Page 55 - IILMGSM Journal_Management Perspective
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87 million in this period (consisting of four and No causality was found between G Sec market and
half years). Mostly, the foreign exchange market the capital market, G sec and the foreign exchange
shows no significant correlation with money market, market, credit market and the foreign exchange
credit market and the G sec market. market.
Granger causality test was used to determine the Co integration Results
causal relationship among the financial market
segments considered in the study. The lags are Johansen co integration test was applied to examine
arbitrarily determined and the fixed at maximum of whether there is long run equilibrium relationship
four. among the various financial market segments.
Bivariate and Multivariate test were applied. Firstly,
Strong bidirectional causal relationships are found the results of the bivariate analysis are provided. This
among the variables of the money market (CM-CP, shows pair wise co integration (Table 4). Then the
CM-CD, CD-CP, and CP-MIBOR). Unidirectional results of the multivariate analysis are presented
causality was found to be flowing from MIBOR to (Table 5).
CM and CP. Money market and the G sec market
seem to be impacting each other as TBILL is found Over the study period all the variables within the
to be causing CP and CD. On the other hand, MIBOR money market (CM, CP, CD and MIBOR) are co
is causing TBILL unidirectional and a bidirectional integrated with each other (except CP and CD). Some
relation is found between TBILL and CM. the credit of the variables (CM and MIBOR) of this segment
market is found to be causing the money market are integrated with that of the G sec market. Both
(PLR Granger cause CM and CP, DR causes CD). these segments are well integrated with the foreign
Bidirectional causality is found between PLR and exchange market.
MIBOR. MIBOR was found to be causing DR.
In the credit market segment PLR is not integrated
Strong causal relations are found among the money with any other variable, whereas, the DR is found to
market and the foreign exchange market. There is be integrated with the variables in the money market,
bidirectional causality between ER - CM and ER – G sec market and the foreign exchange market.
CP. In addition to this MIBOR was found to be (Reason behind the difference in the results of PLR
causing ER. and DR. both are found to be highly correlated)
A strange relationship was found among the G sec The capital market is not found to be integrated with
and the credit market. PLR was discovered to be any other market segment. This result is in line with
causing TBILL and TBILL was found to be causing the findings of Bhoi and Dhal (1998). This could be
DR. The capital market was found to be caused by because of the presence of completely different
credit (PLR causes NIFTY) and the foreign exchange players in this particular segment. In the other
market (ER causes NIFTY). It is found to cause segments banks are the major participants which is
money market by influencing MIBOR. not the case in the capital market.
(54)
half years). Mostly, the foreign exchange market the capital market, G sec and the foreign exchange
shows no significant correlation with money market, market, credit market and the foreign exchange
credit market and the G sec market. market.
Granger causality test was used to determine the Co integration Results
causal relationship among the financial market
segments considered in the study. The lags are Johansen co integration test was applied to examine
arbitrarily determined and the fixed at maximum of whether there is long run equilibrium relationship
four. among the various financial market segments.
Bivariate and Multivariate test were applied. Firstly,
Strong bidirectional causal relationships are found the results of the bivariate analysis are provided. This
among the variables of the money market (CM-CP, shows pair wise co integration (Table 4). Then the
CM-CD, CD-CP, and CP-MIBOR). Unidirectional results of the multivariate analysis are presented
causality was found to be flowing from MIBOR to (Table 5).
CM and CP. Money market and the G sec market
seem to be impacting each other as TBILL is found Over the study period all the variables within the
to be causing CP and CD. On the other hand, MIBOR money market (CM, CP, CD and MIBOR) are co
is causing TBILL unidirectional and a bidirectional integrated with each other (except CP and CD). Some
relation is found between TBILL and CM. the credit of the variables (CM and MIBOR) of this segment
market is found to be causing the money market are integrated with that of the G sec market. Both
(PLR Granger cause CM and CP, DR causes CD). these segments are well integrated with the foreign
Bidirectional causality is found between PLR and exchange market.
MIBOR. MIBOR was found to be causing DR.
In the credit market segment PLR is not integrated
Strong causal relations are found among the money with any other variable, whereas, the DR is found to
market and the foreign exchange market. There is be integrated with the variables in the money market,
bidirectional causality between ER - CM and ER – G sec market and the foreign exchange market.
CP. In addition to this MIBOR was found to be (Reason behind the difference in the results of PLR
causing ER. and DR. both are found to be highly correlated)
A strange relationship was found among the G sec The capital market is not found to be integrated with
and the credit market. PLR was discovered to be any other market segment. This result is in line with
causing TBILL and TBILL was found to be causing the findings of Bhoi and Dhal (1998). This could be
DR. The capital market was found to be caused by because of the presence of completely different
credit (PLR causes NIFTY) and the foreign exchange players in this particular segment. In the other
market (ER causes NIFTY). It is found to cause segments banks are the major participants which is
money market by influencing MIBOR. not the case in the capital market.
(54)
