Long-run dynamics w.r.t. NIFTY50 (co-integration relation of indices, in respective currencies)
| Full data | Phase 1 | Phase 2 | Phase 3 | ||||
|---|---|---|---|---|---|---|---|
| NIFTY50 | Coint. Coefficient | 1.000*** | 1.000*** | 1.000*** | 1.000*** | ||
| p-value | 0.000 | 0.000 | 0.000 | 0.000 | |||
| S&P 500 | Coint. Coefficient | −3.913*** | 2.479*** | −6.401*** | 10.209*** | ||
| p-value | 0.000 | 0.000 | 0.000 | 0.000 | |||
| Hang Seng | Coint. Coefficient | −0.199*** | 0.037 | −0.227*** | −0.141 | ||
| p-value | 0.000 | 0.215 | 0.000 | 0.117 | |||
| Indices | Singapore STI | Coint. Coefficient | 0.348 | −2.254*** | −3.036*** | 0.267 | |
| p-value | 0.471 | 0.000 | 0.000 | 0.852 | |||
| Shanghai Co | Coint. Coefficient | −0.957*** | −0.009 | 0.693*** | −1.638 | ||
| p-value | 0.000 | 0.913 | 0.000 | 0.012 | |||
| FTSE 100 (UK) | Coint. Coefficient | −0.117 | −0.151 | 3.353*** | 0.454 | ||
| p-value | 0.696 | 0.335 | 0.000 | 0.169 | |||
| Nikkei 225 | Coint. Coefficient | 0.196*** | −0.092 | −0.130 | −0.248 | ||
| p-value | 0.000 | 0.076 | 0.063 | 0.089 | |||
| Intercept | Coefficient | 3997.870*** | 32.842 | −2423.917* | −19180.000*** | ||
| p-value | 0.000 | 0.934 | 0.023 | 0.000 | |||
| Trend | Coefficient | −0.070 | −1.019*** | 0.241 | −13.471*** | ||
| p-value | 0.837 | 0.000 | 0.759 | 0.000 | |||
| Full data | Phase 1 | Phase 2 | Phase 3 | ||||
|---|---|---|---|---|---|---|---|
| NIFTY50 | Coint. Coefficient | 1.000*** | 1.000*** | 1.000*** | 1.000*** | ||
| 0.000 | 0.000 | 0.000 | 0.000 | ||||
| S&P 500 | Coint. Coefficient | −3.913*** | 2.479*** | −6.401*** | 10.209*** | ||
| 0.000 | 0.000 | 0.000 | 0.000 | ||||
| Hang Seng | Coint. Coefficient | −0.199*** | 0.037 | −0.227*** | −0.141 | ||
| 0.000 | 0.215 | 0.000 | 0.117 | ||||
| Indices | Singapore STI | Coint. Coefficient | 0.348 | −2.254*** | −3.036*** | 0.267 | |
| 0.471 | 0.000 | 0.000 | 0.852 | ||||
| Shanghai Co | Coint. Coefficient | −0.957*** | −0.009 | 0.693*** | −1.638 | ||
| 0.000 | 0.913 | 0.000 | 0.012 | ||||
| FTSE 100 (UK) | Coint. Coefficient | −0.117 | −0.151 | 3.353*** | 0.454 | ||
| 0.696 | 0.335 | 0.000 | 0.169 | ||||
| Nikkei 225 | Coint. Coefficient | 0.196*** | −0.092 | −0.130 | −0.248 | ||
| 0.000 | 0.076 | 0.063 | 0.089 | ||||
| Intercept | Coefficient | 3997.870*** | 32.842 | −2423.917* | −19180.000*** | ||
| 0.000 | 0.934 | 0.023 | 0.000 | ||||
| Trend | Coefficient | −0.070 | −1.019*** | 0.241 | −13.471*** | ||
| 0.837 | 0.000 | 0.759 | 0.000 | ||||
Note(s): * means significant at the 10% level, ** means significant at the 5% level and *** means significant at the 1% level
Source(s): Own elaboration
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.