Page 65 - IILMGSM Journal_Management Perspective
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a change in the nature of relationship of the increasing over time. But the capital market is not
capital market with that money market, G sec market very well integrated with the others and its
and the credit market. It turned positive after being relationship with others was not stable over the
negative in the earlier periods owing to the period of time. On the whole, a high level of
macroeconomic conditions peculiar to this sub integration was observed among the money market
period. rates, especially CM was integrated with all other
rates in the same segment. The integration of the G
Granger causality results revealed that within the sec market with others has significantly improved in
money market strong causal relations are observed. the third sub period. The outcome of the study can be
Money market and the G sec market have a strong used by the policy makers to identify the segments
causality between them. Such a strong relationship which need to be strengthened and hence their
also holds true between the money market and the integration with other market segments is enhanced.
foreign exchange market. No causality was found
between the G sec market, capital market and the For further research in this area more sophisticated
foreign exchange market. G sec market and the credit techniques like Vector Error Correction Model
market display some degree of causality. (VECM) can be used. Secondly, the corporate debt
market can be included in the analysis by formulating
From the co integration analysis it was discovered an index representing it. An index representing the
that the integration between these segments is level of integration can also be formula
64
capital market with that money market, G sec market very well integrated with the others and its
and the credit market. It turned positive after being relationship with others was not stable over the
negative in the earlier periods owing to the period of time. On the whole, a high level of
macroeconomic conditions peculiar to this sub integration was observed among the money market
period. rates, especially CM was integrated with all other
rates in the same segment. The integration of the G
Granger causality results revealed that within the sec market with others has significantly improved in
money market strong causal relations are observed. the third sub period. The outcome of the study can be
Money market and the G sec market have a strong used by the policy makers to identify the segments
causality between them. Such a strong relationship which need to be strengthened and hence their
also holds true between the money market and the integration with other market segments is enhanced.
foreign exchange market. No causality was found
between the G sec market, capital market and the For further research in this area more sophisticated
foreign exchange market. G sec market and the credit techniques like Vector Error Correction Model
market display some degree of causality. (VECM) can be used. Secondly, the corporate debt
market can be included in the analysis by formulating
From the co integration analysis it was discovered an index representing it. An index representing the
that the integration between these segments is level of integration can also be formula
64
