysing GARCH-dynamic conditional correlations.
Yarovaya and Lau (2016) have concluded the asymmetric causality linkage; their results indicating the coupling
and decoupling of the Chinese stock market with the UK stock market. Nayak et al. (2016) applied machine learning
algorithms and identified that the historical prices of the stocks are combined with sentiments of the investors. Nandy and
Chattopadhyay (2019) have explained the unidirectional action from the world’s stock exchange indices over Indian
stock market indices by carrying multivariate vector auto regression (VAR) analysis and Granger causality test. Aggarwal
and Raja (2019) explored a long-run cointegration equation of the Asian and the Indian market by applying the Johansen
cointegration model. Some other studies have also confirmed the bidirectional causality of Bombay Stock exchange
indices with the US stock market indices by carrying Granger causality test (Choudhary and Singhal, 2020). Seth and
Panda (2020) have revealed the strong dynamic linkage between the global economies and Indian economy by analysing
the Autoregressive (AR1), Generalized Auto Regressive Conditional Heteroskedasticity (GARCH 1,1) Model and
Asymmetric Dynamic Conditional Correlation (ADCC) model to determine the coupling and decoupling. Apart from
analysing only the degree of cointegration and contagion among the world market, several studies have hypothesized the
global contagion on the volatility of Indian stock’s prices. Li et al. (2011) have confirmed that the GARCH model cannot
completely account for all nonlinearity in simulated market amid global crisis. Goudarzi and Ramanarayanan (2011) have
revealed the bilateral causality between the Bombay Stock Exchange and foreign institutional investors. Garg and Gulati
(2013) examined the rationality of the Indian investors in the face of economic crisis and validated the use of rational
Page 4 of 24
pricing models. Ding et al. (2014) have indicated returns depend on the direction of the movement of buying and selling
pattern and stock distinctiveness of individual holdings and on arbitrage constraint. Guyon (2014) suggested the models
of path-dependent volatility provide excellent alternatives to the duopoly of local volatility and stochastic volatility that
has dominated option pricing for the past twenty years.
The fractal structure has been studied by Mahalingam and Selvam (2014) with long term returns on the market. An
adaptive multiplicative error model (MEM) with time-varying parameters was proposed by Härdle et al. (2015).
A multiplicative error model (MEM) parameters are adaptively estimated through sequential testing. Bir et al. (2015)
have investigated the highest volatility for open ended stocks in the Indian stock market. Kumari and Mahakud (2016)
have explored the unidirectional causality between sentiment and stock market volatility. This study indicated that the
market reacts more strongly to the impact or shock of negative or bearish mood than to positive or bullish sentiment. Bouri
et al. (2017) have examined significant hypothesis about the existence of cointegration linkage and nonlinear volatilities
of oil and gold in Indian stock market during the crisis. Abuzayed et al. (2018) demonstrated that the skewed Student-t
FIGARCH (Fractionally integrated generalized autoregressive conditional Heteroscedasticity) model generates the most
precise VAR forecast for a single day. Other studies have demonstrated the ripple effects of United States of America
uncertainty on other developed markets, such as L. Fang et al. (2018). Boako and Alagidede (2018) have confirmed the
correlation amongst African stock markets, regional and global markets by carrying a comprehensive analysis. Chuliá
et al. (2018) have demonstrated that some crises have had a weak negative correlation with market synchrony. Wang et al.
(2019) have confirmed that significant shocks have a substantial link with stock prices and assert that volatility is more
susceptible to the asymmetric effect than extreme volatility. According to Xing and Yang (2019), firms that attract more
individual investors provide higher returns with lower future stock price crash risk. It is widely accepted that a greater
degree of correlation among stocks provides an early warning of the probability of crashes. It has been conclusively
shown that herding is strongly evident during the fluctuations of market (Shantha, 2019).
Some studies such as Fang et al. (2020); Wong et al. (2005); Daly (2003) also identified that the long-term volatility of the
stock market depends upon many macroeconomic variables. While Lyócsa and Molnár (2020) discovered that the
autoregressive coefficient was negative during COVID-19 (November 2019 to May 2020), they also discovered that
uncertainty in the stock market and fear of viruses significantly influenced the breath of the autoregressive coefficient
during the COVID-19 crisis. Narasimha and Mushinada (2020) point out that investors are concerned about cognitive
biases and therefore adapt to changing market dynamics. (Vo, 2020) studied the significant positive link between foreign
investors and crash risk due to the asymmetry of information in the emerging market. Among BRICS (Brazil, Russia,
India, China, and South Africa) a diverse responses to the stock market volatility reported including negative and positive
shocks (Salisu and Gupta, 2020). Cui and Zhang (2020) have suggested that negative information creates fear among the
investor which leads to a larger stock price crash risk. According to Nikkinen and Peltomäki (2020), investors’ crash
worries are examined by using published newspaper articles and web search volumes. They examine how information
supply and demand relate to investor anxiety and their effects on stock market returns, implying that media contribute to
the efficiency of information transmission. He et al. (2020) have examined the futures markets ability to price discover by
margin trading on the stock market. Kumar and Misra (2020) have found widespread evidence of long-term similarity
among the NIFTY 50 index and the global market. Naik et al. (2020) used GARCH (Generalized Auto-Regressive
Conditional Heteroskedasticity) to calculate stock return error distribution. When time series data are heteroskedastic and
volatile, the GARCH model is best. GARCH effectively predicted stock market crises (1995-2019) using State Bank of
India and Infosys datasets. Elyasiani et al. (2021) analysed market greed by including the skewness index, which
measures investor enthusiasm as opposed to investor fear. Previous studies have mainly exclusively explored the
integration of Asian economies with other developed nations such as the United States and Japan during the period
from 3rd January 2011 to 29th December 2017 in the midst of a global financial crisis. According to the literature, during
the COVID-19 crisis, domino effects had both short-term and long-term negative consequences on economies all around
the world (Salisu and Gupta, 2020).
However, there is a contradiction in the argument made by Aggarwal and Raja (2019); Rajwani and Mukherjee (2013)
and Menon et al. (2009). Long-term cointegration of stock markets was not discovered, but correlation analysis revealed
that stock market integration was growing with time.
Even though the majority of the COVID-19 economic crisis has passed, further research is still needed on the developed
and rising Asian markets. In addition, it would be interesting to know whether the effect of the crisis on the Indian stock
market persists over time and, if so, for how long. Do the recent shocks to global markets alter the standard deviation of
forecasting errors in the Indian stock market? Contributing to existing theory and strategic financial decision-making for
investors, this paper offers valuable insights. In particular, the authors explore how the global volatility index’s shock
influences the Indian volatility index, how long the impact lasts, and the degree and sign of the effect.
Page 5 of 24
3. Methods
In our study, we examined data from several major indices, including the NSE in India, the NIKKEI (Japan’s Nikkei
225 Stock Average) in Japan, NASDAQ (National Association of Securities Dealers Automated Quotations), DJI (Dow
Jones Industrial Average) and S&P (Standard and Poor index) in the United States, the FTSE (Financial Times Stock
Exchange) in the UK, the DAX (Deutscher Aktien Index) in Germany, the FTXIN (FTSE–Xinhua China A50 Index) in
China, Cotation Assistée en Continu (CAC) benchmark of France stock market and the Hang Seng in Hong Kong. The
descriptive statistics for all indexes’ returns are shown in Table 3. We compiled and collected the data from different
websites (including Yahoo, Investing.com and NSE India) over the long-term, encompassing a significant portion of the
recession from January 1, 2008, to December 2, 2021. The time period covered by the research has been selected to
provide an in-depth look at the worldwide correlations that have an effect on the Indian stock market over the long term.
Although the trading hours of each stock exchange varies, the time frame is the exact same for all indexes. Therefore, in
order to examine the group statistics, we have taken the common sample. We calculated the daily return by applying the
[Return=log (Closing price of indices/Closing price of indices (-1))] equation over the closing price. We analysed the data
using the EViews 12 (University Version) software package. The Johansen cointegration test (Menon et al., 2009)1 is
used to demonstrate a long-term link between variables. To determine short-term and long-term associations between
variables, the vector error correction model was utilised followed by Ezeibekwe (2021).
Hypothesis
H0: There is no long-term linear interdependency between the NSE index and the global index.
H1: There is a long-term linear interdependency between the NSE index and the global index.
Vector error correction model

This model is adopted when variables are cointegrated. VAR indicates the cointegration of the variables over the short
term. In addition, by incorporating error correction terms, the model examines the long-term causal relationship. The
number of variables can be measured by using the equations below. The vector autoregressive model of order 1 is called
VAR (1):
xt,1 ¼ α1 þ ϕ11 xt1,1 þ ϕ12 xt1,2 þ ϕ13 xt1,3 þ wt,1 (1)
Engle-Granger model is used to measure (Stawiarski, 2021) cointegration between the indices from the NSE and global
indices such as Japan (NIKKEI), U.S. (NASDAQ, DJI, and S&P), UK (FTSE), Germany (DAX), China (FTXIN), Hong
Kong (HANG SENG) and France (CAC). In 1981, Granger introduced the concept of cointegrated multivariate time
series to demonstrate linear combinations of stationary variables imply that there is a long-term relationship (Engle et al.,
1987).
Unit root test

A regression model must have stationary conditions to prevent spurious regressions. Our study examines stationary
conditions by using the ADF test (Augmented Dickey-Fuller) (Cheng et al., 2021). The null hypothesis is rejected if the
ADF value (calculated) is less than the critical levels (1%, 5%, and 10%). The cointegration test follows the unit root test
for measuring the extent of co-movement of long-term relationships among indices (Cheng et al., 2021).
Johansen cointegration test

In Johansen cointegration2, the number of independent linear combinations (k) that give a stationary process
is determined for (m) time series variables. The results are given as cointegration ranks. There is no cointegration
relationship when the rank is 0, and there is a cointegration equation when the rank is 1, and so on. Johansen cointegration
1
Menon et al. (2009) hypothesize that the Indian equity market have insignificant causal relationship with the US and Japanese equity markets
during the crisis period by adopting the “Engle-Granger test” of co-integration. Yarovaya and Lau (2016) also examined the asymmetric
causality test results supporting evidence of the coupling and decoupling hypothesis.
2
A long-term equilibrium relationship between security margin trading and systemic risk volatility demonstrated by the Johansen
co-integration test (Zhao et al., 2019). Johansen’s cointegration test indicates an average relationship between the Indian and Shanghai stock
markets and an especially strong relationship between the Indian and Singapore stock markets. A Granger causality test indicates that margin
financing contributes to the volatility of systematic risk in a bear market.
Page 6 of 24
test analyses the relationship between the NSE index and global index by using Eigen-values and trace statistics.
Integration is based on how many times a series need to be differentiated to produce a stationary series. The Johansen
cointegration test is a statistical method used to determine the presence of cointegration among a set of time series
variables. Cointegration implies a long-term relationship between these variables, which is essential for various
econometric models and time series analysis. In the test, ‘P’ denotes the number of cointegration vectors (also known
as the cointegration rank). It represents the maximum number of linearly independent combinations of the variables that
exhibit a stationary behaviour. ‘m’ represents the number of variables in the system being tested, and ‘k’ is the number of
deterministic terms (e.g., intercept or time trend) included in the model. The first difference generates an integrated series
known as I (1). As a result, a time series with I (0) is stationary; if I (1), the level is stationary and the change is stationary.
The equation below determines cointegration:
P¼mk
Null Hypothesis; H0: When k = 0, then p = m, there is no linkage among the variables3.
Alternate Hypothesis; H1: 0 < k < m, 0 < p < m There is a significant linkage among the variables.
4. Descriptive statistical analysis

Individual observations show large shifts during crisis times are further followed by large shifts in the return of the NSE
indices and the global indices representing the wild and calm periods of volatility clustering. Figure 1 shows the clustering
of the volatility for the daily return of indices, firstly noted by Mandelbrot and Taylor (1967) ‘large changes tend to be
followed by large changes, of either sign, and small changes tend to be followed by small changes.’ Figure 2 represent the
leptokurtic statistical distributions with kurtosis greater than three results to a greater extent of volatility because of
positive or negative shocks in the stock market. While the Jerque-Bera of NSE daily return (32031.42) measures the high
volatility. The shape of the curve and the value of kurtosis along with the low probability value reveal the possibility for
the rejection of the null hypothesis. The skewness measures the asymmetry of a time series over a given period (normal
skewness; 0, positive skewness; long right tail, negative skewness; long left tail).
Table 1 indicates that the left-hand tail of the German Blue chip stock market (DAX) is smaller than the right-hand tail.
In other indices, a negative skewness (the left-hand tail is larger than the right-hand tail) indicates a scenario of small wins
and few large losses for investors. Table 1 provides descriptive statistics on daily returns, highlighting Jarque-Bera
standard deviation using the same sample for all indices. The NSE returns over the entire period sample shows a
negatively skewed distribution of the sample (Jaque-Bera 33817.66, standard deviation 0.013768, Kurtosis 20.31397). In
Figure 1. Volatility clustering plot of daily returns to NSE, NIKKEI, NASDAQ, S&P, DJI, FTSE, FTXIN, HANG SENG,
DAX AND CAC INDICES (Source: author’s calculations).
3
Mukherjee and Bose (2008) posited cointegration, vector auto-regression, vector error-correction models, and Granger causality and found
that the U.S. market leads all Asian markets in terms of information.
Page 7 of 24
Figure 2. Time series plot of returns to NSE (Source: author’s calculations).
Japan, the statistical moments of the NIKKEI were Jarque-Bera 5525.19, standard deviation 0.0151, and Kurtosis
10.171). Jarque-Bera values for US Market (NASDAQ; 10447.74, standard deviation 0.014376, and Kurtosis 17.26778),
(S&P; 23085.57, standard deviation 0.013164), and (DJI; 33669.34, standard deviation 0.012713, and Kurtosis
20.25097). These all show a similar leptokurtic distribution with negative skewness.
It is evident from the descriptive statistics that the significant value probabilities and the Jerque-Bera calculation
indicate that the residual distribution of daily returns, like other indices (FTSE) Jarque-Bera 13203.88, standard deviation
0.012250 with Kurtosis value 13.81124), Germany (DAX) Jarque-Bera 9850.239, standard deviation 0.014335 with
Kurtosis value 12.34726), Hong Kong (HANG SENG) Jarque-Bera 11642.69, standard deviation 0.0126 and Kurtosis
19.89 and France (CAC) Jarque-Bera 8553.046. The values of skewness’ and kurtosis observed the volatility clustering
and specify the distribution of all indices (variables) is leptokurtic. Only Germany (DAX) is positively skewed, which
specify that the huge gain covers the small losses of investors. The Indian stock market exhibits a positive correlation with
the world market, as seen in Table 2; however, the correlation of all variables is not strong enough to explain the
cointegration.
Table 2 examines the correlation trends between the Indian market and a few selected global markets, indicating that there
is a relationship between the Indian stock market and other markets; nevertheless, Figure 3 illustrates that this connection
is sometimes parallel to the global economy.
It is said that the “flap of a butterfly’s wings in Brazil could set off a tornado in Texas” (Lorenz, 2000) that is not true in the
Indian context. The Indian stock market is still linked to the world market because the NSE has a positive correlation with
all global indexes, despite the fact that this correlation has been reducing significantly.
Unit root test analysis

A unit root test determines whether a time series is stationary. The null hypothesis defines time series as having a unit root,
while the alternative hypothesis defines them as being stationary. Table 3 indicates the value of t statistics in all variables
exceeds the critical value.
In this case, these variables were tested again at a difference of one, and the result indicated a null hypothesis, i.e., that the
series of all variables are integrated over four lag of order one. To perform Johansen’s cointegration test we employed the
VAR lag order selection criterion. Table 4 identifies the AIC value at the third lag so we examined the cointegration test
by using the third lag, recommended by AIC. A Japanese statistician (Akaike, 1974) developed the Akaike information
criterion. It currently serves as a paradigm for the foundations of statistics and is also commonly employed for statistical
inference. The Akaike information criterion (AIC) is an estimator of prediction error and, therefore, relative model quality
for a given set of data. Given a set of data models, AIC determines the quality of each model in comparison to the other
models. When a statistical model is employed to depict the process that generated the data, the representation is virtually
never perfect; as a result, some information is lost. AIC assesses the relative amount of information lost by a particular
model; the less information a model loses, the higher the model’s quality.
5. Results
Johansen’s cointegration test results
Table 5 shows the statistical values of Johansen’s cointegration test. In addition, it provides information about
the maximum Eigen-value. Statistics for all variables dependent (NSE) and independent (World’s indices) demonstrate
a perfect correlation of cointegration. Since the calculated value of statistics and maximum Eigen-value are greater
than the critical value (at 5% level) of (MacKinnon et al., 1999), the null hypothesis of no cointegration is rejected in
favour of the alternative hypothesis of cointegration. Therefore, the Indian stock market and the global stock market have
ten cointegration equations.
Page 8 of 24
Table 1. Descriptive statistics (common sample) for daily returns of indices.
Indices RNSE NIKKEI RNASDAQ RS_P RDJI RDAX RCAC RFTSE RFTXIN RHNGSNG
Mean 0.0003 0.0000 0.0004 0.0002 0.0002 1.0003 0.0001 0.0000 -0.0001 -0.0002
Median 0.0005 0.0005 0.0011 0.0007 0.0006 1.0007 0.0005 0.0004 -0.0001 0.0003
Maximum 0.1633 0.0773 0.1185 0.1096 0.1076 1.1140 0.1059 0.0938 0.0920 0.1341
Minimum -0.1390 -0.1211 -0.1300 -0.1277 -0.1384 0.8776 -0.1310 -0.1151 -0.0942 -0.1358
Std. Dev. 0.0138 0.0151 0.0144 0.0132 0.0127 0.0143 0.0147 0.0123 0.0167 0.0146
Skewness -0.2609 -0.8050 -0.3772 -0.5604 -0.5324 0.0784 -0.1622 -0.2589 -0.1468 -0.0441
Kurtosis 20.3140 10.1740 12.5983 17.2678 20.2510 12.3473 11.7053 13.8112 7.2921 13.1632
Jarque-Bera 33817.6600 5525.1930 10447.7400 23085.5700 33669.3400 9850.2390 8553.0460 13203.8800 2086.0790 11642.6900
Probability 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
Sum 0.7811 -0.0068 1.2053 0.6292 0.5666 2705.7210 0.1920 -0.0574 -0.3805 -0.5348
Sum Sq. Dev. 0.5126 0.5597 0.5588 0.4686 0.4370 0.5557 0.5822 0.4058 0.7521 0.5733
Observations 2705.0000 2705.0000 2705.0000 2705.0000 2705.0000 2705.0000 2705.0000 2705.0000 2705.0000 2705.0000
Source: author’s calculations.
Table 2. Correlation matrix for the daily returns of indices.
Dependent variable RNSE RNIKKEI RNASDAQ RFTXIN RDAX RHNGSNG RFTSE RDJI RCAC RS_P
RNSE 1.000 0.384 0.259 0.287 0.426 0.567 0.441 0.324 0.423 0.322
RNIKKEI 0.384 1.000 0.141 0.330 0.345 0.600 0.373 0.188 0.366 0.181
RNASDAQ 0.259 0.141 1.000 0.113 0.571 0.238 0.519 0.876 0.544 0.931
RFTXIN 0.287 0.330 0.113 1.000 0.183 0.563 0.208 0.110 0.193 0.116
RDAX 0.426 0.345 0.571 0.183 1.000 0.407 0.848 0.646 0.921 0.643
RHNGSNG 0.567 0.600 0.238 0.563 0.407 1.000 0.436 0.271 0.402 0.273
RFTSE 0.441 0.373 0.519 0.208 0.848 0.436 1.000 0.612 0.894 0.606
RDJI 0.324 0.188 0.876 0.110 0.646 0.271 0.612 1.000 0.627 0.976
RCAC 0.423 0.366 0.544 0.193 0.921 0.402 0.894 0.627 1.000 0.624
RS_P 0.322 0.181 0.931 0.116 0.643 0.273 0.606 0.976 0.624 1.000
Page 9 of 24
Figure 3. Movement of indices.
Table 3. Augmented dickey-fuller test statistic.
Null Hypothesis: D (R indices) has a unit root

Exogenous: Constant
Lag Length: 2 (Automatic - based on AIC, max.lag=2)
Augmented Dickey-Fuller test statistic t-Statistic Prob.*
D (RNSE) -49.54543 0.0001
D (RNIKKEI) -49.86084 0.0001
D (NASDAQ) -55.14356 0.0002
D (RHNGSNG) -57.60954 0.0031
D (RFTXIN) -56.95976 0.0001
D (RFTSE) -61.81385 0.0001
D (RDJI) -54.49088 0.0001
D (RDAX) -59.06823 0.0001
D (RCAC) -61.97524 0.0001
D (RS_P) -54.97958 0.0001
Test critical values: 1% level -3.432586
5% level -2.862414
10% level -2.567280
*MacKinnon (1996) one-sided p-values.
Table 4. VAR Lag order selection criteria.
Endogenous variables: RS_P RNSE RNIKKEI RNASDAQ RHNGSNG RFTXIN RFTSE RDJI RDAX RCAC
Exogenous variables: C
Lag Log L LR FPE AIC SC HQ
0 21099.53 NA 1.35e-42 -68.03073 -67.95928 -68.00295
1 21497.50 781.8252 5.16e-43 -68.99193 -68.20601* -68.68644*
2 21620.40 237.4761 4.79e-43 -69.06580 -67.56542 -68.48259
3 21721.71 192.4845 4.77e-43* -69.07002* -66.85516 -68.20909
4 21802.79 151.4382 5.08e-43 -69.00899 -66.07966 -67.87034
5 21873.51 129.8028 5.59e-43 -68.91454 -65.27074 -67.49817
6 21977.24 187.0576 5.54e-43 -68.92659 -64.56831 -67.23250
7 22079.51 181.1104 5.52e-43 -68.93390 -63.86115 -66.96209
8 22171.27 159.5397* 5.70e-43 -68.90731 -63.12009 -66.65778
LR: sequential; modified LR test statistic, FPE: Final prediction error; AIC: Akaike information criterion; SC: Schwarz information criterion;
HQ: Hannan-Quinn information criterion.
*Indicates lag order selected by the criterion (each test at 5% level).
Page 10 of 24
Table 5. Johansen’s cointegration test.

Unrestricted cointegration rank test (Trace)
Hypothesized No. of CE(s) Eigen-value Trace statistic 0.05 Critical value Prob.**
None * 0.334300 3261.797 239.2354 0.0000
At most 1 * 0.285750 2753.151 197.3709 0.0000
At most 2 * 0.268835 2332.498 159.5297 0.0000
At most 3 * 0.231890 1941.102 125.6154 0.0000
At most 4 * 0.222216 1611.324 95.75366 0.0000
At most 5 * 0.212214 1297.192 69.81889 0.0000
At most 6 * 0.206747 999.0299 47.85613 0.0000
At most 7 * 0.190017 709.5135 29.79707 0.0000
At most 8 * 0.170580 446.0860 15.49471 0.0000
At most 9 * 0.156201 212.3006 3.841465 0.0000
Trace test indicates 10 cointegrating eqn (s) at the 0.05 level.
Hypothesized No. of CE(s) Eigen value Max-Eigen Statistic 0.05 Critical value Prob.**
None * 0.334300 508.6457 64.50472 0.0000
At most 1 * 0.285750 420.6532 58.43354 0.0000
At most 2 * 0.268835 391.3954 52.36261 0.0000
At most 3 * 0.231890 329.7780 46.23142 0.0000
At most 4 * 0.222216 314.1328 40.07757 0.0000
At most 5 * 0.212214 298.1618 33.87687 0.0000
At most 6 * 0.206747 289.5164 27.58434 0.0000
At most 7 * 0.190017 263.4275 21.13162 0.0000
At most 8 * 0.170580 233.7855 14.26460 0.0000
At most 9 * 0.156201 212.3006 3.841465 0.0000
Max-eigenvalue test indicates 10 cointegrating eqn (s) at the 0.05 level.
Source: author’s calculation.
*Denotes rejection of the hypothesis at the 0.05 level.
**MacKinnon et al. (1999) p-values.
Figure 4. Impulse response functions (Source: authors calculations). Page 11 of 24

Table 6. Unrestricted cointegrating coefficients (normalized by B'*S11*B=I).
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): PANEL A

RNSE RNIKKEI RNASDAQ RDAX RFTXIN RHNGSNG RFTSE RDJI RCAC RS_P
48.80460 -43.88065 -55.52894 -21.15840 12.51878 -73.39477 -35.78659 -267.9007 -121.6060 598.1070
-5.517466 -143.6456 -20.65795 -13.84757 25.57719 -63.85301 -56.58934 162.7164 203.5676 -83.88764
-39.61267 38.78913 -261.1437 34.75907 -59.52097 81.86909 -163.6048 11.16332 38.26515 360.8356
-115.2163 -23.96577 211.9508 159.3792 -16.68902 88.49715 -134.9213 -39.30057 -48.41080 -124.4930
-81.29088 40.92984 114.9585 -253.6834 -2.066002 9.699304 45.33348 458.7454 93.36657 -424.4553
80.23515 23.15905 43.81374 -48.05538 -22.90149 -37.32344 -302.8736 88.22049 185.3251 -145.3880
24.65592 64.02229 22.36051 -104.8731 92.24334 -65.68420 -141.4215 -80.91578 195.7031 93.04734
2.437710 -15.75192 106.6659 -220.3579 -77.29343 49.72520 40.41041 -303.8509 246.6365 163.9945
86.06294 -54.75510 240.5182 -8.903653 -27.85157 92.37009 9.030500 499.7341 -46.76613 -668.2037
25.49272 117.3313 163.7942 119.9363 -15.46875 -173.0843 85.64101 150.4572 -113.9755 -297.0598
Unrestricted Adjustment Coefficients (alpha): PANEL B
D (RNSE) 0.000223 0.001920 -0.000243 0.003770 0.003266 -0.000131 -0.002115 -0.000944 -0.003319 0.000616
D (RNIKKEI) 0.003035 0.004928 -0.002069 0.001040 -0.001143 0.000154 -0.003472 -0.000489 -1.93E-05 -0.001033
D (RNASDAQ) -0.002523 0.000326 -0.001496 -0.002115 -0.000311 0.002292 -0.003464 -0.002115 -0.002876 -0.001172
D (RDAX) 0.002884 -0.001214 -0.002879 -0.001209 0.002868 0.002775 -0.002972 -0.000614 -0.002005 -0.001536
D (RFTXIN) 0.000967 0.000476 0.003153 0.000814 -9.52E-05 0.002660 -0.005898 0.003115 -4.87E-05 0.002692
D (RHNGSNG) 0.003160 0.002852 -0.001137 -0.000175 0.000507 0.001859 -0.002674 -0.000510 -0.002274 0.003158
D (RFTSE) 0.002459 -0.000696 -0.000989 0.000880 0.000816 0.003947 -0.001745 -0.001658 -0.001533 -0.001124
D (RDJI) -0.001413 -0.000840 -0.003599 -0.000205 -0.000701 0.002373 -0.002824 -0.000719 -0.002505 -0.000768
D (RCAC) 0.003391 -0.002547 -0.002221 -5.26E-05 0.001494 0.002433 -0.003637 -0.002292 -0.001565 -0.001232
D (RS_P) -0.002145 -0.000331 -0.003237 -0.000622 -0.000140 0.002644 -0.003156 -0.001440 -0.002185 -0.000699
1 Cointegrating Equation(s): Log likelihood 41945.85 PANEL C
RNSE RNIKKEI RNASDAQ RDAX RFTXIN RHNGSNG RFTSE RDJI RCAC RS_P
1.000000 -0.899109 -1.137781 -0.433533 0.256508 -1.503849 -0.733263 -5.489252 -2.491691 12.25514
(0.18129) (0.39565) (0.33892) (0.11866) (0.20640) (0.34232) (0.68768) (0.38612) (0.93717)
Source: Author’s calculations.
Page 12 of 24
In Figure 4, we show impulse response functions associated with the non-factorized one standard deviation of innovations
for the Indian stock market and the stock markets of some of India’s top trading partners and developed nations. It depicts
the negative impulse responses of the Chinese and Japanese stock markets. Interestingly, both markets are responding
similarly to a shock to the Indian stock market in their respective stock markets. Geographic proximity may be the reason
for this. The established stock markets of the United States and other economies have a distinct trend. It demonstrates that
these markets are in fact developed and have a robust positive impulse reaction to the Indian stock market.
Empirical results
This study shows innovations in the Indian stock market do indeed propagate to India’s top trading partner’s stock
markets in a time-varying manner. In this study, the U.S. stock market appears to be the most influential. The analysis of
the ADF statistics (Table 3) confirmed the unit root series for all indices and then we determined lag order using the VAR
Lag Order Selection Criteria (Table 4) to carry out causality test. To perform the cointegration test, we selected the AIC,
indicating the third lag. Table 5 reveals the critical value is less than trace statistics and Max-Eigen values, which rejects
the null hypothesis of no causal links, resulting in cointegration equations among all variables. Panel C of Table 6 predicts
the long-term cointegration equation for the Indian stock market, which suggests that Japan (NIKKEI), US (NASDAQ,
DJI, UK (FTSE), Germany (DAX), Hong Kong (HANG SENG) and France (CAC) indices have a positive correlation
with Indian Indices (NSE), while China (RFTXIN) and US (S&P) indices have a negative correlation, considering ceteris
paribus on Indian stock market. As Song et al. (2021) have documented supporting evidence, our findings are consistent
with the idea that global financial crises have positively influenced interdependence of stock markets in Asian countries.
Based on the coefficients, the linkage between the Indian stock market and the global market is statistically significant at a
1% level. Additionally, the Chinese stock market indices and S&P show a negative impact on Indian stock markets and
the NASDAQ and Dow Jones indices in the US, Hong Kong (HANG SENG), and Japan (NIKKEI) have shown the
strongest long-term correlation with Indian markets. The impulse reaction of NIKKEI to unit shock in NSE causes a
little decrease in NSE on days 3 and 4, but an increase on day 6. Between days 8 and 10, this effect increases marginally.
Similarly, when a unit shock is applied to NSE, NIKKEI displays a mixed reaction. This is evidence that the Japanese and
Indian stock markets are not fully integrated. The impulse response of S&P to a unit shock on the NSE demonstrates that it
has a negative impact on the SENSEX on the second day and a positive impact on the third day. It indicates that the NSE is
highly cointegrated with the S&P and in the same way, DJI, NASDAQ, FTSE, and CAC. In addition, HNGSNG, DAX,
and FTXIN do not have a significant impact on the Indian stock market. Similar findings are reported by Choudhary and
Singhal (2020) and Mukherjee and Bose (2008). In addition, we find that our findings are in line with those of Tripathi and
Sethi (2012), Hoque et al. (2007), etc. The correlation results are consistent with Seth and Panda (2020) indicated that the
Indian stock market index has a strong positive correlation with the US stock market index.
6. Conclusion
The empirical findings suggest that the selected stock markets have a long-term dynamic. According to our research, the
volatility of the US stock market considerably affected the Indian stock market. We performed a vector error correction
model test to assess the stationary conditions of the series. This test demonstrated that the sequence is stationary.
However, the variables become constant after considering the original difference. Cointegration tests show that the Indian
stock market is integrated over time owing to the presence of a cointegration vector. A model of error correction
demonstrates conclusively that variables are causal in the long-term. The stock market in India is impacted by those in the
United States, Great Britain, Japan, and Germany. In addition, we applied the pairwise Granger causality test, which
reveals the lead-lag connection across the markets, to test for short-term causative and informational linkages among
diverse pairs of markets. According to our findings, the Indian stock market is neither fully connected nor completely
decoupled from the global market. Nonetheless, the amount of integration implies that portfolio diversification can still
result in substantial risk reduction and return maximisation in both the short-term and long-term by diversifying their
portfolio during a crisis. In recent years, the returns on major US stock indices have dominated the returns for Indian
stocks. Similar results show that the bank-dominated financial sectors of the ASEAN five and China are increasingly
integrated (Caporale et al., 2021).
The study is prone to various limitations because it relies on secondary sources of data, which have inherent limitations,
such as the total number of trading days during the study period for each country were different. So, the sample was
adjusted with the help of EViews software. A quick glance at the study highlights clear-cut investment and portfolio
diversification opportunities for international investors. This may help regulators formulate better policies concerning
price discovery mechanisms. Moreover, it is possible to extend the present study to include global contagion issues
between the sample countries. This could be done using high frequency data.
Data availability
Figshare: Cointegration and Causality Relationship, https://doi.org/10.6084/m9.figshare.20263803.v2 (Ali et al., 2022).
Page 13 of 24
This project contains the following underlying data:
• CHINA A 50(FTXIN9).xlsx
• DAX.xlsx
• NIKKEI.xlsx
• NSE.xlsx
• S&P 500.xlsx
• CAC 40 (FCHI).xlsx
• DJI.xlsx
• HANG SENG.xlsx
• NASDAQ 100.xlsx
• FTSE.xlsx
Data are available under the terms of the Creative Commons Attribution 4.0 International license (CC-BY 4.0).
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Open Peer Review

Current Peer Review Status:
Version 2
Reviewer Report 10 October 2023
© 2023 Syuhada Baharuddin N et al. This is an open access peer review report distributed under the terms of
the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any
medium, provided the original work is properly cited.
Nurul Syuhada Baharuddin

Faculty of Business and Management, Universiti Teknologi MARA Terengganu, Terengganu,
Malaysia
Nur Azwani Mohamad Azmin
Faculty of Business and Management, Universiti Teknologi MARA, Terengganu, Malaysia
Dear Authors,
Thank you for the thorough revision of the article. We have reviewed the changes made in
response to our previous comments, and we are pleased to see that the authors have addressed
all the concerns and suggestions. The revisions have significantly improved the clarity,
organization, and overall quality of the article.
Considering the comprehensive revisions of your manuscript, we are confident in changing our
previous status from 'approved with reservation' to 'approved'. We appreciate the authors'
dedication to improving the work and commend their efforts. Once again, congratulations on your
insightful work.
We confirm that we have read this submission and believe that we have an appropriate level
of expertise to confirm that it is of an acceptable scientific standard.
Reviewer Report 24 August 2023
© 2023 Golder U. This is an open access peer review report distributed under the terms of the Creative Commons
Page 17 of 24
Uttam Golder
Assistant Professor of Dept. of Finance and Banking, Jashore University of Science and Technology,
Jessore District, Khulna Division, Bangladesh
Thanks to the authors to revise their article. However, in this version, I have some critical
comments:
1. The authors used a Vector error correction model. However, I can not find any error
correction term. It indicates the speed of adjustment and a negative sign indicates a
convergence from the short run to the long run and shows a causal relationship of your
explanatory variables with the dependent variable. Please report your ECT term
2. The authors did not show any post-estimation test. The authors must have to show those
tests to validate their results. Otherwise, the results are questionable.
So please, report those ECT terms and relevant post-estimation test results. Thank you.
Reviewer Expertise: My research interest is Fintech, Environmental, and Climate Financing. I also
have an interest in Growth and Banking related field
Version 1
Reviewer Report 25 July 2023
© 2023 Syuhada Baharuddin N et al. This is an open access peer review report distributed under the terms of
the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any
medium, provided the original work is properly cited.
Nurul Syuhada Baharuddin

Faculty of Business and Management, Universiti Teknologi MARA Terengganu, Terengganu,
Malaysia
Nur Azwani Mohamad Azmin
Faculty of Business and Management, Universiti Teknologi MARA, Terengganu, Malaysia
Abstract
The authors provide a comprehensive explanation of the study. However, the researchers did not
specify either the year or the data range that was employed in their study.
Introduction
Page 18 of 24
The problem statement is insufficiently addressed, and the authors include findings from other
studies that would be more appropriately highlighted in the Literature Review section. The
researcher should emphasize the novel aspects and contributions to existing knowledge of the
study.
Literature Review
Many of the writings cited in this column are highly regarded, although literature published
before 2010 is generally considered outdated. The citation style and sentence structure in the text
does not adhere to the prescribed standards of citation formatting. For instance, the first
paragraph's line 19 reads, "Several studies have identified interconnected financial markets between
different economies of the world during the 1996-1997 crisis Yang et al. (2003) by applying (VAR) vector
auto-regression”. Please perform an extensive review and make any necessary changes.
The researchers do not provide any critical analysis or alternative viewpoints to the current body
of work; instead, they simply present the actual findings of previous studies. The current
composition would benefit from a better structure by being grouped according to the set of
arguments that are being criticized.
Methods
The sample size is enough for the study. However, there are some minor errors, such as incorrect
table indications (Table 3 indicates an Augmented Dickey-Fuller test statistic rather than a
descriptive statistic -in the methodology section, line 6). The authors should label the symbols to
make the narration more understandable. To make the table more organized and consistent, 4
decimal places are advised.
Results
The flow of the results has been stated simply and precisely. Throughout the discussion of the
results, however, there was a lack of support from previous investigations. Only four sources are
cited in the study to support the conclusion. It is strongly encouraged to include other sources to
back up the findings and continue the conversation.
Conclusion
The authors did not specify whether this finding met the objectives and provided a response to
the hypothesis. Nonetheless, the authors provided a conclusive summary of the findings in the
conclusion. This section contains well-written descriptions of the study's limitations.
Yes

Yes
Partly

Partly
Page 19 of 24
Yes

Yes
We confirm that we have read this submission and believe that we have an appropriate level
of expertise to confirm that it is of an acceptable scientific standard, however we have
Reviewer Report 22 May 2023
© 2023 Golder U. This is an open access peer review report distributed under the terms of the Creative Commons
Uttam Golder
Assistant Professor of Dept. of Finance and Banking, Jashore University of Science and Technology,
Jessore District, Khulna Division, Bangladesh
Review Report on Cointegration and causality relationship of Indian stock market with
selected world markets
The researcher has identified an interesting topic related to the Cointegration and causality
relationship of Indian stock market with selected world markets. Thanks to the authors for their
effort. However, from my side, some critical issues in the article have been focused:
Abstract
1. Overall the formation of the abstract is correct. However, the authors should indicate the
nature and types of the data. Also, they should mention the date range.
Introduction
1. The introduction part of the paper is very much simplified. It only provided the overall
background of the study, and the problem statement was not fully clear to me. However, it
fails to signify it's uniqueness and contribution to the respective fields of knowledge. Also,
there is no indication for whom this study is important and in which way it is essential.
Besides, what is the study's implication, application, and utility?
2. The authors have said, "Some authors such as Zhang & Hamori (2021), have also focused on the
possible…". But they only cite two authors of an article. They should cite some more articles.
3. Please include a separate paragraph with the structure of your remaining work in this
study.
Page 20 of 24
Literature review
1. The authors have said, "The global financial markets are closely interconnected Muthukumaran
et al. (2011) and driven by the emotions of the investors…" The citation and formation of the
sentence are not correct. Please correct it.
2. The authors have said, "Several studies have identified interconnected financial markets
between different economies of the world during the during1996-1997 crisis Yang et al. (2003) by
applying VAR (vector auto-regression)". The citation and formation of the sentence are not
correct. Please correct it.
3. The citation style is wrong in several places of your work; for example, you have said "Some
others studies such as Rajwani & Mukherjee (2013) have argued…". This will be as Rajwani and
Mukherjee (2013). This type of mistake is all over the documents. Please check the whole
paper, and correct it carefully.
4. As FIGARCH is used for the 1st time in this article, please use its full form.
5. The authors have said, "Some studies such as Fang et al. (2020) also identified that…".
However, the authors said some studies but mentioned only one article. Why? Please
mention some others.
6. I do not understand the meaning of your followings sentence, please rewrite it:
"Lyócsa & Molnár (2020) found that the autoregressive coefficient was negative during COVID-19
(November 2019 to May 2020) with but the stock market uncertainty and fear of virus highly
affected the breath of the autoregressive coefficient amidst the COVID-19 crisis."
7. The following sentence it too large. Please rewrite it:

"Nikkinen & Peltomäki (2020) have focused on investors’ crash worries and utilised data on
published newspaper articles and web search volumes to address the complex relationship
between information supply and demand connected to investor anxiety and their consequences
on realised stock market returns, implying and finding that the media contribute to the efficiency
of the stock market by enhancing the transmission of information."
8. At the end of the literature review section, the laps and gaps of the previous study should
be identified, but there is no discussion like that. Moreover, the authors have only explained
the previous study's empirical results, but there are no critical arguments against the work
done previously.
Methods
1. Authors have cited Engle-Granger model. But did not cite the article, rather the citation style
is wrongly placed. He wrote: “Engle-Granger model is used to measure (Stawiarski, 2021)
cointegration between…”. But (Stawiarski, 2021) should be place at last of the sentence, and
also Engle-Granger original paper should be cited where they currently cited (Stawiarski,
2021), on in the place of exactly after the name of Engle-Granger.
2. The authors told that “The descriptive statistics for all indexes’ returns are shown in Table 3.”.
But actually it is in Table 1. Correct it.
3. Please do not include the software name and it’s version, it is totally unnecessary.
Page 21 of 24
4. Please exclude the following sentence. It does not make any contribution to your paper:
"The student version of this software is freely available (https://eviews.com/download/student11/
)."
5. I can not understand the following sentence. Please rewrite it.

"As a result, a time series with I (0) is stationary; if I (1), the level is stationary and the change is
stationary."
6. When, you write any equation, make a number of it, and also explain the symbols, so
rewrite it:
P=m-k
7. Do not use any informal writing. Authors have said that “It is said that the “flap of a
butterfly’s wings in Brazil could set off a tornado in Texas” (Lorenz, 2000) that’s not true in the
Indian context.” So instead of that’s, use that is.
8. The value of all table should be rewritten. The normal trend is to report three/ four digit
after the fraction of a number. So in every table correct it. For example, instead of writing
0.000289, please write 0.000, or 0.0003. Do this in all of your table.
9. Do not use any scientific format of your value, for example instead of using -2.78E-06 (it is
scientific format of a number), use -0.00000278. Do this in all cases.
10. In table 3, the authors only provided the unit root test results of 1st difference, but where is
level results? If the level results show the data have no unit root test, the authors can not
perform VECM. So, I have to check the level report. Also, this table is not properly organized.
Please see the example from this paper how to report unit root test results:
https://doi.org/10.1016%2Fj.heliyon.2023.e14454
11. Where is ECT (error correction term) term? Before validating the results, reviewers should
observe it
12. The author also did not report the diagnostic test. It is very much important to validate
authors results. Please report serial correlation, heteroskedasticity, normality, J-B test,
CUSUM, and CUSUsqrt test to make final comment on the article.
13. The authors should also careful about the formation of the sentence. It should be simple
and understandable. Professional proofreader might be required.
Authors must address the followings
1. The unit root test results of level form
2. The results of Error correction term
3. Results of serial correlation, heteroskedasticity, normality, J-B test, CUSUM, and CUSUsqrt
test
Page 22 of 24
References
1. Golder U, Rumaly N, Hossain MK, Nigar M: Financial progress, inward remittances, and
economic growth in Bangladesh: Is the nexus asymmetric?. Heliyon. 2023; 9 (3): e14454 PubMed
Abstract | Publisher Full Text
Yes

Partly
Partly

Partly
Yes

Yes
Reviewer Expertise: My research interest is Fintech, Environmental, and Climate Financing. I also
have an interest in Growth and Banking related field
Page 23 of 24
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Page 24 of 24
The Eurasia Proceedings of
Educational & Social Sciences (EPESS)
ISSN: 2587-1730
The Eurasia Proceedings of Educational & Social Sciences (EPESS), 2022
Volume 27, Pages 17-35
IConMEB 2022: International Conference on Management Economics and Business
A Bibliometric Analysis of Artificial Intelligence-Based Stock Market

Prediction
Farman ALI
Uttaranchal University
Pradeep SURI
Uttaranchal University
Abstract: The primary purpose of this study is to conduct a scientometrics analysis of stock market forecasts
based on artificial intelligence. This research examined 1,301 publications that were published between January
2002 and June 2022. We investigated 183 journal articles among 1,329 papers. In addition to entering the
keywords into Scopus, a comprehensive dataset of relevant research papers was compiled. These papers
discussed the optimization of investment portfolios, artificial intelligence-based stock market forecasts, investor
emotions, and market monitoring. We found the most prolific documents by affiliation, the most prolific author,
the most cited papers, nations, institutions, co-authorship maps, inter-country co-authorship maps, and keywords
occurrences in this study. Co-authorship analysis network maps and keyword occurrence linkages are generated
using the VOS-viewer software. According to our findings, it is evident from the review that the body of
literature is becoming more specific and extensive. Primarily, neural networks, support vector machines, and
neuro-fuzzy systems are employed to predict the future price of a stock market index based on the composite
index's historical prices. Artificial intelligence techniques are able to consider challenges facing financial
systems when forecasting time series. Our findings provide actionable guidance on how artificial intelligence
can be used to predict stock market movements for market participants, including traders, investors, and
financial institutions.
Keywords: Neural network, Stock market prediction, Algorithm, Machine learning, Artificial intelligence,
Sentiment analysis.
Introduction
The prediction of the stock market has become a contentious issue for academics in recent years. The rise in
stock market investments helped to establish artificial intelligence as a critical and promising area of research.
Incorporating machine learning into the prediction of the future value of stocks, bonds, and other financial assets
on an exchange can be highly beneficial (Li et al., 2014). Forecasting the future performance of the stock market
is difficult due to the additional economic and psychological components, rational and irrational behaviour, etc.
that are incorporated into the projection. The combination of these factors produces dynamic and fluctuating
stock prices. This makes it incredibly difficult to predict stock values effectively in a turbulent market.
Two traditional theories must be considered when predicting the stock price: the efficient market hypothesis
(EMH) and the random walk theory (RW). EMH asserts that a stock's price incorporates all market knowledge
at any given time. As a result of market players' optimal utilisation of all available information, price
movements are unpredictable due to the random appearance of new information (Fama, 1970). In contrast,
according to the random walk theory, stock prices conduct a "random walk," which indicates that future prices
do not follow any trends or patterns and are a spontaneous deviation from prior values, making it impossible for
an investor to predict the market (Ferson & Harvey, 1991; Jarrett, 2008). There has been controversy over the
- This is an Open Access article distributed under the terms of the Creative Commons Attribution-Noncommercial 4.0 Unparted License,
permitting all non-commercial use, distribution, and reproduction in any medium, provided the original work is properly cited.
- Selection and peer-review under responsibility of the Organizing Committee of the Conference
© 2022 Published by ISRES Publishing: www.isres.org
International Conference on Management Economics and Business (IConMEB), November, 15-18, 2022, Antalya/Turkey
validity of the EMH and RW theories. With the advent of computational and smart finance, as well as
behavioural finance, economists have attempted to establish the inefficient market hypothesis (IMH), which
suggests that financial markets aren't necessarily efficient (Malkiel, 2003). The majority of studies (Goodell et
al., 2021; Khadjeh Nassirtoussi et al., 2014; Pan et al., 2016; Zhang et al., 2018; Khaing et al., 2020;) have
employed AI approaches to demonstrate these claims, and the fact that selected players may continuously
outperform the market indicates that the EMH may not be applicable in practice.
Consequently, stock market analysis can be a difficult and multidimensional operation. AI and ML help
simplify this effort. AI and ML can facilitate unbiased data collecting, data classification, stock analysis, and
pattern recognition. Ding et al. (2015) has developed a model that improves S&P 500 index and individual stock
forecasts by over 6% relative to current best practices. This research demonstrated that the model is able to
consistently gain sustainable competitive advantage. According to Khaing et al. (2020) experiments, trend
extraction with additional criteria on stock news extracts more trends. In addition to additional parameters, the
stock trend extraction findings are more consistent with the actual stock price movement. Chen (2021) created
the new neural network model to develop the prediction model's concepts. (Belciug et al., 2021) evaluated the
efficacy of a statistical learning framework using an algorithm based on a competitive/collaborative method for
generating a reliable real-time forecast of the next stock market transaction price for a share. Biswas et al.(2021)
investigated numerous models and approaches used in stock market prediction and focused on their advantages
and disadvantages. This study also examined over ten approaches used in the recent decade to estimate stock
market values. Serrano (2022) demonstrated that the proposed methodology using RNN models accurately
predicts the performance of various investment portfolios.
Using machine learning, Stock Price Prediction may determine the future price of a company's stock and other
financial assets traded on an exchange (Nayak et al., 2016). The entire purpose of predicting stock prices is to
generate substantial profits. Forecasting the future performance of the stock market is difficult. In addition to
physical and psychological elements, reasonable and irrational conduct, etc., there are additional components
involved in the forecast. All of these elements combine to create dynamic and volatile stock prices (Mamun et
al., 2015). This makes it extremely difficult to accurately estimate stock prices. Researchers are constantly
seeking ways to predict the future. Given the rapid rise of the economic-focused society, it is always necessary
to research and discover relevant information to select a better stock in the stock market. Stock Market
Predictions' bibliometric analysis was inspired by an increase in the number of articles that applied and
measured this concept over the past two decades, demonstrating the richness of this concept in the research
ground.
AI and Stock Market Prediction: Background Information

Research on artificial intelligence in the stock market has been well documented in previous studies. An
accurate prediction of stock prices is impossible due to the complexity and uncertainty of the stock market. For
the successful study of the future stock price of any company, a reliable forecasting system is required
(Ishwarappa & Anuradha, 2021).
Previous research (Khadjeh Nassirtoussi et al., 2014) reviewed related articles on market prediction based on
online text mining and drew a picture of its generic components. Reaz et al. (2002) showed the implementation
of backpropagation on the Altera FLEX10K FPGA device for stock market prediction by exploiting the
parallelism in the neural network design; this method increases the convergence speed of the network and the
accuracy of the stock market forecast. Chen (2011) argued that artificial intelligence (AI) may be a more
appropriate tool than classical statistics for predicting the possible short-term financial problems of a
corporation. (Rodr\’\iguez-González et al., 2011) indicated that the CAST is capable of predicting both the
market as a whole and particular IBEX 35 stocks. For example O et al. (2004) found in the Korean stock
market, the trading system with the suggested asset allocator outperforms other systems with fixed asset
allocation methods. Reinforcement learning can have synergistic impacts on the decision-making problem by
utilising supervised-learned predictors. Yang and Chen (2014) implies that the neural network has the analytical
capacity to deal with the current disordered and mixed information processing. In addition, it is already the most
effective tool for intelligent processing. In numerous fields, including recognition processing, signal analysis,
and control, the BP algorithm has been widely adopted and has represented a significant breakthrough. Ng et al.
(2014) proposed the algorithm LG-Trader, which simultaneously identifies classifier architecture selection and
feature selection using a genetic algorithm to minimize a new Weighted Localized Generalization Error (wL-
GEM). In both stock and index trading, the LG-Trader generates higher profits and return rates, as demonstrated
by experimental results. A two-stage fusion method utilizing Support Vector Regression (SVR) as the first stage
18
was used by (Patel et al., 2015) to establish predictions for 1–10, 15–30, and days in advance. The SVR-ANN,
SVR-RF, and SVR-SVR fusion prediction models are produced in the second stage of the fusion approach using
Artificial Neural Networks (ANN), Random Forests (RF), and Support Vector Regressions (SVR). Ding et al.
(2015) introduced a deep learning strategy for event-driven stock market prediction, and discovered that the
model can produce about 6% increases in S&P 500 index prediction and individual stock prediction,
respectively, compared to baseline methods at the forefront of the field. Wang et al. (2015) investigated
extensive information diffusion-related knowledge and modelled it scale-independently. Extensive testing on a
Sina Weibo reposting dataset revealed the suggested method's higher performance in forecasting the burst time
of posts. Shynkevich et al. (2016) predicted stock price movement using the multiple kernel learning technique,
which integrates information from multiple news categories while separate kernels investigate each category.
They also observed that increasing the number of related news categories used as data sources for market
prediction positively affects the predictive framework relative to techniques based on fewer categories. Pan et al.
(2016) evaluated the impact of data normalization on SVM and technical indicator stock index price prediction.
Experimental results suggested that a prediction system based on SVM and technical indicators should carefully
choose a data normalization strategy to decrease forecast accuracy and training time. Due to the prevalence of
the Internet, Google, Wikipedia, and other sources. Weng et al. (2018) predicted the price of the stock market.
This data provides insight into the financial performance of companies and captures traders' interest through
search trends, website visits, and financial news sentiments. The study uses a meticulous approach to gathering
its data. The AI platform subsequently trains the following four ensemble machine learning techniques: (a) a
neural network regression ensemble; (b) a support vector regression ensemble; (c) a boosted regression tree; and
(d) a random forest regression. The AI platform selects the "best" ensemble for a certain stock during the cross-
validation phase. Zhou et al. (2020) predicted the directions of stock price movements using a variety of
heterogeneous data sources, including historical transaction data, technical indicators, stock posts, news, and the
Baidu index. Researchers looked at the support vector machine's (SVM) ability to anticipate price movements
for a single firm under various activity levels, and their results show that this method is more effective at doing
so during periods of moderately and highly active trading.
Ghanavati et al. (2016) proposed a hierarchical beta process (HBP) approach for predicting stock market trends.
Preliminary results indicate that the technique is promising and outperforms other prevalent techniques.
Ghanavati, et al. (2016) discovered that metric learning-based methodologies can substantially increase
performance. In addition, based on the results, it was determined that adding news to historical stock prices to
feed the algorithms will not improve the outcomes for all stocks. A detailed examination of each stock revealed
that considering an additional source such as news is more advantageous for larger and more popular stocks.
Several attempts have been made using the Recurrent Neural Network (RNN) as a benchmark. Singh and
Srivastava (2017) observed that the accuracy for Hit Rate has been enhanced by 15.6% when using a model of
deep learning. DNN outperforms RBFNN and RNN by a factor of 43.4% in terms of the correlation coefficient
between actual and expected returns. Nelson et al. (2017) employed LSTM networks to predict price movements
based on market history and technical analysis. A prediction model was built and a series of experiments were
done to assess if this algorithm improves on existing Machine Learning techniques and investing strategies. The
results were good, with 55.9% accuracy when predicting a stock's price rise.
A number of researchers have been (Waqar et al., 2017) applied principal component analysis (PCA) and linear
regression to predict stock market patterns. PCA improves machine learning predictions and reduces data
redundancy. Experiments were performed on a high-dimensional spectrum of the NYSE, LSE, and KSE.
According to Maini and Govinda (2017), the Random Forest model is an ensemble learning technique that has
proven to be a highly effective classification and regression model. Support vector machine is a classification-
based machine learning model. Sato et al. (2018) suggested a method for short-term foreign currency forecasting
and demonstrated its utility. EA (Expert Advisor) was implemented on Meta Trader (MT4)6. EA runs MT4.
Once accomplished, the purchase can be repeated automatically per regulation. In this investigation, the author
used the free edition of EA, ran two functions concurrently at the modified function frequency and the usual
time, and proved the usefulness of the proposed method by comparing real volume differences for price
movement and time series prediction. Ebadati and Mortazavi (2018) developed a hybrid approach combining
Genetic Algorithm (GA) and Artificial Neural Network (ANN) technologies. It is feasible to correct faults in the
GA method by feeding its output values into an ANN-built algorithm. The results of the tests revealed that the
GA and ANN can be deployed to enhance accuracy with fewer trials.
Recently investigators have (Shastri et al., 2019) determined that a mix of sentiment analysis and neural
networks is utilized to generate a statistically significant association between the historical numerical data
records of a specific stock and other sentimental variables that can affect the stock values. Rajab and Sharma
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(2019) developed an effective and interpretable neuro-fuzzy system for predicting stock prices employing
various technical indicators, with an emphasis on the interpretability–accuracy trade-off. Cheng et al. (2020)
confirmed the ARIMA model for model testing, selected the model with the lowest AIC, BIC, and hqlc values,
and visualised 10 percent of the total data. The prediction effect is poor, there are relatively large errors, and the
closing price trend is inconsistent, according to the visual results. Almehmadi (2021) applied artificial
intelligence to obtain a stock market forecast accuracy of 99.71 percent, which is far higher than the 89.93
percent accuracy recorded in the relevant literature; the addition of COVID-19 data increased accuracy by 9.78
percent. The application of the ARIMA model to the stock market is inadequate and must be improved. Nayak
et al. (2016) constructed a model using algorithms for supervised machine learning. In the daily prediction
model, previous prices and sentiments are linked. Using supervised machine learning techniques on the daily
prediction model yields up to 70% accuracy. Qiu et al. (2016) predicted the return of the Japanese Nikkei 225
index using an artificial neural network (ANN) that can map any nonlinear function without a previous
assumption and provided a new set of input variables for ANN models to improve the efficacy of prediction
algorithms. Zhang et al. (2018) determined that four well-known machine learning models could accurately
predict the growth and fall of a stock in the Shanghai Stock Exchange (SSE) 50 index after 30 trading days.
Results show that ANN (Artificial Neural Network) is superior than the other three models in terms of accuracy.
Finding valuable patterns in the stock market may be possible with the help of neural networks, according to our
research. The AUC of the model is consistent between 0.72 and 2.74, and the value of F1 is constant between
0.66 and 0.70, as demonstrated by Wu et al. (2020), proving that discretized technical indicators can accurately
forecast short-term changes in share price. Yang et al. (2021) designs experiments to validate the function of the
model from the perspectives of stock data collecting and processing, and stock price prediction accuracy, and
draws statistical graphs in accordance with the statistical research results. TupeWaghmare (2021) revealed
various techniques for forecasting and analysing the movement of stock values. They can indeed be broadly
categorized as statistical or artificial intelligence-based. Artificial intelligence is used to predict future stock
prices, employing a variety of algorithms such as SVMs, CNNs, LSTMs, RNNs, etc. Hogenboom et al. (2021)
investigated the reliability of generated buy and sell signals based on anticipated stock price movements, as well
as the excess profits offered by a trading strategy that incorporates these signals, and found that Event-based
stock price forecasts appear to be the most accurate two days in advance. Hájek (2018) applied a combination of
financial indicators, readability, sentiment categories, and bag-of-words (BoW) to improve prediction accuracy,
demonstrating that the prediction quality risen exponentially when applying the correlation-based feature
selection of BoW. This prediction performance is independent of industry classification and event timeframe.
The sentiment analysis and market movements have been studied by many researchers using AI based neural
network. Coyne et al. (2017) examined the conceptual model and reported that there was no association between
general stock Twits postings and stock price. While the second and third models adopted an innovative
approach and effectively filtered through the twits to discover relevant tweets, the first model struggled to do so.
Based on sentiment analysis and intelligent user identification, these influential Twitter users could anticipate
stock price changes with a greater degree of accuracy (about 65% on average). Li et al. (2018) applied to predict
tweet sentiment and acquire insight into the relationship between twitter sentiment and stock prices. Tweet
sentiment is determined via SVM-based sentiment analysis according to Batra and Daudpota (2018). Therefore,
each tweet is either bullish or bearish. The sentiment score and market data are used to build an SVM model that
predicts stock movement the next day. People's opinions and market data are correlated, and the proposed study
predicts stock prices with 76.65% accuracy. This association is found by using Twitter's search API and
analysing the results. The Twitter sentiment is determined employing Nave Bayes classification and Support
vector machines. The support vector machine is the most accurate model to predict the sentiments based on
cross-validation. Camara et al. (2018) proposed a computationally estimating technique for forecasting the
impact of hurricanes on the stock market using fuzzy logic-based data analytics. PCA-WSVM is effective and
can be used to forecast the stock trading signals in a real-world application, as shown by the experiment results
Chen and Hao (2018). Kumar et al. (2018) tested stock market prediction models' efficiency. These models are
based on SVM, Random Forest, KNN, Naïve Bayes, and SoftMax. The Random Forest approach performs
better with big databases than the Naïve Bayesian Classifier. The HyS3 hybrid supervised semi-supervised
model for movement prediction was put forth by Kia et al. (2018). The graph-based semi-supervised component
of HyS3 simulates global market interactions using a ConKruG-generated network. The supervised half of the
model injects historical market data into the network when the hybrid model allows it. Malagrino et al. (2018)
identified the model that accounts for a single index per continent. This design had a mean accuracy of
approximately 71%. (With almost 78 percent top accuracy). In addition to producing results equivalent to those
of the relevant literature, this model is also simpler and more user-friendly. Nam and Seong (2019) indicated
that establishing causal relationships is significant in prediction problems, and they recommend that it is also
important to construct machine learning algorithms and find linkages with well-established theories such as the
complex system theory. Artificial intelligence and signal processing-based techniques are more efficient than
20
traditional financial forecasting methodologies, according to Nair and Mohandas (2015) survey. According to a
literature review, neural networks (NNs), support vector machines, and neuro-fuzzy systems are used to estimate
a stock's future price.
The literature discussed above can be divided into five categories: return prediction, stock trend forecasting
using artificial intelligence, market sentiment analysis, use of AI in the financial market, and combinations
incorporating two or more approaches. The researcher outlines the study that led up to the current applications
in each area. Existing reviews of AI in stock market prediction are narrowly focused and discuss different topics
separately. None of these assessments classifies AI's financial applications to predict the movement of stock
market comprehensively. This review adopts a holistic and inclusive approach to describe AI's adoption and
deployment in the financial market.
Research Methodology and Data Collection

In academia, bibliometric analysis has been used frequently to examine the growth rate and the prominence of
numerous academic topics. A Bibliometric analysis is a publication-based statistical technique that provides
measurable insight into academic literature. To ensure the relevance and validity of research, it is essential to
identify and choose high-quality international scientific articles that provide original and reliable information
and knowledge sources. Regarding artificial intelligence in the stock market, the Scopus database is
systematically searched (Ahmed et al., 2022).
We used the following protocol [TITLE-ABS-KEY (artificial AND intelligence+stock+market)]. This study
analysed 1,301 papers published between January 2002 and June 2022. Among these 1,329 documents, 183
journal articles were determined as pertinent to the investigation's purpose. After putting "Artificial Intelligence
application in the stock market" into the Scopus database, a significant set of research publications was
reviewed (Ruiz-Real et al., 2021). With a focus on the most important scientific methodologies and tools
employed, as well as the most significant results and conclusions made by the authors (Berradi et al., 2020).
Finally, it's essential to reveal which topics remain open in this domain and focus future research on these gaps.
Data gathering and research technique selection are crucial to the process for analysing scientific articles and
contributions. In this section, we have introduced the effective bibliometric tool VOS Viewer version 1.6.18 and
database selection and data collecting, including establishing various parameters to assure research reliability.
We follow (Goodell et al., 2021) four steps procedure for bibliometric reviews:(1) establishing the review's aims
and scope; (2) selecting the analysis tools; (3) collecting the data for analysis; and (4) analysing and reporting
the findings.
Figure 1. A flowchart depicting the process for literature review.
In order to analyse co-authorship, inter-country, and keyword co-occurrence, the software VOS viewer 1.6.18 is
used; it is a tool for making network maps that are based on the network analysis database. Additionally, these
maps can be visualized as well.
a. Top prolific Institutions which have published the highest number of papers.
b. Which year publishes maximum number of the papers.
c. Analysis of Publication based on source
d. Analysis of Publication based on the type
e. The highest number of cited documents in the study.
f. Top prolific authors.
g. Top prolific countries.
h. Analysis of co-authorship connection with the other authors.
i. Most occurring keywords.
21
Analysis and Discussion of Results

Analysis based on Affiliation
Figure 2 shows that various universities have published research papers on stock market prediction using
artificial intelligence. Universities in China and India have made significant contributions. Research on Stock
Market Prediction using artificial intelligence has been increasing day by day. Further, looking at the key
institution that published the most papers on stock market prediction using AI, as shown in Figure 2.
Figure 2. An analysis of publications based on affiliations
Analysis of Publication based on Year
Stock Market Prediction using Artificial Intelligence is investigated based on the keywords extracted from 183
different types of publications during 2002-2022. As shown in figure 3, the number of publications per year is
analysed. A majority of the work was published in 2016 and 2018, with no paper being published in 2003.
Figure 3. Analysis of publication based on year (source Scopus)
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Figure 4. Analysis of publication based on source
Analysis of Publication based on Source and Publications
Figure 4 depicts a stratification of document sources. The significant substantial research was published in
Lecture Notes in Advances in Intelligent Systems and Computing, Lecture Notes in Computer Science,
including Subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics, and expert
system with applications. Communication in Computer and Information Science has minor papers in Stock
Market Prediction and ACM International conference proceedings series.
Figure 5. Analysis of publication based on author
Figure 5 depicts the biggest contributors to Stock Market Prediction by applying artificial intelligence. The first
ten researchers were considered based on the Scopus website's available statistics.This survey has been the
subject of a study published in journal articles, book chapters, conference proceedings, etc. The majority of the
Researchers in the field of Stock Market Prediction applying artificial intelligence have published recent
research at conferences. There were 73.8% of conference papers, 22.4% of journal articles, 2.2% of review
articles, and 1.6% of book chapters as shown in figure 6.
23
Table 1. Top prolific authors based on citations

Sr. No. Author Name Citations Sr. No. Author Name Citations
1 Zhang Y. 420 29 Pan R. 61
2 Ding X. 418 30 Zhang X.-D. 61
3 Duan J. 418 31 Colomo-Palacios R. 59
4 Liu T. 418 32 García-Crespo A. 59
5 Aghabozorgi S. 323 33 Guldrís Iglesias F. 59
6 Khadjeh Nassirtoussi A. 323 34 Gómez-Berbís J.M. 59
7 Ngo D.C.L. 323 35 Rodríguez-González A. 59
8 Ying Wah T. 323 36 Belatreche A. 57
9 De Oliveira R.A. 322 37 Mcginnity T.M. 57
10 Nelson D.M.Q. 322 38 Shynkevich Y. 57
11 Pereira A.C.M. 322 39 Malagrino L.S. 54
12 Ghanbari A. 267 40 Monteiro A.M. 54
13 Hadavandi E. 267 41 Roman N.T. 54
14 Shavandi H. 267 42 Li J. 52
15 Kotecha K. 258 43 Nam K. 49
16 Patel J. 258 44 Seong N. 49
17 Shah S. 258 45 Nayak A. 48
18 Thakkar P. 258 46 Pai R.M. 48
19 Srivastava S. 128 47 Chung H. 43
20 Singh R. 121 48 Li Z. 43
21 Chen M.-Y. 117 49 Shin K.-S. 43
22 Akagi F. 116 50 Coleman S.A. 42
23 Qiu M. 116 51 Romanowski A. 42
24 Song Y. 116 52 Skuza M. 42
25 De Lima B.S.L.P. 87 53 Adekoya A.F. 41
26 Evsukoff A.G. 87 54 Nti I.K. 41
27 Vargas M.R. 87 55 Weyori B.A. 41
28 Li A. 61 56 Pai M.M.M. 40
Table 2. Top prolific countries

Sr. No. Id Country Documents Citations
1 15 India 40 715
2 6 China 34 715
3 41 United Kingdom 15 175
4 42 United States 11 124
5 1 Australia 10 88
6 37 Taiwan 8 146
7 19 Japan 7 126
8 14 Hong Kong 6 57
9 16 Iran 6 324
10 33 South Korea 6 102
Analysis of Top Prolific Authors based on Citations
Table 2 lists the ten countries with the highest number of English-language publications on stock market
forecasting using artificial intelligence. India ranks first with a total of 40 papers. China, the United Kingdom,
the United States, Australia, Taiwan, Japan, Hong Kong, Iran, and South Korea are the following highest-
documented countries. Out of a total of 183 papers, more than half, or 100 documents, are provided by authors
from the top four nations.
24
Table 3. Top prolific titles based on citations

Sr. No. Authors Title Citation
1 Ding X., Zhang Y., Liu T., Deep learning for event-driven stock prediction 418
Duan J.
2 Khadjeh Nassirtoussi A., Text mining for market prediction: A systematic 323
Aghabozorgi S., Ying Wah T., review
Ngo D.C.L.
3 Nelson D.M.Q., Pereira A.C.M., Stock market's price movement prediction with 322
De Oliveira R.A. LSTM neural networks
4 Hadavandi E., Shavandi H., Integration of genetic fuzzy systems and artificial 267
Ghanbari A. neural networks for stock price forecasting
5 Patel J., Shah S., Thakkar P., Predicting stock market index using fusion of 258
Kotecha K. machine learning techniques
6 Singh R., Srivastava S. Stock prediction using deep learning 121
7 Chen M.-Y. Predicting corporate financial distress based on 117
integration of decision tree classification and
logistic regression
8 Qiu M., Song Y., Akagi F. Application of artificial neural network for the 116
prediction of stock market returns: The case of
the Japanese stock market
9 Vargas M.R., De Lima B.S.L.P., Deep learning for stock market prediction from 87
Evsukoff A.G. financial news articles
10 Zhang X.-D., Li A., Pan R. Stock trend prediction based on a new status box 61
method and AdaBoost probabilistic support
vector machine
11 Rodríguez-González A., García- CAST: Using neural networks to improve trading 59
Crespo A., Colomo-Palacios R., systems based on technical analysis by means of
Guldrís Iglesias F., Gómez- the RSI financial indicator
Berbís J.M.
12 Malagrino L.S., Roman N.T., Forecasting stock market index daily direction: A 54
Monteiro A.M. Bayesian Network approach
13 Nam K., Seong N. Financial news-based stock movement prediction 49
using causality analysis of influence in the
Korean stock market
14 Chung H., Shin K.-S. Genetic algorithm-optimized multi-channel 43
convolutional neural network for stock market
prediction
15 Shynkevich Y., McGinnity Forecasting movements of health-care stock 42
T.M., Coleman S.A., Belatreche prices based on different categories of news
A. articles using multiple kernel learning
16 Skuza M., Romanowski A. Sentiment analysis of Twitter data within big data 42
distributed environment for stock prediction
17 Nti I.K., Adekoya A.F., Weyori A systematic review of fundamental and technical 41
B.A. analysis of stock market predictions
18 Nayak A., Pai M.M.M., Pai Prediction Models for Indian Stock Market 40
R.M.
19 Batra R., Daudpota S.M. Integrating Stock Twits with sentiment analysis 39
for better prediction of stock price movement
20 Wang S., Yan Z., Hu X., Yu Burst time prediction in cascades 39
P.S., Li Z.
Table 3 contains the titles of the most cited papers and the number of citations they've got as of the date the data
for this study have been extracted.
25
Figure 7. Analysis of co-authorship connection with the other authors
Analysis of Co-authorship Connection
The cluster to which an item belongs determines what colour it is. Lines between things signify links. In Figure
7, there are eight different groups of various colours. These colours show how the authors are connected. In this
study, we searched at how eight groups of authors worked together. In the network visualization, each item is
shown by its name and, by default, by a circle. A large circle shows how well an author has contributed to a
related field.
Figure 8. Authorship density visualization
Similar to the network visualisation and the overlay visualisation, authors are represented by their label in the
author density view. Each point in the author density image is coloured according to the item density at that
location. The default colour palette consists of blue, green, and yellow. The greater the number of things in a
point's neighbourhood and the greater their weights, respectively
26
Figure 9. Authorship network overlay visualization
The Prediction of the Stock Market Using Artificial Intelligence is examined using authorship overlay
visualization extracted from 183 distinct categories of articles published between 2002 and 2022. The number of
publications based on the most prolific author per year is analysed, as shown in figure 9. The majority of articles
have been published between 2016 and 2018.
Figure 10. Keywords occurs the maximum number of times
27
Analysis of Co-occurrence of Keywords
Figure 10 illustrates the co-occurrence analysis of keywords. There are a total of 1,123 terms in the study's
database. These 108 keywords that have appeared in the database more than five times are used to generate a
keyword map.
Table 4. Keywords occurrences

Id Keyword Occurrences Total Id Keyword Occurrences Total
Link Link
13 Accurate Prediction 12 121 895 Mean Square Error 8 98
21 Adaptive Boosting 5 71 925 Motion Estimation 7 72
43 Algorithms 8 98 945 Multilayer Neural 5 47
Networks
72 Artificial 167 1708 972 Natural Language 6 84
Intelligence Processing
Systems
76 Artificial 7 53 976 Nearest Neighbour 5 75
Intelligence Search
Techniques
80 Artificial Neural 11 128 998 Neural Network 9 131
Network
114 Backpropagation 10 132 1004 Neural Network 5 42
Model
115 Backpropagation 5 64 1007 Neural Networks 44 519
Algorithms
138 Big Data 11 129 1072 Optimization 10 120
185 Classification (Of 11 138 1121 Prediction 21 241
Information)
203 Clustering 6 70 1122 Prediction 16 176
Algorithms Accuracy
210 Commerce 130 1423 1127 Prediction Model 8 98
217 Complex Networks 6 83 1132 Prediction 8 96
Performance
220 Computation 5 63 1137 Prediction Systems 6 70
Theory
224 Computational 5 61 1159 Principal 6 72
Intelligence Component
Analysis
249 Convolutional 5 56 1174 Profitability 11 100
Neural Network
256 Costs 40 488 1189 Random Forest 6 88
277 Data Handling 5 54 1195 Random Forests 9 122
279 Data Mining 37 461 1216 Recurrent Neural 5 55
Networks
297 Decision Making 9 98 1224 Regression 10 91
Analysis
300 Decision Support 5 53 1274 Sales 5 66
System
301 Decision Support 11 118 1305 Sentiment Analysis 19 229
Systems
309 Decision Trees 24 303 1330 Signal Processing 7 79
311 Deep Learning 10 111 1351 Social Networking 12 140
(Online)
28
374 Economics 15 166 1355 Soft Computing 12 141

386 Electronic Trading 71 840 1389 Stock Data 5 49
462 Feedforward Neural 5 42 1391 Stock Exchange 6 54
Networks
465 Finance 65 788 1395 Stock Forecasting 6 65
472 Financial Data 23 248 1398 Stock Market 50 496
Processing
480 Financial 5 55 1399 Stock Market 5 53
Forecasting Analysis
489 Financial Markets 124 1397 1401 Stock Market 8 95
Forecasting
503 Financial Time 13 151 1407 Stock Market 56 587
Series Prediction
508 Fintech 8 73 1410 Stock Market 12 152
Prices
515 Forecasting 151 1626 1412 Stock Markets 7 46
552 Fuzzy Inference 6 68 1413 Stock Movement 5 53
555 Fuzzy Logic 8 88 1416 Stock Prediction 12 122
556 Fuzzy Neural 6 53 1418 Stock Predictions 23 233
Networks
561 Fuzzy Systems 6 65 1419 Stock Price 19 182
581 Genetic Algorithm 5 63 1421 Stock Price 8 86
Forecasting
582 Genetic Algorithms 9 109 1423 Stock Price 11 131
Movements
693 Information Science 5 45 1424 Stock Price 29 327
Prediction
736 Inventory Control 7 50 1439 Stock Trend 7 80
Prediction
737 Investment 5 50 1451 Supervised 5 74
Learning
744 Investment Strategy 5 64 1452 Supervised 5 75
Machine Learning
745 Investments 68 754 1454 Support Vector 11 140
Machine
793 Learning 36 480 1457 Support Vector 32 414
Algorithms Machines
799 Learning Systems 74 898 1465 SVM 6 93
843 Machine Learning 31 343 1477 Technical Analysis 7 82
845 Machine Learning 5 52 1481 Technical Indicator 16 189
Methods
846 Machine Learning 8 100 1493 Text Mining 8 104
Models
849 Machine Learning 18 251 1513 Time Series 20 212
Techniques
877 Market Trends 6 53 1514 Time Series 12 136
Analysis
879 Marketing 7 50 1519 Time Series 7 60
Prediction
887 Mathematical 7 61 1553 Trend Prediction 5 55
Models
29
The keyword map displays relevant keywords that are interconnected through several lines. These lines denote
the co-occurrence network map for the Keywords that have co-occurred and are connected. As indicated in
Table 4, the most frequently occurring keywords recommend the study fields relating to the keywords that need
to be undertaken more in the future.
Figure 11. Flowchart for stock market forecasting with artificial intelligence
The scholarly literature on stock prediction has highlighted the rise of various opposing ideas. In contrast to the
efficient market theory, numerous researchers (Hargreaves & Hao, 2012; Nti et al., 2020) believe that market
prices follow a trend. Following this approach, there are two schools of market analysis: technical analysis
defends tendencies in stock price movements and seeks to anticipate them using prior asset prices; and
fundamental analysis argues that a firm's socioeconomic background impacts its future stock price and, thus,
gives knowledge that may be used to forecast future asset prices. Figure 11 illustrates the overall structure for an
Artificial Intelligence prediction model applied to financial forecasting. The initial stage is to collect all of the
data needed to train and test the prediction model. These data can be processed, modified, or decreased in order
to eliminate noise and emphasise crucial information. The predictor then utilises the treated data to train its
model, after which it may tune its hyperparameters in a validation step. Finally, the trained model's performance
with tuned hyperparameters must be assessed in a test phase.
Figure 12. Shows the different techniques to predict the stock market movements
30
In this portion of the study, we intend to examine the research around the tools and platforms utilized in
artificial intelligence for stock price movement prediction. However, for this part, we go beyond the papers
originally selected because they frequently do not describe the research methods employed. The stock market is
evaluated using the approaches shown in Figure 12: Deep learning; machine learning; neural networks; LSTM,
ANN, CNN; and data mining, among others.
Conclusion
In the past two years, a vast number of experimental research has been conducted on stock market prediction
using artificial intelligence, as demonstrated by this study. If we discuss the research questions in this study, we
must begin with the journal Lecture Notes in Advances in Intelligent Systems and Computing, Lecture Notes in
Computer Science, including Subseries Lecture Notes in Artificial Intelligence and Lecture Notes in
Bioinformatics which has the most records. According to the analysis, "Deep learning for event-driven stock
prediction" is the title with the highest number of citations and the author with the highest number of citations.
Zhang et al., 2018) developed a model of multiple sine functions extraction (MSFE), for example, to anticipate
the future stock market, and predicted the Chinese stock market's peak. Artificial Intelligence, Commerce, and
forecasting are the keywords that appeared most frequently in the study. Table 2 includes the 10 countries with
the most English-language AI stock market forecasting publications. India has 40 papers, the most. China, the
UK, the US, Australia, Taiwan, Japan, Hong Kong, Iran, and South Korea are well-documented. The literature
of the study classified the five categories for further research: return prediction, stock trend forecasting using
artificial intelligence, market sentiment analysis, use of AI in the financial market, and combinations
incorporating two or more approaches. Furthermore, an exhaustive comparison analysis was conducted, and it
was determined that SVM, DNN and LSTM are the most often utilised approach for stock market
prediction(Nelson et al., 2017; Weng et al., 2018; Zhou et al., 2020). Techniques like as ANN and CNN, on the
other hand, are widely employed because they generate more accurate and quicker predictions (Wu et al., 2020).
In addition, using both market data and textual data from web sources enhances forecast accuracy.
It is evident from the review that much attention is being given to this field of research, and the literature is
becoming more specialized and comprehensive. Our findings provide practical advice to market players,
particularly traders, investors, and financial institutions, on how artificial intelligence could be utilized to predict
stock market movements. The study uses only Scopus database publications, resulting in a blending of research
keywords. It does not analyse many databases that contain research publications, such as PubMed, Web of
Science, and Google Scholar. These databases have the potential to be considered for future research.
Challenges and Scope for Further Study

The most difficult aspect of reading articles is creating Scopus searches that eliminate irrelevant documents
while including as many relevant documents as feasible. The second significant challenge is analysing the
staggering number of published articles sorted by clustering. As a result, this work solely looks at the most
important articles. Stock prices have recently been forecasted with machine learning techniques based on
historical data. There has been a significant development in Deep Learning approaches, which have generated a
promising result. Meanwhile, the elements used in various research, including technical and fundamentalist
indications, differ significantly. Despite this, little research has been conducted to assess the contribution of each
of these features to the performance of the approaches.
Declaration of conflict of interests

The author(s) declared no potential conflicts of interest with respect to the research, authorship, and/or
publication.
Funding
The authors of this paper received no financial assistance for their research, authorship, or publishing.
31
Scientific Ethics Declaration

The authors declare that the scientific ethical and legal responsibility of this article published in EPESS journal
belongs to the authors.
Acknowledgements or Notes
* This article was presented as an oral presentation at the International Conference on Management Economics
and Business (www.iconmeb.net) held in Antalya/Turkey on November 15-18, 2022
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Author Information
Farman Ali Pradeep Suri
Uttaranchal University Uttaranchal University
Dehradun, India Dehradun, India
Contact e- mail:[email protected]
To cite this article:
Ali, F., & Suri, P. (2022). A bibliometric analysis of artificial intelligence-based stock market prediction. The
Eurasia Proceedings of Educational & Social Sciences (EPESS), 27, 17-35.
35
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This is to certify that
Farman Ali
attended International Conference on Management Economics and Business (IConMEB) held

on November 15-18, 2022 in Antalya/Turkey.
Farman Ali
presented the "A BIBLIOMETRIC ANALYSIS OF ARTIFICIAL INTELLIGENCE-BASED

STOCK MARKET PREDICTION" as an oral presentation and attended International
Conference on Management Economics and Business (IConMEB) held on November 15-18,
2022 in Antalya/Turkey.
International Conference on Business Digitalization and Sustainability
(ICBDS – 2023)
2nd – 4th February 2023, UPES, Dehradun, India
Certificate of Paper Presentation
Farman Ali
of Uttaranchal University, Dehradun
Presented the paper titled
Green finance for environmental sustainability: A bibliometric analysis of recent developments
Prof. Anshuman Jaswal Rahul Nainwal

Convenor, ICBDS-2023 Director, School of Business, UPES
2023 IEEE International Conference on Contemporary
Computing and Communications (InC4)
CERTIFICATE OF PRESENTATION
Farman Ali
presented the paper titled Prediction of Stock Market Analysis by Artificial Intelligence authored by Samta Kathuria,
InC4-2023\Presenter\InS6\Online\417
Shweta Pandey, Prafful Negi, Pradeep Suri (Uttaranchal University); Anil Kumar (DIT University); Farman Ali in the
2023 IEEE International Conference on Contemporary Computing and Communications (InC4) Organised by the
Department of Computer Science and Engineering, CHRIST (Deemed to be University), Kengeri Campus, Bangalore -560
074 during April 21-22, 2023.
Dr. Balachandran K Dr. Prasant Misra

HoD, Dept. of CSE, Christ (Deemed to be Chair, IEEE Computer Society Bangalore Chapter and
University), Bangalore, India Senior Scientist, TCS - Research
https://ic4.co.in | [email protected]
International Conference on Business Digitalization and Sustainability
(ICBDS – 2023)
2nd – 4th February 2023, UPES, Dehradun, India
Certificate of Participation
Presented to
Mr. Farman Ali
of Uttaranchal University, Dehradun
for attending the workshop on

"Reflexive Methodology" at ICBDS-2023,
2-4 February 2023, UPES, Dehradun
Prof. Anshuman Jaswal Rahul Nainwal

Convenor, ICBDS-2023 Director, School of Business, UPES
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List of Published Papers
Ali, F., Suri, P., Kaur, T., & Bisht, D. (2022). Modelling time-varying
volatility using GARCH models: evidence from the Indian stock
market. F1000Research, 11, 1098. Taylor & Francis (Scopus Indexed)
Ali, F., Suri, P., Kaur, T., & Bisht, D. (2022). Cointegration and causality
relationship of Indian stock market with selected world
markets. F1000Research, Taylor & Francis 11(1241), 1241.(Scopus
Indexed) https://doi.org/10.12688/f1000research.123849.1
F. Ali, P. Suri, S. Pandey, S. Kathuria, A. Kumar, and P. Negi, "Prediction of
Stock Market Analysis by Artificial Intelligence," 2023 IEEE International
Conference on Contemporary Computing and Communications (InC4),
Bangalore, India, 2023, pp. 1-5, (Scopus Indexed)
https://doi.org/10.1109/InC457730.2023.10263023
List of Paper Presented

Ali, F. & Suri, P. (2022). A Bibliometric Analysis of Artificial Intelligence-
Based Stock Market Prediction at IConMEB 2022: International Conference on
Management Economics and Business, Turkey. The Eurasia Proceedings of
Educational and Social Sciences, 27, 17-35. DOI: 10.55549/epess.1222722
Ali, F. & Suri, P. (2022). Green finance for environmental sustainability: A

bibliometric analysis of recent developments at International Conference on
Business Digitalization and Sustainability (ICBDS – 2023) 2nd- 4th February 2023,
UPES, Dehradun, India.
Ali, F. & Suri, P. Prediction of Stock Market Analysis by Artificial Intelligence

apresented in the 2023 IEEE International Conference on Contemporary
Computing and Communications (InC4) Organised by the Department of Computer
Science and Engineering, CHRIST (Deemed to be University), Kengeri Campus,
Bangalore -560 074 during April 21-22, 2023 (Scopus Indexed).
Book Chapter
Ali, F. & Suri, P. (2022). Big data analytics in financial econometrics. In O.
Tunaboylu & Ö. Akman, Current studies in social sciences 2022, (pp. 139-
151). ISRES Publishing ISBN: 978-605-72832-1-4
(Annexure I)
Questionnaire
Background of the Respondent: Section A
Personal Information
Name :
Email:
1. Gender:
Male
Female
2. Age Group:
Below 25 years
26 years -35 years
36 years -45 years
Above 45 years
3. Marital Status:
Single
Married
4. Occupation:
Student / Professional
Business
Service
5. Educational Qualification:
Bachelor
Under-Graduate
Post-Graduate or PhD Degree
Other
6. Percentage of Income Invested:

Below 10%
11% - 20%
21% - 30%
31% - 40%
Above 40%
7. Investment Avenues
Shares
Fixed Deposit
Real Estate
Gold
Mutual Funds
Insurance
197
Others
8. Sources of Investment Information

Brokers
Family
Friends
Newspapers
Television
Internet/social media
9. Have you attended any course of Stock Exchange?
Yes
No
10. How long have you attended the stock market?
1-under 3 years
3- under 5 years
5 years and more
11. Please estimate your average annual income (Rs.)
Rs 0.0 – Rs 2.5 lakh Rs 2.5 lakh – Rs 3.00 lakh Rs 3.00 lakh – Rs 5.00
lakh
Rs 5.00 lakh- Rs 7.5 lakh Rs 7.5 lakh – Rs 10.00 Rs 10.00 lakhs – Rs 12.50
lakh lakh
Rs 12.5 lakhs – Rs 15.00 > Rs 15 lakh
lakh
198
Section B
Strongly
Strongly Agree Neutral Disagree
Factors Statements agree (5) (4) (3) (2)
disagree
(1)
1. Investing in stock markets
enables me to purchase and
sell equities on a regular basis.
2.I am willing to accept a high
I. Decision risk in exchange for a high
Making(Dependent return.
Variable) 3. Investing in stocks is a
better approach for me to
enhance my wealth.
4. I believe long term
profit[More than 5 years]
5. I would purchase a high-
returning stock if a friend
recommended it to me
6. If I want to invest in stocks,
I will use information from
II. Information Search the news and the internet.
7. If I want to invest in a
particular company's stock, I
will rely on the advice of
financial experts.
8.I likely to sell my shares
whenever the price reaches its
recent high for the year.
9. I believe the position of the
year's high and low prices
III. Price anchoring defined the current range of
the stock price.
10. I fix a target price for
buying and selling the security
in advance
11 .For investment decisions,
the economic and financial
performance of a foreign
nation is crucial.
12.The position of the
domestic stock market is
affected by the global
V. Herding Behaviour financial crisis.
13.My decision to buy or sell
a stock depends on the actions
of other investors
14. When making investment
decisions, I adhere to a
specific group or community
15. I am not selective in
collecting information about
the investments made by me
during market crash
VI. Confirmation Bias
16. I value positive
during crisis information more than
negative information
regarding my investment
choices during Crash.
199
17. I disregard evidence that
contradicts my beliefs about
the future of my investment
decision.
18. I am a professional
investor.
19. I trust my own investment
judgements more than those
VII. Overconfidence of my colleagues or friends.
20. I always feel optimistic
about the future returns of my
investments
21. When market performance
is poor, I do not increase my
investment.
22. Investment returns are
more important than
preventing the loss of
VIII. Loss aversion investment.
23. I sell stocks that went up
in price fast.
24. Losing 1,000 rupees hurts
more than making 1,000
rupees.
25. To minimize my risk, I
avoid investing in companies
with a poor track record of
profitability.
26.When I make stock
IX. Representativeness investments, I look at how
companies have performed in
the past.
27.I buy hot stocks and stay
away from stocks that haven't
done well recently.
28. Greed for higher returns
drives my investment
decisions during crisis.
29. I prefer to sell equities
whenever their price begins to
X. Gambler’s fallacy rise.
30. I do not undertake
technical analysis on the
company and instead rely on
market sentiment.
31. I keep the stocks whose
value has gone down and do
not sell them.
32. Keeping loss-making
investments is more
XI. Regret Aversion detrimental than selling
profitable ones early.
33. I avoid taking decisions
with the fear of incurring
losses
200
Appendix Annexure II
Table 4.27 (a) Johansen cointegration test for Indices Returns
Trend assumption: Linear deterministic trend
Series: RIND RBRZ RRUSI RCH RSA RUSA RUK RJAP
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
Critical
No. of CE(s) EigenvalueStatistic Value Prob.**
None * 0.154303 3575.211 159.5297 0.0000
At most 1 * 0.150540 2968.354 125.6154 0.0000
At most 2 * 0.137917 2377.572 95.75366 0.0000
At most 3 * 0.123371 1840.202 69.81889 0.0000
At most 4 * 0.109016 1363.419 47.85613 0.0000
At most 5 * 0.102537 945.4495 29.79707 0.0000
At most 6 * 0.087598 553.7173 15.49471 0.0000
At most 7 * 0.059406 221.7629 3.841465 0.0000
Trace test indicates 8 cointegrating eqn(s) at the 0.05 level
* Denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
Critical
No. of CE(s) Eigenvalue Statistic Value Prob.**
None * 0.154303 606.8563 52.36261 0.0000
At most 1 * 0.150540 590.7822 46.23142 0.0000
At most 2 * 0.137917 537.3706 40.07757 0.0000
At most 3 * 0.123371 476.7825 33.87687 0.0000
At most 4 * 0.109016 417.9695 27.58434 0.0000
At most 5 * 0.102537 391.7321 21.13162 0.0000
At most 6 * 0.087598 331.9544 14.26460 0.0000
At most 7 * 0.059406 221.7629 3.841465 0.0000
Max-eigenvalue test indicates 8 cointegrating eqn(s) at the 0.05 level; * denotes rejection of the
hypothesis at the 0.05 level, **MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
0.129909 1.942308 -67.39332 -17.67233 145.0312 133.4142 -231.7072 40.17726
201
139.3070 -128.9560 48.68359 11.78376 -84.35341 167.1821 -52.48818 -81.52100
97.25402 -134.1832 -65.53508 -20.37930 154.0121 -87.92202 112.5457 4.417539
51.02411 81.49127 -78.12184 79.05097 -24.06004 -8.272606 4.305280 -149.8845
-10.25283 -7.967292 -89.13103 -11.67677 -112.6379 105.7603 45.66167 96.04337
-141.4965 -29.25162 3.571489 119.7452 44.01041 48.72760 63.62192 -9.949562
86.27933 -29.96467 9.759388 123.2430 -31.43166 -102.6494 -67.31771 74.34011
56.69642 50.80047 40.38016 39.44650 60.62660 102.4708 87.61760 52.49892
Unrestricted Adjustment Coefficients (alpha):
D(RIND) 0.000182 -0.002196 -0.001449 -0.000763 3.77E-05 0.002994 -0.001789 -0.001047
D(RBRZ) -0.000169 0.003520 0.003898 -0.002229 0.000524 0.002121 -3.90E-05 -0.001532
D(RRUSI) 0.001773 -0.002022 0.002389 0.003794 0.004585 -0.000387 -0.000258 -0.001409
D(RCH) 0.000348 -0.000642 0.000526 -0.002140 0.000137 -0.003028 -0.003042 -0.000749
D(RSA) -0.002555 0.002058 -0.002768 -0.000514 0.002096 -0.000211 -0.000144 -0.000812
D(RUSA) -0.002762 -0.001918 0.000896 0.000135 -0.001231 -0.000694 0.001321 -0.001546
D(RUK) 0.002799 0.000549 -0.001608 -0.000273 -0.000776 -0.000649 0.001190 -0.001767
D(RJAP) -0.000547 0.002254 -1.95E-05 0.003664 -0.002174 2.36E-05 -0.002062 -0.000784
1 Cointegrating Log
1.000000 14.95128 -518.7728 -136.0361 1116.405 1026.981 -1783.609 309.2720
(58.6544) (49.6575) (59.1775) (80.9032) (89.6450) (89.0440) (65.6086)
D(RIND) 2.36E-05
(3.0E-05)
D(RBRZ) -2.20E-05
(3.9E-05)
D(RRUSI) 0.000230
(4.5E-05)
D(RCH) 4.52E-05
(3.4E-05)
D(RSA) -0.000332
(2.9E-05)
D(RUSA) -0.000359
(2.7E-05)
D(RUK) 0.000364
(2.6E-05)
D(RJAP) -7.10E-05
202
(3.4E-05)
2 Cointegrating Log
1.000000 0.000000 -29.91760 -7.851835 64.52101 61.00755 -104.3470 17.48083
(2.89178) (3.44365) (4.65137) (5.22031) (5.15841) (3.79423)
0.000000 1.000000 -32.69654 -8.573461 70.35408 64.60805 -112.3156 19.51613
(3.12353) (3.71963) (5.02414) (5.63868) (5.57182) (4.09830)
D(RIND) -0.305936 0.283579
(0.03218) (0.02980)
D(RBRZ) 0.490343 -0.454258
(0.04090) (0.03787)
D(RRUSI) -0.281477 0.264218
(0.04827) (0.04469)
D(RCH) -0.089395 0.083470
(0.03671) (0.03398)
D(RSA) 0.286385 -0.270376
(0.03041) (0.02816)
D(RUSA) -0.267509 0.241935
(0.02836) (0.02625)
D(RUK) 0.076831 -0.065349
(0.02788) (0.02581)
D(RJAP) 0.313994 -0.291790
(0.03630) (0.03361)
3 Cointegrating Log
1.000000 0.000000 0.000000 0.041608 0.170554 9.670113 -11.09692 -0.413932
(0.34374) (0.45177) (0.52146) (0.51345) (0.37881)
0.000000 1.000000 0.000000 0.053174 0.026351 8.502072 -10.40392 -0.040805
(0.31735) (0.41709) (0.48143) (0.47403) (0.34973)
0.000000 0.000000 1.000000 0.263839 -2.150923 -1.715961 3.116896 -0.598135
(0.10653) (0.14001) (0.16161) (0.15913) (0.11740)
D(RIND) -0.446816 0.477954 -0.024249
203
(0.03903) (0.04276) (0.02432)
D(RBRZ) 0.869484 -0.977367 -0.072698
(0.04863) (0.05327) (0.03030)
D(RRUSI) -0.049173 -0.056296 -0.374449
(0.05848) (0.06406) (0.03644)
D(RCH) -0.038276 0.012940 -0.089145
(0.04474) (0.04902) (0.02788)
D(RSA) 0.017216 0.101001 0.453802
(0.03624) (0.03970) (0.02258)
D(RUSA) -0.180333 0.121657 0.034037
(0.03449) (0.03778) (0.02149)
D(RUK) -0.079589 0.150468 -0.056529
(0.03369) (0.03691) (0.02099)
D(RJAP) 0.312095 -0.289171 0.147876
(0.04427) (0.04850) (0.02759)
4 Cointegrating Log
1.000000 0.000000 0.000000 0.000000 0.261149 10.26319 -11.83877 -0.337077
(0.48005) (0.55401) (0.54491) (0.40087)
0.000000 1.000000 0.000000 0.000000 0.142130 9.260024 -11.35200 0.057416
(0.45349) (0.52336) (0.51477) (0.37869)
0.000000 0.000000 1.000000 0.000000 -1.576449 2.044853 -1.587284 -0.110784
(0.11716) (0.13521) (0.13299) (0.09784)
0.000000 0.000000 0.000000 1.000000 -2.177360 -14.25418 17.82970 -1.847150
(0.70930) (0.81858) (0.80515) (0.59231)
D(RIND) -0.485733 0.415799 0.035336 -0.059867
(0.04069) (0.04661) (0.03018) (0.01935)
D(RBRZ) 0.755768 -1.158985 0.101410 -0.211154
(0.05034) (0.05766) (0.03734) (0.02394)
D(RRUSI) 0.144419 0.252891 -0.670852 0.196095
(0.06001) (0.06873) (0.04450) (0.02853)
D(RCH) -0.147482 -0.161475 0.078058 -0.193616
(0.04628) (0.05301) (0.03433) (0.02201)
D(RSA) -0.008985 0.059154 0.493918 0.085224
(0.03781) (0.04331) (0.02804) (0.01798)
204
D(RUSA) -0.173450 0.132650 0.023498 0.018610
(0.03601) (0.04124) (0.02671) (0.01712)
D(RUK) -0.093501 0.128250 -0.035229 -0.031778
(0.03517) (0.04028) (0.02608) (0.01672)
D(RJAP) 0.499045 0.009409 -0.138359 0.326264
(0.04492) (0.05145) (0.03332) (0.02136)
5 Cointegrating Log
1.000000 0.000000 0.000000 0.000000 0.000000 10.54888 -11.93329 -0.278527
(0.55837) (0.55120) (0.40596)
0.000000 1.000000 0.000000 0.000000 0.000000 9.415510 -11.40344 0.089281
(0.52394) (0.51722) (0.38093)
0.000000 0.000000 1.000000 0.000000 0.000000 0.320271 -1.016709 -0.464223
(0.10248) (0.10117) (0.07451)
0.000000 0.000000 0.000000 1.000000 0.000000 -16.63613 18.61777 -2.335314
(0.88641) (0.87503) (0.64446)
0.000000 0.000000 0.000000 0.000000 1.000000 -1.093966 0.361936 -0.224200
(0.06889) (0.06801) (0.05009)
D(RIND) -0.486119 0.415499 0.031976 -0.060308 0.002651
(0.04076) (0.04664) (0.03645) (0.01953) (0.05854)
D(RBRZ) 0.750393 -1.163161 0.054688 -0.217275 0.273486
(0.05040) (0.05767) (0.04508) (0.02415) (0.07239)
D(RRUSI) 0.097406 0.216358 -1.079550 0.142553 0.187768
(0.05853) (0.06698) (0.05235) (0.02805) (0.08407)
D(RCH) -0.148885 -0.162565 0.065860 -0.195214 0.221637
(0.04636) (0.05305) (0.04146) (0.02222) (0.06658)
D(RSA) -0.030472 0.042457 0.307125 0.060753 -1.194198
(0.03736) (0.04275) (0.03341) (0.01790) (0.05365)
D(RUSA) -0.160833 0.142454 0.133180 0.032979 0.034601
(0.03588) (0.04106) (0.03209) (0.01720) (0.05153)
D(RUK) -0.085546 0.134431 0.033925 -0.022718 0.205932
(0.03515) (0.04022) (0.03144) (0.01685) (0.05049)
D(RJAP) 0.521338 0.026732 0.055437 0.351653 -0.115711
(0.04453) (0.05095) (0.03982) (0.02134) (0.06396)
6 Cointegrating Log 81962.62
205
Equation(s): likelihood
1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -0.442536 -0.947208
(0.07296) (0.05656)
0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 -1.147259 -0.507556
(0.07961) (0.06172)
0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 -0.667843 -0.484525
(0.09140) (0.07085)
0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.496259 -1.280770
(0.09693) (0.07514)
0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 -0.829706 -0.154855
(0.05747) (0.04455)
0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 -1.089286 0.063389
(0.04898) (0.03797)
D(RIND) -0.909754 0.327920 0.042669 0.298204 0.134417 -0.059369
(0.05084) (0.04598) (0.03558) (0.03289) (0.05797) (0.05798)
D(RBRZ) 0.450321 -1.225195 0.062262 0.036670 0.366819 0.400332
(0.06392) (0.05781) (0.04473) (0.04135) (0.07288) (0.07290)
D(RRUSI) 0.152199 0.227686 -1.080933 0.096183 0.170725 0.123092
(0.07481) (0.06765) (0.05235) (0.04839) (0.08529) (0.08532)
D(RCH) 0.279617 -0.073981 0.055044 -0.557846 0.088357 -0.222529
(0.05813) (0.05257) (0.04068) (0.03760) (0.06627) (0.06629)
D(RSA) -0.000558 0.048641 0.306370 0.035438 -1.203502 0.462080
(0.04775) (0.04318) (0.03341) (0.03089) (0.05444) (0.05445)
D(RUSA) -0.062705 0.162740 0.130703 -0.050064 0.004080 -0.932966
(0.04579) (0.04141) (0.03204) (0.02962) (0.05221) (0.05222)
D(RUK) 0.006305 0.153420 0.031606 -0.100450 0.177363 0.495219
(0.04487) (0.04058) (0.03140) (0.02902) (0.05115) (0.05117)
D(RJAP) 0.517998 0.026042 0.055521 0.354479 -0.114672 0.046580
(0.05692) (0.05148) (0.03983) (0.03682) (0.06490) (0.06492)
7 Cointegrating Log
1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -1.474466
(0.07278)
206
0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -1.874456
(0.09882)
0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 -1.280225
(0.08617)
0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 -0.689503
(0.05935)
0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 -1.143406
(0.07095)
0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 -1.234440
(0.06941)
0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 -1.191449
(0.06627)
D(RIND) -1.064123 0.381533 0.025208 0.077700 0.190654 0.124290 0.219467
(0.05389) (0.04605) (0.03532) (0.04254) (0.05787) (0.06181) (0.06265)
D(RBRZ) 0.446952 -1.224025 0.061881 0.031858 0.368046 0.404339 0.445150
(0.06838) (0.05842) (0.04482) (0.05397) (0.07341) (0.07841) (0.07949)
D(RRUSI) 0.129963 0.235408 -1.083448 0.064421 0.178826 0.149547 0.182672
(0.08002) (0.06836) (0.05244) (0.06316) (0.08591) (0.09176) (0.09302)
D(RCH) 0.017118 0.017185 0.025352 -0.932804 0.183986 0.089774 0.021434
(0.06093) (0.05206) (0.03994) (0.04809) (0.06542) (0.06987) (0.07083)
D(RSA) -0.012993 0.052960 0.304964 0.017676 -1.198972 0.476874 0.262339
(0.05107) (0.04363) (0.03347) (0.04031) (0.05483) (0.05857) (0.05937)
D(RUSA) 0.051302 0.123146 0.143599 0.112785 -0.037453 -1.068604 0.652840
(0.04869) (0.04160) (0.03191) (0.03843) (0.05227) (0.05583) (0.05660)
D(RUK) 0.109012 0.117750 0.043224 0.046259 0.139947 0.373025 -1.016490
(0.04775) (0.04079) (0.03130) (0.03769) (0.05127) (0.05476) (0.05551)
D(RJAP) 0.340094 0.087828 0.035398 0.100356 -0.049861 0.258239 0.062935
(0.06031) (0.05152) (0.03953) (0.04760) (0.06475) (0.06916) (0.07011)
207
Table 4.27 (b) Vector Error Correction Estimates

Cointegrating
Eq: CointEq1
RIND(-1) 1.000000
RBRZ(-1) -1.439144
(0.04938)
[-29.1456]
RRUSI(-1) 0.201964
(0.04256)
[ 4.74588]
RCH(-1) 0.293678
(0.05506)
[ 5.33343]
RSA(-1) 0.799878
(0.06451)
[ 12.3999]
RUSA(-1) -1.170195
(0.07539)
[-15.5217]
RUK(-1) 1.550514
(0.07378)
[ 21.0162]
RJAP(-1) 0.241657
(0.05677)
[ 4.25679]
C 4.42E-06
CointEq1 -0.156893 0.385926 -0.067516 -0.082276 -0.134460 0.098069 -0.207049 -0.064436
(0.01285) (0.01584) (0.01920) (0.01441) (0.01254) (0.01167) (0.01115) (0.01454)
[-12.2108] [ 24.3664] [-3.51659] [-5.70876] [-10.7191] [ 8.40041] [-18.5727] [-4.43212]
D(RIND(-1)) -0.522459 -0.208426 0.035499 0.067700 0.057071 -0.079672 0.146127 0.056348

(0.01777) (0.02191) (0.02656) (0.01994) (0.01735) (0.01615) (0.01542) (0.02011)
[-29.3942] [-9.51280] [ 1.33659] [ 3.39570] [ 3.28890] [-4.93337] [ 9.47547] [ 2.80178]
208
D(RIND(-2)) -0.266700 -0.050943 0.037288 0.023009 0.005758 -0.054231 0.074424 0.036674
(0.01608) (0.01982) (0.02402) (0.01803) (0.01570) (0.01461) (0.01395) (0.01819)
[-16.5892] [-2.57061] [ 1.55219] [ 1.27596] [ 0.36684] [-3.71265] [ 5.33555] [ 2.01609]
D(RBRZ(-1)) -0.149809 -0.322048 0.026233 -0.090191 -0.145588 0.116513 -0.180790 -0.075585

(0.01693) (0.02087) (0.02529) (0.01899) (0.01653) (0.01538) (0.01469) (0.01915)
[-8.85028] [-15.4342] [ 1.03715] [-4.75016] [-8.80979] [ 7.57570] [-12.3098] [-3.94638]
D(RBRZ(-2)) -0.042034 -0.135326 0.015106 -0.047989 -0.096112 0.072943 -0.089724 -0.048740

(0.01314) (0.01620) (0.01964) (0.01474) (0.01283) (0.01194) (0.01140) (0.01487)
[-3.19788] [-8.35200] [ 0.76910] [-3.25489] [-7.48967] [ 6.10770] [-7.86734] [-3.27714]
D(RRUSI(-1)) 0.008096 -0.065425 -0.671055 -0.025203 0.002486 -0.022146 0.010949 0.008458

(0.01071) (0.01320) (0.01600) (0.01201) (0.01046) (0.00973) (0.00929) (0.01212)
[ 0.75588] [-4.95530] [-41.9288] [-2.09777] [ 0.23777] [-2.27569] [ 1.17816] [ 0.69793]
D(RRUSI(-2)) -0.003842 -0.045029 -0.307241 -0.016739 -0.004662 -0.003339 -0.003221 -0.001510

(0.01057) (0.01303) (0.01579) (0.01185) (0.01032) (0.00960) (0.00917) (0.01196)
[-0.36355] [-3.45637] [-19.4551] [-1.41205] [-0.45186] [-0.34776] [-0.35128] [-0.12625]
D(RCH(-1)) 0.032535 -0.028775 0.075910 -0.633606 0.032795 -0.028693 0.051365 0.036346

(0.01409) (0.01736) (0.02105) (0.01580) (0.01375) (0.01280) (0.01222) (0.01594)
[ 2.30977] [-1.65722] [ 3.60658] [-40.1025] [ 2.38483] [-2.24198] [ 4.20289] [ 2.28047]
D(RCH(-2)) 0.007854 -0.048339 0.051164 -0.337394 -0.011370 -0.003819 0.028007 0.015698

(0.01396) (0.01721) (0.02086) (0.01566) (0.01363) (0.01269) (0.01212) (0.01580)
[ 0.56250] [-2.80842] [ 2.45222] [-21.5418] [-0.83410] [-0.30105] [ 2.31173] [ 0.99358]
D(RSA(-1)) 0.059136 -0.226879 0.019593 0.031985 -0.576219 -0.046752 0.085368 0.036786

(0.01744) (0.02150) (0.02606) (0.01956) (0.01703) (0.01585) (0.01513) (0.01973)
[ 3.39062] [-10.5528] [ 0.75181] [ 1.63492] [-33.8406] [-2.95024] [ 5.64135] [ 1.86403]
D(RSA(-2)) 0.077109 -0.001875 0.002024 0.008533 -0.281070 -0.082505 0.029229 0.019153

(0.01630) (0.02010) (0.02436) (0.01829) (0.01592) (0.01481) (0.01415) (0.01845)
[ 4.72918] [-0.09329] [ 0.08308] [ 0.46655] [-17.6570] [-5.56914] [ 2.06614] [ 1.03813]
D(RUSA(-1)) -0.069103 0.350454 -0.071823 -0.056376 -0.057325 -0.699921 -0.177311 -0.023230
209
(0.02024) (0.02495) (0.03025) (0.02271) (0.01976) (0.01839) (0.01756) (0.02290)
[-3.41384] [ 14.0450] [-2.37457] [-2.48294] [-2.90076] [-38.0561] [-10.0958] [-1.01423]
D(RUSA(-2)) -0.035154 0.140509 -0.030402 -0.022879 -0.050702 -0.334999 -0.041159 -0.005557

(0.01785) (0.02200) (0.02667) (0.02002) (0.01742) (0.01621) (0.01548) (0.02019)
[-1.96996] [ 6.38750] [-1.14013] [-1.14301] [-2.91024] [-20.6611] [-2.65830] [-0.27519]
D(RUK(-1)) 0.205178 -0.347635 0.114174 0.074739 0.134883 -0.124780 -0.445799 0.074705

(0.02148) (0.02648) (0.03210) (0.02410) (0.02097) (0.01952) (0.01864) (0.02431)
[ 9.55074] [-13.1273] [ 3.55673] [ 3.10159] [ 6.43111] [-6.39263] [-23.9169] [ 3.07327]
D(RUK(-2)) 0.135451 -0.183722 0.027128 0.002409 0.111634 -0.061465 -0.237999 0.015963

(0.01836) (0.02263) (0.02743) (0.02059) (0.01792) (0.01668) (0.01593) (0.02077)
[ 7.37826] [-8.11852] [ 0.98892] [ 0.11698] [ 6.22860] [-3.68493] [-14.9419] [ 0.76850]
D(RJAP(-1)) 0.023498 -0.075544 0.015089 0.020706 0.032619 -0.044385 0.021272 -0.681223

(0.01413) (0.01742) (0.02112) (0.01585) (0.01380) (0.01284) (0.01226) (0.01599)
[ 1.66246] [-4.33585] [ 0.71443] [ 1.30601] [ 2.36382] [-3.45615] [ 1.73455] [-42.5952]
D(RJAP(-2)) 0.014702 -0.047271 -0.017161 -0.010981 0.032403 -0.015010 0.005970 -0.302951

(0.01403) (0.01730) (0.02097) (0.01574) (0.01370) (0.01275) (0.01218) (0.01588)
[ 1.04766] [-2.73254] [-0.81837] [-0.69761] [ 2.36506] [-1.17713] [ 0.49033] [-19.0786]
C 6.40E-06 8.93E-07 1.77E-05 -1.58E-06 -5.29E-06 -7.02E-06 -2.46E-06 1.52E-08
(0.00026) (0.00032) (0.00038) (0.00029) (0.00025) (0.00023) (0.00022) (0.00029)
[ 0.02487] [ 0.00281] [ 0.04607] [-0.00547] [-0.02105] [-0.03003] [-0.01104] [ 5.2e-05]
R-squared 0.349836 0.454057 0.349596 0.336038 0.355378 0.442236 0.389888 0.352884
Adj. R-squared 0.346773 0.451485 0.346533 0.332910 0.352341 0.439608 0.387014 0.349836
Sum sq. resids 0.866670 1.316924 1.935093 1.090422 0.826050 0.715473 0.652431 1.109594
S.E. equation 0.015496 0.019102 0.023156 0.017382 0.015129 0.014080 0.013445 0.017534
F-statistic 114.2299 176.5636 114.1096 107.4442 117.0370 168.3221 135.6649 115.7677
Log likelihood 9976.755 9217.993 8520.057 9560.262 10063.81 10324.43 10491.70 9528.655
Akaike AIC -5.491455 -5.073060 -4.688203 -5.261793 -5.539458 -5.683169 -5.775408 -5.244365
Schwarz SC -5.460705 -5.042309 -4.657453 -5.231043 -5.508708 -5.652419 -5.744658 -5.213614
Mean dependent 7.06E-06 9.82E-07 1.21E-05 -2.15E-06 -2.13E-06 -2.50E-06 -2.29E-06 -1.02E-06
S.D. dependent 0.019174 0.025792 0.028645 0.021282 0.018799 0.018809 0.017173 0.021746
Determinant resid
covariance (dof adj.) 3.37E-29
210
Determinant resid
covariance 3.24E-29
211
Table 4.27 (c) Vector Error Correction Residual Diagnostics
D(RIND) = C(1)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
C(16)*D(RJAP(-1)) + C(17)*D(RJAP(-2)) + C(18)
D(RBRZ) = C(19)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
C(34)*D(RJAP(-1)) + C(35)*D(RJAP(-2)) + C(36)
D(RRUSI) = C(37)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
C(52)*D(RJAP(-1)) + C(53)*D(RJAP(-2)) + C(54)
D(RCH) = C(55)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
C(70)*D(RJAP(-1)) + C(71)*D(RJAP(-2)) + C(72)
D(RSA) = C(73)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
C(88)*D(RJAP(-1)) + C(89)*D(RJAP(-2)) + C(90)
D(RUSA) = C(91)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
C(106)*D(RJAP(-1)) + C(107)*D(RJAP(-2)) + C(108)
212
D(RUK) = C(109)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
C(124)*D(RJAP(-1)) + C(125)*D(RJAP(-2)) + C(126)
D(RJAP) = C(127)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) + 1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
C(142)*D(RJAP(-1)) + C(143)*D(RJAP(-2)) + C(144)
Table 4.29 (a) Diagnostics to Extract P Value( Long Run and Short Run Causal Relationship)
No. Coefficient Std. Error t-Statistic Prob.
C(1) -0.156893 0.012849 -12.21084 0.0000

C(2) -0.522459 0.017774 -29.39424 0.0000
C(3) -0.266700 0.016077 -16.58924 0.0000
C(4) -0.149809 0.016927 -8.850276 0.0000
C(5) -0.042034 0.013144 -3.197876 0.0014
C(6) 0.008096 0.010711 0.755883 0.4497
C(7) -0.003842 0.010569 -0.363547 0.7162
C(8) 0.032535 0.014086 2.309772 0.0209
C(9) 0.007854 0.013963 0.562496 0.5738
C(10) 0.059136 0.017441 3.390621 0.0007
C(11) 0.077109 0.016305 4.729179 0.0000
C(12) -0.069103 0.020242 -3.413843 0.0006
C(13) -0.035154 0.017845 -1.969965 0.0489
C(14) 0.205178 0.021483 9.550741 0.0000
C(15) 0.135451 0.018358 7.378257 0.0000
C(16) 0.023498 0.014134 1.662463 0.0964
C(17) 0.014702 0.014034 1.047658 0.2948
C(18) 6.40E-06 0.000257 0.024867 0.9802
C(19) 0.385926 0.015838 24.36638 0.0000
C(20) -0.208426 0.021910 -9.512798 0.0000
C(21) -0.050943 0.019818 -2.570612 0.0102
C(22) -0.322048 0.020866 -15.43421 0.0000
213
C(23) -0.135326 0.016203 -8.351996 0.0000
C(24) -0.065425 0.013203 -4.955298 0.0000
C(25) -0.045029 0.013028 -3.456368 0.0005
C(26) -0.028775 0.017363 -1.657225 0.0975
C(27) -0.048339 0.017212 -2.808417 0.0050
C(28) -0.226879 0.021499 -10.55280 0.0000
C(29) -0.001875 0.020099 -0.093292 0.9257
C(30) 0.350454 0.024952 14.04503 0.0000
C(31) 0.140509 0.021997 6.387499 0.0000
C(32) -0.347635 0.026482 -13.12731 0.0000
C(33) -0.183722 0.022630 -8.118519 0.0000
C(34) -0.075544 0.017423 -4.335850 0.0000
C(35) -0.047271 0.017299 -2.732542 0.0063
C(36) 8.93E-07 0.000317 0.002814 0.9978
C(37) -0.067516 0.019199 -3.516589 0.0004
C(38) 0.035499 0.026559 1.336592 0.1814
C(39) 0.037288 0.024023 1.552193 0.1206
C(40) 0.026233 0.025293 1.037154 0.2997
C(41) 0.015106 0.019641 0.769104 0.4418
C(42) -0.671055 0.016005 -41.92885 0.0000
C(43) -0.307241 0.015792 -19.45513 0.0000
C(44) 0.075910 0.021048 3.606580 0.0003
C(45) 0.051164 0.020865 2.452218 0.0142
C(46) 0.019593 0.026061 0.751805 0.4522
C(47) 0.002024 0.024364 0.083082 0.9338
C(48) -0.071823 0.030247 -2.374571 0.0176
C(49) -0.030402 0.026665 -1.140134 0.2542
C(50) 0.114174 0.032101 3.556729 0.0004
C(51) 0.027128 0.027432 0.988923 0.3227
C(52) 0.015089 0.021120 0.714428 0.4750
C(53) -0.017161 0.020970 -0.818368 0.4132
C(54) 1.77E-05 0.000384 0.046066 0.9633
C(55) -0.082276 0.014412 -5.708758 0.0000
C(56) 0.067700 0.019937 3.395695 0.0007
C(57) 0.023009 0.018033 1.275962 0.2020
C(58) -0.090191 0.018987 -4.750156 0.0000
C(59) -0.047989 0.014744 -3.254893 0.0011
C(60) -0.025203 0.012014 -2.097766 0.0359
C(61) -0.016739 0.011855 -1.412047 0.1579
C(62) -0.633606 0.015800 -40.10252 0.0000
C(63) -0.337394 0.015662 -21.54185 0.0000
C(64) 0.031985 0.019563 1.634918 0.1021
C(65) 0.008533 0.018289 0.466553 0.6408
C(66) -0.056376 0.022705 -2.482939 0.0130
C(67) -0.022879 0.020017 -1.143012 0.2530
214
C(68) 0.074739 0.024097 3.101587 0.0019
C(69) 0.002409 0.020592 0.116981 0.9069
C(70) 0.020706 0.015854 1.306013 0.1916
C(71) -0.010981 0.015741 -0.697609 0.4854
C(72) -1.58E-06 0.000289 -0.005474 0.9956
C(73) -0.134460 0.012544 -10.71911 0.0000
C(74) 0.057071 0.017353 3.288897 0.0010
C(75) 0.005758 0.015695 0.366843 0.7137
C(76) -0.145588 0.016526 -8.809794 0.0000
C(77) -0.096112 0.012833 -7.489675 0.0000
C(78) 0.002486 0.010457 0.237767 0.8121
C(79) -0.004662 0.010318 -0.451860 0.6514
C(80) 0.032795 0.013752 2.384832 0.0171
C(81) -0.011370 0.013632 -0.834097 0.4042
C(82) -0.576219 0.017027 -33.84058 0.0000
C(83) -0.281070 0.015918 -17.65702 0.0000
C(84) -0.057325 0.019762 -2.900755 0.0037
C(85) -0.050702 0.017422 -2.910237 0.0036
C(86) 0.134883 0.020973 6.431109 0.0000
C(87) 0.111634 0.017923 6.228601 0.0000
C(88) 0.032619 0.013799 2.363824 0.0181
C(89) 0.032403 0.013701 2.365060 0.0180
C(90) -5.29E-06 0.000251 -0.021050 0.9832
C(91) 0.098069 0.011674 8.400412 0.0000
C(92) -0.079672 0.016150 -4.933366 0.0000
C(93) -0.054231 0.014607 -3.712654 0.0002
C(94) 0.116513 0.015380 7.575700 0.0000
C(95) 0.072943 0.011943 6.107702 0.0000
C(96) -0.022146 0.009732 -2.275691 0.0229
C(97) -0.003339 0.009603 -0.347757 0.7280
C(98) -0.028693 0.012798 -2.241979 0.0250
C(99) -0.003819 0.012687 -0.301054 0.7634
C(100) -0.046752 0.015847 -2.950244 0.0032
C(101) -0.082505 0.014815 -5.569143 0.0000
C(102) -0.699921 0.018392 -38.05613 0.0000
C(103) -0.334999 0.016214 -20.66114 0.0000
C(104) -0.124780 0.019519 -6.392631 0.0000
C(105) -0.061465 0.016680 -3.684925 0.0002
C(106) -0.044385 0.012842 -3.456151 0.0005
C(107) -0.015010 0.012751 -1.177132 0.2392
C(108) -7.02E-06 0.000234 -0.030032 0.9760
C(109) -0.207049 0.011148 -18.57267 0.0000
C(110) 0.146127 0.015422 9.475473 0.0000
C(111) 0.074424 0.013949 5.335548 0.0000
C(112) -0.180790 0.014687 -12.30979 0.0000
215
C(113) -0.089724 0.011405 -7.867343 0.0000
C(114) 0.010949 0.009293 1.178159 0.2387
C(115) -0.003221 0.009170 -0.351283 0.7254
C(116) 0.051365 0.012221 4.202894 0.0000
C(117) 0.028007 0.012115 2.311734 0.0208
C(118) 0.085368 0.015133 5.641345 0.0000
C(119) 0.029229 0.014147 2.066138 0.0388
C(120) -0.177311 0.017563 -10.09580 0.0000
C(121) -0.041159 0.015483 -2.658300 0.0079
C(122) -0.445799 0.018640 -23.91689 0.0000
C(123) -0.237999 0.015928 -14.94187 0.0000
C(124) 0.021272 0.012263 1.734554 0.0828
C(125) 0.005970 0.012176 0.490332 0.6239
C(126) -2.46E-06 0.000223 -0.011039 0.9912
C(127) -0.064436 0.014538 -4.432117 0.0000
C(128) 0.056348 0.020112 2.801778 0.0051
C(129) 0.036674 0.018191 2.016090 0.0438
C(130) -0.075585 0.019153 -3.946379 0.0001
C(131) -0.048740 0.014873 -3.277142 0.0010
C(132) 0.008458 0.012119 0.697927 0.4852
C(133) -0.001510 0.011959 -0.126246 0.8995
C(134) 0.036346 0.015938 2.280470 0.0226
C(135) 0.015698 0.015799 0.993578 0.3204
C(136) 0.036786 0.019735 1.864029 0.0623
C(137) 0.019153 0.018449 1.038129 0.2992
C(138) -0.023230 0.022904 -1.014225 0.3105
C(139) -0.005557 0.020192 -0.275192 0.7832
C(140) 0.074705 0.024308 3.073271 0.0021
C(141) 0.015963 0.020772 0.768495 0.4422
C(142) -0.681223 0.015993 -42.59524 0.0000
C(143) -0.302951 0.015879 -19.07856 0.0000
C(144) 1.52E-08 0.000291 5.22E-05 1.0000
Determinant residual covariance 3.24E-29
Equation: D(RIND) = C(1)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(2)*D(RIND(-1)) + C(3)*D(RIND(-2)) + C(4)
*D(RBRZ(-1)) + C(5)*D(RBRZ(-2)) + C(6)*D(RRUSI(-1)) + C(7)
*D(RRUSI(-2)) + C(8)*D(RCH(-1)) + C(9)*D(RCH(-2)) + C(10)
*D(RSA(-1)) + C(11)*D(RSA(-2)) + C(12)*D(RUSA(-1)) + C(13)
216
*D(RJAP(-1)) + C(17)*D(RJAP(-2)) + C(18)
Observations: 3627
Equation: D(RBRZ) = C(19)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(20)*D(RIND(-1)) + C(21)*D(RIND(-2)) +
*D(RJAP(-1)) + C(35)*D(RJAP(-2)) + C(36)
Observations: 3627
Equation: D(RRUSI) = C(37)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(38)*D(RIND(-1)) + C(39)*D(RIND(-2)) +
*D(RJAP(-1)) + C(53)*D(RJAP(-2)) + C(54)
Observations: 3627
Equation: D(RCH) = C(55)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(56)*D(RIND(-1)) + C(57)*D(RIND(-2)) +
217
*D(RJAP(-1)) + C(71)*D(RJAP(-2)) + C(72)
Observations: 3627
Equation: D(RSA) = C(73)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(74)*D(RIND(-1)) + C(75)*D(RIND(-2)) +
*D(RJAP(-1)) + C(89)*D(RJAP(-2)) + C(90)
Observations: 3627
Equation: D(RUSA) = C(91)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(92)*D(RIND(-1)) + C(93)*D(RIND(-2)) +
C(100)*D(RSA(-1)) + C(101)*D(RSA(-2)) + C(102)*D(RUSA(-1)) +
C(106)*D(RJAP(-1)) + C(107)*D(RJAP(-2)) + C(108)
Observations: 3627
Equation: D(RUK) = C(109)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
218
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(110)*D(RIND(-1)) + C(111)*D(RIND(-2)) +
C(124)*D(RJAP(-1)) + C(125)*D(RJAP(-2)) + C(126)
Observations: 3627
Equation: D(RJAP) = C(127)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +
0.799878330187*RSA(-1) - 1.17019465357*RUSA(-1) +
1.55051402256*RUK(-1) + 0.241657153315*RJAP(-1) +
4.41804223733E-06 ) + C(128)*D(RIND(-1)) + C(129)*D(RIND(-2)) +
C(142)*D(RJAP(-1)) + C(143)*D(RJAP(-2)) + C(144)
Observations: 3627
219
Table 4.31 (a) Vector Error Correction Estimates II during Crisis
Cointegrating Eq: CointEq1
RIND(-1) 1.000000
RBRZ(-1) -2.753142
(0.79810)
[-3.44964]
RRUSI(-1) -2.173731
(0.61615)
[-3.52795]
RCH(-1) -1.981964
(1.17388)
[-1.68838]
RSA(-1) 3.029635
(0.98736)
[ 3.06843]
RUSA(-1) 21.90456
(1.13048)
[ 19.3763]
RUK(-1) -27.27760
(1.26237)
[-21.6083]
RJAP(-1) 3.265677
(0.94891)
[ 3.44152]
C -0.007222
CointEq1 0.008910 0.001952 0.010994 0.004871 -0.000500 -0.021048 -0.046464 -0.007796

(0.00344) (0.00464) (0.00587) (0.00280) (0.00363) (0.00363) (0.00259) (0.00337)
[ 2.59169] [ 0.42050] [ 1.87340] [ 1.74230] [-0.13770] [-5.79072] [ 17.9136] [-2.31619]
D(RIND(-1)) -0.683478 -0.075905 -0.050793 0.057575 -0.102766 0.028645 0.022200 0.018484

(0.03664) (0.04948) (0.06254) (0.02980) (0.03870) (0.03874) (0.02764) (0.03587)
220
[-18.6530] [-1.53391] [-0.81213] [ 1.93230] [-2.65531] [ 0.73942] [ 0.80305] [ 0.51527]
D(RIND(-2)) -0.396222 0.012192 -0.007870 -0.019992 -0.177585 0.045856 0.001279 -0.095336

(0.03516) (0.04748) (0.06001) (0.02859) (0.03714) (0.03717) (0.02653) (0.03442)
[-11.2694] [ 0.25677] [-0.13115] [-0.69925] [-4.78201] [ 1.23362] [ 0.04820] [-2.76971]
D(RBRZ(-1)) -0.084893 -0.810555 0.020566 -0.031682 -0.067087 -0.040390 0.117125 0.017463

(0.02714) (0.03666) (0.04633) (0.02207) (0.02867) (0.02870) (0.02048) (0.02657)
[-3.12778] [-22.1130] [ 0.44392] [-1.43548] [-2.34013] [-1.40753] [ 5.71980] [ 0.65720]
D(RBRZ(-2)) 0.003313 -0.367768 -0.016071 -0.000537 -0.106295 0.005879 0.071844 0.047576

(0.02671) (0.03608) (0.04560) (0.02172) (0.02822) (0.02824) (0.02015) (0.02615)
[ 0.12402] [-10.1941] [-0.35246] [-0.02470] [-3.76725] [ 0.20816] [ 3.56479] [ 1.81915]
D(RRUSI(-1)) -0.026148 -0.022280 -0.775905 -0.006006 -0.018130 -0.010817 0.089416 -0.014930

(0.02204) (0.02977) (0.03763) (0.01793) (0.02328) (0.02331) (0.01663) (0.02158)
[-1.18611] [-0.74836] [-20.6203] [-0.33503] [-0.77861] [-0.46411] [ 5.37623] [-0.69179]
D(RRUSI(-2)) -0.003588 -0.008360 -0.338766 -0.013071 -0.023966 -0.006641 0.039237 -0.020758

(0.02159) (0.02916) (0.03685) (0.01756) (0.02280) (0.02283) (0.01629) (0.02114)
[-0.16618] [-0.28673] [-9.19264] [-0.74451] [-1.05094] [-0.29095] [ 2.40886] [-0.98207]
D(RCH(-1)) -0.008875 0.071187 -0.040502 -0.643515 0.081867 -0.054966 0.129713 0.070444

(0.04648) (0.06278) (0.07934) (0.03780) (0.04910) (0.04915) (0.03507) (0.04551)
[-0.19093] [ 1.13396] [-0.51046] [-17.0242] [ 1.66741] [-1.11844] [ 3.69869] [ 1.54793]
D(RCH(-2)) 0.011349 -0.046298 0.119323 -0.278555 -0.026761 -0.033138 0.065807 0.007963

(0.04656) (0.06288) (0.07947) (0.03786) (0.04917) (0.04922) (0.03512) (0.04558)
[ 0.24377] [-0.73636] [ 1.50154] [-7.35775] [-0.54420] [-0.67324] [ 1.87353] [ 0.17470]
D(RSA(-1)) -0.037046 -0.041518 0.064879 -0.010106 -0.725692 0.076357 -0.094217 0.072158

(0.03488) (0.04710) (0.05953) (0.02836) (0.03684) (0.03687) (0.02631) (0.03414)
[-1.06221] [-0.88145] [ 1.08983] [-0.35634] [-19.6996] [ 2.07078] [-3.58067] [ 2.11329]
D(RSA(-2)) 0.132358 0.252611 -0.082639 -0.007071 -0.336014 -0.126951 -0.106109 0.064276

(0.03551) (0.04796) (0.06061) (0.02888) (0.03751) (0.03754) (0.02679) (0.03477)
[ 3.72726] [ 5.26737] [-1.36338] [-0.24486] [-8.95856] [-3.38143] [-3.96059] [ 1.84885]
D(RUSA(-1)) -0.141922 0.103357 -0.105153 -0.121311 0.038333 -0.529786 -0.821651 0.134212

(0.06677) (0.09018) (0.11397) (0.05430) (0.07053) (0.07060) (0.05038) (0.06537)
[-2.12544] [ 1.14615] [-0.92260] [-2.23415] [ 0.54351] [-7.50449] [-16.3100] [ 2.05306]
D(RUSA(-2)) -0.070394 0.031638 -0.023242 -0.057678 0.013916 -0.136810 -0.244827 0.098112

(0.04716) (0.06368) (0.08049) (0.03835) (0.04981) (0.04986) (0.03558) (0.04617)
[-1.49278] [ 0.49679] [-0.28876] [-1.50413] [ 0.27940] [-2.74412] [-6.88164] [ 2.12519]
221
D(RUK(-1)) 0.341399 0.009687 0.112042 0.094390 0.106918 -0.404639 0.154241 -0.044275
(0.06798) (0.09181) (0.11604) (0.05528) (0.07181) (0.07188) (0.05129) (0.06656)
[ 5.02177] [ 0.10551] [ 0.96554] [ 1.70739] [ 1.48898] [-5.62970] [ 3.00722] [-0.66522]
D(RUK(-2)) 0.146173 -0.031602 -0.005535 -0.002561 0.097452 -0.248628 0.023784 -0.069520

(0.04887) (0.06599) (0.08341) (0.03974) (0.05161) (0.05166) (0.03687) (0.04784)
[ 2.99135] [-0.47888] [-0.06636] [-0.06445] [ 1.88813] [-4.81253] [ 0.64514] [-1.45319]
D(RJAP(-1)) 0.032707 -0.021090 -0.092878 0.000338 0.079555 -0.040789 -0.143487 -0.650886

(0.03950) (0.05334) (0.06742) (0.03212) (0.04172) (0.04176) (0.02980) (0.03867)
[ 0.82806] [-0.39537] [-1.37762] [ 0.01053] [ 1.90691] [-0.97676] [-4.81508] [-16.8321]
D(RJAP(-2)) 0.037288 -0.040256 -0.074331 -0.063627 -0.002928 -0.029299 -0.112867 -0.257302

(0.03893) (0.05258) (0.06645) (0.03166) (0.04112) (0.04116) (0.02937) (0.03811)
[ 0.95781] [-0.76568] [-1.11861] [-2.00989] [-0.07120] [-0.71185] [-3.84282] [-6.75104]
C 2.59E-05 -2.64E-05 6.92E-05 -2.31E-05 -5.58E-05 -4.59E-05 -2.42E-05 -3.43E-05

(0.00062) (0.00084) (0.00106) (0.00051) (0.00066) (0.00066) (0.00047) (0.00061)
[ 0.04162] [-0.03140] [ 0.06512] [-0.04570] [-0.08481] [-0.06967] [-0.05141] [-0.05620]
R-squared 0.479786 0.561219 0.451757 0.350399 0.452745 0.578856 0.642661 0.363325

Adj. R-squared 0.466032 0.549619 0.437263 0.333225 0.438277 0.567722 0.633214 0.346492
Sum sq. resids 0.164801 0.300577 0.480145 0.108976 0.183856 0.184211 0.093804 0.157955
S.E. equation 0.016009 0.021621 0.027326 0.013018 0.016910 0.016926 0.012078 0.015673
F-statistic 34.88411 48.37794 31.16696 20.40229 31.29153 51.98796 68.02432 21.58436
Log likelihood 1804.164 1605.545 1450.744 1940.862 1768.003 1767.366 1990.411 1818.186
Akaike AIC -5.404429 -4.803466 -4.335081 -5.818039 -5.295016 -5.293088 -5.967960 -5.446856
Schwarz SC -5.282058 -4.681094 -4.212710 -5.695668 -5.172644 -5.170717 -5.845588 -5.324484
Mean dependent 4.54E-05 -1.82E-06 6.79E-05 -1.55E-05 -2.43E-05 -2.72E-05 -6.89E-06 -4.37E-05
S.D. dependent 0.021909 0.032217 0.036427 0.015943 0.022562 0.025744 0.019943 0.019388
Determinant resid covariance

(dof adj.) 3.41E-29
Determinant resid covariance 2.74E-29
222

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Standard errors in ( ) & t-statistics in [ ]

D(RIND(-1)) -0.522459 -0.208426 0.035499 0.067700 0.057071 -0.079672 0.146127 0.056348

D(RBRZ(-1)) -0.149809 -0.322048 0.026233 -0.090191 -0.145588 0.116513 -0.180790 -0.075585

D(RBRZ(-2)) -0.042034 -0.135326 0.015106 -0.047989 -0.096112 0.072943 -0.089724 -0.048740

D(RRUSI(-1)) 0.008096 -0.065425 -0.671055 -0.025203 0.002486 -0.022146 0.010949 0.008458

D(RRUSI(-2)) -0.003842 -0.045029 -0.307241 -0.016739 -0.004662 -0.003339 -0.003221 -0.001510

D(RCH(-1)) 0.032535 -0.028775 0.075910 -0.633606 0.032795 -0.028693 0.051365 0.036346

D(RCH(-2)) 0.007854 -0.048339 0.051164 -0.337394 -0.011370 -0.003819 0.028007 0.015698

D(RSA(-1)) 0.059136 -0.226879 0.019593 0.031985 -0.576219 -0.046752 0.085368 0.036786

D(RSA(-2)) 0.077109 -0.001875 0.002024 0.008533 -0.281070 -0.082505 0.029229 0.019153

D(RUSA(-1)) -0.069103 0.350454 -0.071823 -0.056376 -0.057325 -0.699921 -0.177311 -0.023230

D(RUSA(-2)) -0.035154 0.140509 -0.030402 -0.022879 -0.050702 -0.334999 -0.041159 -0.005557

D(RUK(-1)) 0.205178 -0.347635 0.114174 0.074739 0.134883 -0.124780 -0.445799 0.074705

D(RUK(-2)) 0.135451 -0.183722 0.027128 0.002409 0.111634 -0.061465 -0.237999 0.015963

D(RJAP(-1)) 0.023498 -0.075544 0.015089 0.020706 0.032619 -0.044385 0.021272 -0.681223

D(RJAP(-2)) 0.014702 -0.047271 -0.017161 -0.010981 0.032403 -0.015010 0.005970 -0.302951

D(RBRZ) = C(19)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

D(RRUSI) = C(37)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

D(RCH) = C(55)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

D(RSA) = C(73)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

D(RUSA) = C(91)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

D(RJAP) = C(127)*( RIND(-1) - 1.43914373042*RBRZ(-1) + 0.201964314505*RRUSI(-1) + 0.293678255728*RCH(-1) +

Source: author’s calculation

No. Coefficient Std. Error t-Statistic Prob.

C(1) -0.156893 0.012849 -12.21084 0.0000

Determinant residual covariance 3.24E-29

Equation: D(RIND) = C(1)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

Equation: D(RBRZ) = C(19)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

Equation: D(RRUSI) = C(37)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

Equation: D(RCH) = C(55)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

Equation: D(RSA) = C(73)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

Equation: D(RUSA) = C(91)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

Equation: D(RUK) = C(109)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

Equation: D(RJAP) = C(127)*( RIND(-1) - 1.43914373042*RBRZ(-1) +

Source: author’s calculation

Cointegrating Eq: CointEq1

CointEq1 0.008910 0.001952 0.010994 0.004871 -0.000500 -0.021048 -0.046464 -0.007796

D(RIND(-1)) -0.683478 -0.075905 -0.050793 0.057575 -0.102766 0.028645 0.022200 0.018484

D(RIND(-2)) -0.396222 0.012192 -0.007870 -0.019992 -0.177585 0.045856 0.001279 -0.095336

D(RBRZ(-1)) -0.084893 -0.810555 0.020566 -0.031682 -0.067087 -0.040390 0.117125 0.017463

D(RBRZ(-2)) 0.003313 -0.367768 -0.016071 -0.000537 -0.106295 0.005879 0.071844 0.047576

D(RRUSI(-1)) -0.026148 -0.022280 -0.775905 -0.006006 -0.018130 -0.010817 0.089416 -0.014930

D(RRUSI(-2)) -0.003588 -0.008360 -0.338766 -0.013071 -0.023966 -0.006641 0.039237 -0.020758

D(RCH(-1)) -0.008875 0.071187 -0.040502 -0.643515 0.081867 -0.054966 0.129713 0.070444

D(RCH(-2)) 0.011349 -0.046298 0.119323 -0.278555 -0.026761 -0.033138 0.065807 0.007963

D(RSA(-1)) -0.037046 -0.041518 0.064879 -0.010106 -0.725692 0.076357 -0.094217 0.072158

D(RSA(-2)) 0.132358 0.252611 -0.082639 -0.007071 -0.336014 -0.126951 -0.106109 0.064276

D(RUSA(-1)) -0.141922 0.103357 -0.105153 -0.121311 0.038333 -0.529786 -0.821651 0.134212

D(RUSA(-2)) -0.070394 0.031638 -0.023242 -0.057678 0.013916 -0.136810 -0.244827 0.098112

D(RUK(-2)) 0.146173 -0.031602 -0.005535 -0.002561 0.097452 -0.248628 0.023784 -0.069520

D(RJAP(-1)) 0.032707 -0.021090 -0.092878 0.000338 0.079555 -0.040789 -0.143487 -0.650886

D(RJAP(-2)) 0.037288 -0.040256 -0.074331 -0.063627 -0.002928 -0.029299 -0.112867 -0.257302

C 2.59E-05 -2.64E-05 6.92E-05 -2.31E-05 -5.58E-05 -4.59E-05 -2.42E-05 -3.43E-05

R-squared 0.479786 0.561219 0.451757 0.350399 0.452745 0.578856 0.642661 0.363325

Determinant resid covariance

D(RBRZ) = C(19)( RIND(-1) - 1.43914373042RBRZ(-1) + 0.201964314505RRUSI(-1) + 0.293678255728RCH(-1) +

D(RRUSI) = C(37)( RIND(-1) - 1.43914373042RBRZ(-1) + 0.201964314505RRUSI(-1) + 0.293678255728RCH(-1) +

D(RCH) = C(55)( RIND(-1) - 1.43914373042RBRZ(-1) + 0.201964314505RRUSI(-1) + 0.293678255728RCH(-1) +

D(RSA) = C(73)( RIND(-1) - 1.43914373042RBRZ(-1) + 0.201964314505RRUSI(-1) + 0.293678255728RCH(-1) +

D(RUSA) = C(91)( RIND(-1) - 1.43914373042RBRZ(-1) + 0.201964314505RRUSI(-1) + 0.293678255728RCH(-1) +

D(RJAP) = C(127)( RIND(-1) - 1.43914373042RBRZ(-1) + 0.201964314505RRUSI(-1) + 0.293678255728RCH(-1) +

Equation: D(RIND) = C(1)( RIND(-1) - 1.43914373042RBRZ(-1) +

Equation: D(RBRZ) = C(19)( RIND(-1) - 1.43914373042RBRZ(-1) +

Equation: D(RRUSI) = C(37)( RIND(-1) - 1.43914373042RBRZ(-1) +

Equation: D(RCH) = C(55)( RIND(-1) - 1.43914373042RBRZ(-1) +

Equation: D(RSA) = C(73)( RIND(-1) - 1.43914373042RBRZ(-1) +

Equation: D(RUSA) = C(91)( RIND(-1) - 1.43914373042RBRZ(-1) +

Equation: D(RUK) = C(109)( RIND(-1) - 1.43914373042RBRZ(-1) +

Equation: D(RJAP) = C(127)( RIND(-1) - 1.43914373042RBRZ(-1) +