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An Empirical study of the Co-integration of the Indian stock market with select Stock Exchanges

Author

Listed:
  • Smita RAMAKRISHNA

    (K. J. Somaiya Institute of Management Studies and Research, Maharashtra, India)

  • Jayant PANSARE

    (K. J. Somaiya Institute of Management Studies and Research, Maharashtra, India)

Abstract

Fluctuations in the stock market can have an intense economic impact on the economy. This paper studies the inter-linkages between select stock markets. Daily closing levels of the benchmark indices are taken for a period of 15 years. The stationarity of the series has checked by applying line charts and unit-root test. Granger’s causality model and Vector Auto Regression (VAR) model are performed to identify the integration among the markets chosen for study. The series was found to be stationary. Granger’s causality indicated that there is a causation effect by some of the markets uni-directionally. The results of Granger Causality test indicate a unidirectional causality from the Indian Market to Canada and China. In the reverse direction, Korea causes movements in the Indian markets

Suggested Citation

  • Smita RAMAKRISHNA & Jayant PANSARE, 2017. "An Empirical study of the Co-integration of the Indian stock market with select Stock Exchanges," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 5-10.
    • Handle: RePEc:ddj:fseeai:y:2017:i:2:p:5-10
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    References listed on IDEAS

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    1. Dr. Ranjan Dasgupta, 2014. "Integration and Dynamic Linkages of the Indian Stock Market with Bric - An Empirical Study," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(6), pages 715-731, June.
    2. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
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    Cited by:

    1. Parul Bhatia & Hemalatha Ramasubramanian, 2019. "Co-integration Between Sensex and Other Popular Indices: A Decadal Study," FIIB Business Review, , vol. 8(2), pages 108-117, June.

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