Current Issues in the Economy and Finance of India by Unknown

Author:Unknown
Language: eng
Format: epub
ISBN: 9783319995557
Publisher: Springer International Publishing

9.3.1 Data

The data used in this study are daily prices of 14 indices from 14 different Emerging economies5and 10 indices from developed economies (See Table 9.1 and Table 9.2). The reason behind using index level data is that we wanted to establish the results irrespective of market size and value factors of firms. Index level data act as a well-diversified and liquid equity portfolio and hence removes much of idiosyncratic risk and industry specific systemic risk which would have affected our results. We collect daily time series OHLC data for all the indices from Bloomberg database. OHLC data reveals more information about the variation of asset prices and exhibits the direction of the price changes over a whole day.Table 9.1List of emerging countries and respective stock indices

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