Chinese and Indian Stock Markets: Linkages and Interdependencies

Abstract

This paper examines the stock market linkages and interdependencies between China and India. We use the quantile regression approach as an alternative to Ordinary Least Squares estimation due to its flexibleness and robustness. Our results of the entire time period reveal the influence of Chinese CPI and ER on Nifty returns is not the same across the different quantiles. However, Chinese IR has no impact on Nifty returns. Further, Indian CPI has a negligible effect on SSE returns. In contrast, IR and ER do not affect SSE returns. This study also observes that the dependence structure between CPI and SSE returns indicates a negligible change post-recession period. However, the dependence structure between IR, ER, and SSE returns has not changed after the recession. Further, a significantly small change is found in the dependence structure between Chinese macroeconomic variables and Nifty returns post-recession.