From Dragon to Elephant: Decoding Recent Shifts between China and India Stock Exchanges

Yıl 2025, Cilt: 27 Sayı: IERFM 2025 Özel Sayı, 81 - 106, 14.03.2025

Caner Özdurak , Derya Hekim , Kaan Evren Bolgün

https://doi.org/10.26468/trakyasobed.1515655

Öz

This paper investigates the interconnectedness between the Chinese and Indian stock markets using Vector Autoregression (VAR) and Threshold ARCH (TARCH) model (VAR-VECH-TARCH). Our analysis focuses on the dynamic spillover effects, particularly their intensification following the aftermath of Covid-19 pandemic. The empirical results suggest a differentiated short-term volatility transmission. The Indian market exhibits lower dependence on its own past volatility and weaker short-term linkages with other markets compared to China and the US. However, in the long-term, cointegration is evident, implying interconnectedness across all three markets. Furthermore, our findings reveal a positive dynamic conditional correlation between the Chinese and Indian stock markets, reaching its peak during the pandemic period. Interestingly, this correlation converges to zero after July 2022, potentially reflecting a shift in investment strategies. These results contribute to a nuanced understanding of the recent investment shift from China (SHENZHENCSI) to India (BSESENSEX), highlighting the importance of recognizing the unique dynamics of each market and avoiding oversimplified interpretations.

Anahtar Kelimeler

VAR-VECH-TARCH, Indian Stock Markets, Volatility spillover effect, dynamic conditional correlation

Ejderha'dan File: Çin ve Hindistan Borsaları Arasındaki Son Etkileşimleri Deşifre Etmek

Öz

Bu çalışma, Vektör Otoregresyon (VAR) ile eşik ARCH (TARCH) modelini (VAR-VECH-TARCH) kullanarak Çin ve Hindistan borsaları arasındaki bağlantıyı araştırmaktadır. Analizimiz, Covid-19 salgını sonrası yoğunlaşan dinamik sıçrama etkilerine odaklanmaktadır. Ampirik sonuçlar, farklılaştırılmış kısa vadeli volatilite aktarımına işaret etmektedir. Hindistan pazarı, Çin ve ABD'ye kıyasla kendi geçmiş volatilitesine daha az bağımlılık ve diğer piyasalara da daha zayıf kısa vadeli bağlantı göstermektedir. Ancak, uzun vadede tüm üç pazar da birbirine bağlılığı ima eden eşbütünleşme açıktır. Ayrıca, bulgularımız Çin ve Hindistan borsa piyasaları arasında pozitif bir dinamik koşullu korelasyon olduğunu ortaya koymaktadır. Bu korelasyonun pandemi döneminde zirveye ulaşması dikkate değerdir. İlginç bir şekilde, bu korelasyon Temmuz 2022'den sonra sıfıra yakınsarken potansiyel olarak yatırım stratejilerinde bir değişikliği yansıtmaktadır. Bu sonuçlar, Çin'den (SHENZHENCSI) Hindistan'a (BSESENSEX) yapılan son yatırım kaymasını nüanslı bir şekilde anlamaya katkıda bulunmakta ve her bir piyasanın benzersiz dinamiklerini tanımanın ve aşırı basitleştirilmiş yorumlardan kaçınmanın önemini vurgulamaktadır.

Anahtar Kelimeler

VAR-VECH-TARCH, Hindistan borsası, oynaklık yayılım etkisi, dinamik koşullu korelasyon

Kaynakça

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