%0 Journal Article
	%A A. Iqbal and  N. Khalid and  S. Rafiq
	%D 2011
	%J International Journal of Economics and Management Engineering
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 49, 2011
	%T Dynamic Interrelationship among the Stock Markets of India, Pakistan and United States
	%U https://publications.waset.org/pdf/1804
	%V 49
	%X The interrelationship between international stock
markets has been a key study area among the financial market
researchers for international portfolio management and risk
measurement. The characteristics of security returns and their
dynamics play a vital role in the financial market theory. This study
is an attempt to find out the dynamic linkages among the equity
market of USA and emerging markets of Pakistan and India using
daily data covering the period of January 2003–December 2009. The
study utilizes Johansen (Journal of Economic Dynamics and Control,
12, 1988) and Johansen and Juselius (Oxford Bulletin of Economics
and Statistics, 52, 1990) cointegration procedure for long run
relationship and Granger-causality tests based on Toda and
Yamamoto (Journal of Econometrics, 66, 1995) methodology.
No cointegration was found among stock markets of USA, Pakistan
and India, while Granger-causality test showed the evidence of
unidirectional causality running from New York stock exchange to
Bombay and Karachi stock exchanges.
	%P 8 - 14