欧洲、中东和亚洲股市对印度股市有影响吗？基于NIFTY股指预测的案例研究

IF 0.9 Q3 ECONOMICS

Scientific Annals of Economics and Business Pub Date : 2022-12-16 DOI:10.47743/saeb-2022-0028

Jatin Trivedi, C. Spulbar, Ramona Birau, A. Mehdiabadi, Ion Florescu

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引用次数: 0

摘要

本文通过考虑MSCI欧洲、中东和亚洲股市指数的聚类，从印度股市估计NIFTY指数。在预测过程中，考虑到从彭博社提取的2000年1月至2021年12月的每日观测样本量，我们获得了一组自变量来测试其对因变量（NIFTY）的相对影响。我们使用额外的VIF和BKW参数进行OLS回归，Quantile估计。我们发现，在预测过程中，与其他意外超出VIF限制的样本指数相比，中国（亚洲指数）和沙特阿拉伯（中东指数）存在显著的影响关联。此外，尽管OLS回归估计具有统计学意义（<1%），但我们记录了自变量之间的强相关性。

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Do European, Middle-East and Asian Stock Markets Impact on Indian Stock Market? A Case Study Based on NIFTY Stock Index Forecasting

This paper estimates NIFTY index from Indian stock market by considering a cluster of MSCI European, Middle East and Asian stock market indices. In the forecasting process, we obtain group of independent variables to test its relative impact over dependent variable (NIFTY) considering a sample size of daily observations from January 2000 to December 2021 abstracted from Bloomberg. We run OLS regression, Quantile estimations with additional parameter of VIF and BKW. We found significant impact association with China (Asian index) and Saudi Arabia (Middle East index) during the forecasting process compared to rest of sample indices that exceed unexpectedly out of VIF limits. Further, we recorded strong association of independent variables despite of statistical significance (<1%) in OLS regression estimation.

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来源期刊

Scientific Annals of Economics and Business ECONOMICS-

CiteScore

1.40

自引率

0.00%

发文量

审稿时长

10 weeks

期刊介绍： The Journal called Scientific Annals of Economics and Business (formerly Analele ştiinţifice ale Universităţii "Al.I. Cuza" din Iaşi. Ştiinţe economice / Scientific Annals of the Alexandru Ioan Cuza University of Iasi. Economic Sciences), was first published in 1954. It is published under the care of the Alexandru Ioan Cuza University, the oldest higher education institution in Romania, a place of excellence and innovation in education and research since 1860. Throughout its editorial life, the journal has been continuously improving. Renowned professors, well-known in the country and abroad, have published in this journal. The quality of the published materials is ensured both through their review by external reviewers of the institution and by the editorial staff that includes professors for each area of interest. The journal published papers in the following main sections: Accounting; Finance, Money and Banking; Management, Marketing and Communication; Microeconomics and Macroeconomics; Statistics and Econometrics; The Society of Knowledge and Business Information Systems.