An econometric study of dynamic relationships of regional integrations across the globe
by Namita Rajput; Sufiya Usman; Shoeba Usman
International Journal of Technology Transfer and Commercialisation (IJTTC), Vol. 16, No. 1, 2018

Abstract: With the emergence of globalisation, this paper investigates time series data of index prices from 2011 to 2016, to analyse dynamic inter-linkages of indices of seven regional integrations, ASEAN, BRICS, EFTA, EU, LAFTA, NAFTA and SAARC comprising of 53 countries including India and its interlinkages with BRICS and SAARC. Price discovery is confirmed for all regional integrations using Johnson's co-integration test, while VECM signifies the short-term adjustments made by various combinations of regional integrations. The results of Granger causality/block exogeneity shows bi-directional relationships in 11 combinations, and uni-directional relationships in ten combinations of regional integrations and in six combinations of countries with India. Volatility spill-over is confirmed for all combinations of regional integration and countries except ASEAN and EU and EFTA and NAFTA. Existence of efficient risk transfer system among markets is relevant for policy makers, hedgers, traders and investors and it may provide diversification benefits for potential investors.

Online publication date: Mon, 18-Jun-2018

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